Bitcoin’s Decade‑Low S&P 500 Correlation Masks Ongoing Return Co‑movement

Bitwise’s latest Market Compass notes that the 260‑day logarithmic price correlation between Bitcoin and the S&P 500 has fallen to its lowest level since 2015, registering around –0.62. This figure tracks how the two price paths diverge over a medium‑term horizon, not how their daily returns move together.

Log‑level vs. return correlation

When the same 260‑day window is examined using percentage returns, the correlation turns positive, at roughly +0.40. The two metrics therefore tell different stories: a negative log‑level correlation indicates diverging price trajectories, while a positive return correlation shows that Bitcoin and equities still tend to rise or fall on the same trading days.

Impact on a mixed portfolio

Using CryptoSlate’s calculations, adding a 5 % Bitcoin allocation to an all‑equity portfolio produced mixed results. Over the 260‑day return window, annualized volatility rose from 12.68 % to 13.01 % and maximum drawdown increased from 9.10 % to 9.98 %. Over a longer 500‑day window, the same allocation slightly reduced both volatility (15.73 % vs. 16.11 %) and drawdown (18.66 % vs. 18.90 %).

How often do losses coincide?

Within the 260‑day sample, the S&P 500 fell on 115 common dates. Bitcoin also fell on 76 of those days, averaging a 1.03 % loss, and the return correlation on this subset was +0.29. For larger equity declines (>1 %), Bitcoin fell on 22 of 25 occasions, averaging a 2.59 % loss; for declines >2 % (three instances), Bitcoin fell each time, averaging a 4.23 % loss.

Data timing and sensitivity

The analysis uses daily observations from FRED, which records Bitcoin prices at 5 p.m. PST and the S&P 500 at the U.S. market close (4 p.m. ET). This asynchrony means the calculated return correlation is sensitive to small shifts in timing: moving Bitcoin’s timestamps back one day changes the 260‑day return correlation to +0.14, while moving them forward yields +0.03.

Key takeaways for investors

• Negative log‑level correlation does not guarantee that Bitcoin will offset equity losses on a daily basis.
• Return‑based correlation remains positive, indicating frequent co‑movement of gains and losses.
• Portfolio risk effects depend on allocation size, measurement window, and the volatility of each asset.
• Short‑term data windows can produce varying correlation figures; longer windows may show different risk dynamics.