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Slide 44 Crypto-currencies are simply Fundstrat Bitcoin & Blockchain presentation for Upfront Summit

Slide 44
Crypto-currencies are simply not correlated to equities, bonds, gold, HF.
Bitcoin
FS
CryptoFX
10
FS
CryptoFX
40
FS
CryptoFX
250
FS
CryptoFX
300
FS
CryptoFX
Aggregate S&P 500
The US
Dollar
Index
MSCI All
World
Index
Bloomberg
Barclays
US Agg
Bond
Index
Salient
Risk
Parity
Index
Bloomberg
Comdty
Total
Return
Index
Bloomberg
Barclays
US
Treasury
Index Gold Oil
Bitcoin 100 91 31 37 88 88 13 14 1 8 2 (17) 9 (9) (11)
FS CryptoFX 10 100 54 55 100 100 11 4 5 10 1 (15) 11 (5) (7)
FS CryptoFX 40 100 79 62 62 13 (3) 10 9 3 (0) 9 11 5
FS CryptoFX 250 100 62 62 5 (14) 10 16 1 (5) 16 17 (8)
FS CryptoFX 300 100 100 12 3 7 11 1 (14) 11 (4) (7)
FS CryptoFX Aggregate 100 12 3 7 11 1 (14) 11 (4) (7)
S&P 500 100 23 69 (20) 16 (12) (22) (6) 3
The US Dollar Index 100 11 (17) (3) (26) (19) (45) (7)
MSCI All World Index 100 (16) 28 (6) (18) 7 11
Bloomberg Barclays US Agg Bond Index 100 65 35 99 50 27
Salient Risk Parity Index 100 71 64 59 53
Bloomberg Comdty Total Return Index 100 35 63 67
Bloomberg Barclays US Treasury Index 100 50 26
Gold 100 27
Oil 100
Figure: FS Crypto FX Indices Correlation Matrix against Major Asset Classes (%)
Based on the daily return of last 90 days
Take a look at the correlation matrix below. What really stands out is that correlations to other asset classes is low.
• Interesting to see the negative correlation to other commodities and perhaps this explains why CTAs and
commodity funds seem to be earlier in looking at crypto.

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