(Cross-post from Medium)
Warning: this is completely unrelated to my typical topic of choice, Cosmos. My buddy Jeff noticed some odd uncorrelated returns recently from DGD which got me curious about Digix’ correlation to various well-known assets (BTC, ETH, GLD, S&P500, 10-Year Treasury Yield and the VIX). Using Coinmarketcap.com data I pulled the historical daily closing price of DGDUSD, BTCUSD and ETHUSD. I then pulled the historical daily closing price for GLD, S&P500 and the 10-Year Yield. From there I took out all weekends and holiday data from DGD, BTC and ETH and calculated the daily percent changes for all.
Here are those results (as of February 22, 2018):
- 467-day daily percent change correlations:
Since April 18, 2016 (start of DGD data in CoinMarketCap.com)
- 1-year daily percent change correlations:
Since February 23, 2017 (1-year)
- 90-day daily percent change correlations:
Since October 13, 2017 (90-day)
- Rolling 30-day daily percent change correlations:
Correlation to DGD since May 31, 2016
Conclusions:
- since April 2017, DGD exhibits the most consistent correlation with ETH, which makes sense;
- DGD seems to exhibit largely varying levels of low correlation and ‘uncorrelation’ to most “traditional assets” (assuming VIX is a traditional asset), HOWEVER…
- In recent weeks the 30-day correlation between DGD and 10-Year Treasuries has been noteworthy in that the recent 0.6 readings are the highest for DGD with any of the traditional assets, and are now at levels only seen between DGD and BTC or ETH.
Also I became curious about ETH’s rolling correlation with these same assets. Here’s that:
Correlation to ETH since May 31, 2016
- Overall, surprisingly ETH and BTC have their moments of shared correlation and then uncorrelation
- ETH is really uncorrelated to VIX right now and very correlated to BTC (and somewhat S&P500)