Grayscale Bitcoin Correlations

GBTC Etf

USD 69.68 0.09 0.13%

The current 90-days correlation between Grayscale Bitcoin Trust and Riot Blockchain is 0.66 (i.e., Poor diversification). The correlation of Grayscale Bitcoin is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Grayscale Bitcoin Correlation With Market

Modest diversification

The correlation between Grayscale Bitcoin Trust and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Grayscale Bitcoin Trust and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Grayscale Bitcoin Trust. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with Grayscale Etf

0.92	BITO	ProShares Bitcoin Sell-off Trend	Pair Corr
0.91	BLOK	Amplify Transformational	Pair Corr
0.92	BLCN	Siren Nasdaq NexGen	Pair Corr
0.94	BITQ	Bitwise Crypto Industry	Pair Corr
0.88	SPBC	Simplify Equity PLUS	Pair Corr
0.92	BTC	Grayscale Bitcoin Mini	Pair Corr
0.89	DAPP	VanEck Digital Trans	Pair Corr
0.91	CRPT	First Trust SkyBridge	Pair Corr
0.69	FNGU	MicroSectors FANG Index Symbol Change	Pair Corr
0.74	USD	ProShares Ultra Semi	Pair Corr
0.85	FNGO	MicroSectors FANG Index	Pair Corr
0.73	AA	Alcoa Corp	Pair Corr
0.66	DIS	Walt Disney	Pair Corr
0.69	HPQ	HP Inc	Pair Corr
0.84	CAT	Caterpillar	Pair Corr
0.87	MSFT	Microsoft Aggressive Push	Pair Corr
0.81	HD	Home Depot	Pair Corr

Moving against Grayscale Etf

0.54	GDXU	MicroSectors Gold Miners	Pair Corr
0.39	LEGR	First Trust Indxx	Pair Corr
0.78	VZ	Verizon Communications Sell-off Trend	Pair Corr
0.76	JNJ	Johnson Johnson	Pair Corr
0.75	KO	Coca Cola Sell-off Trend	Pair Corr
0.71	T	ATT Inc Aggressive Push	Pair Corr
0.5	PG	Procter Gamble	Pair Corr
0.43	IBM	International Business	Pair Corr
0.36	CVX	Chevron Corp	Pair Corr
0.32	MMM	3M Company	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.02	0.58	-0.53	0.3	0.43	0.28	0.9	-0.74	-0.03	META
MSFT	-0.02		-0.62	0.02	-0.8	0.7	0.89	0.13	0.43	-0.55	MSFT
UBER	0.58	-0.62		-0.28	0.81	-0.27	-0.53	0.51	-0.84	0.57	UBER
F	-0.53	0.02	-0.28		0.0	-0.09	-0.16	-0.37	0.51	0.36	F
T	0.3	-0.8	0.81	0.0		-0.59	-0.71	0.16	-0.65	0.6	T
A	0.43	0.7	-0.27	-0.09	-0.59		0.8	0.62	0.11	-0.34	A
CRM	0.28	0.89	-0.53	-0.16	-0.71	0.8		0.36	0.23	-0.61	CRM
JPM	0.9	0.13	0.51	-0.37	0.16	0.62	0.36		-0.63	0.06	JPM
MRK	-0.74	0.43	-0.84	0.51	-0.65	0.11	0.23	-0.63		-0.32	MRK
XOM	-0.03	-0.55	0.57	0.36	0.6	-0.34	-0.61	0.06	-0.32		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

JPM	+ 0.9	META
CRM	+ 0.89	MSFT
T	+ 0.81	UBER
CRM	+ 0.8	A
A	+ 0.7	MSFT
JPM	+ 0.62	A

High negative correlations

MRK	- 0.84	UBER
T	- 0.8	MSFT
MRK	- 0.74	META
CRM	- 0.71	T
MRK	- 0.65	T
MRK	- 0.63	JPM

Grayscale Bitcoin Competition Risk-Adjusted Indicators

There is a big difference between Grayscale Etf performing well and Grayscale Bitcoin ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Grayscale Bitcoin's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
META	1.63	0.04	0.02	0.00	2.27	(1.46)	2.96	(3.73)	8.90
MSFT	1.11	(0.18)	0.00	(0.29)	0.00	0.00	2.58	(2.14)	10.31
UBER	1.88	0.40	0.18	0.75	2.03	(2.05)	4.72	(3.13)	12.75
F	1.44	0.14	0.06	0.09	2.12	(1.42)	2.71	(2.88)	10.14
T	0.99	0.29	0.19	0.56	1.43	(1.11)	1.90	(1.55)	11.66
A	1.16	(0.14)	0.00	(0.20)	0.00	0.00	2.92	(2.59)	9.03
CRM	1.40	(0.29)	0.00	(0.29)	0.00	0.00	2.72	(3.81)	8.88
JPM	1.14	0.10	0.05	0.05	1.76	(1.09)	2.16	(3.35)	6.85
MRK	1.16	(0.11)	0.00	1.03	0.00	0.00	2.07	(1.80)	11.58
XOM	1.03	0.13	0.10	0.27	1.28	(1.06)	2.55	(2.36)	5.89

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