Cryptocurrency snapshot for September 2018
Published in
3 min readOct 3, 2018
To recap on our introductory post last month, we will be monitoring changes in:
- Correlations between top 10 coins by market capitalization and traditional assets
- Volatility
- Sortino ratio
The following analysis is obtained from closing prices from 1st September 2018 to 30th September 2018.
1) Correlations
From the overall snapshot, we can see that:
- Correlation of coins with iShares Core U.S. Aggregate Bond ETF (AGG) and Vanguard REIT ETF (VNQ) sees the biggest transformation — from low correlation to negative correlation.
- Ripple (XRP) sees an overall weaker correlation with other coins and VNQ, and stronger correlation with S&P 500.
- Correlation between Bitcoin (BTC) and Ethereum (ETH) are restored in the month of September — from 0.59 in August to 0.97.
2) Volatility
- Volatility of each individual asset remains unchanged, cryptocurrencies continue to experience higher volatility than traditional assets.
3) Sortino ratio
- Ripple (XRP) sees the most drastic change in Sortino ratio from -21.6 to 13,104.4 this month. This is not surprising, seeing the 140% price hike on 21 September 2018. Ripple’s partnership with over 120 financial institutions and buzz around the possible launch of a new crypto product soon might be the cause to this price hike.
- The following assets’ Sortino ratios were also affected in the month of September, albeit on a smaller magnitude compared to XRP: Stellar (XLM) from -27.0 to 108.7, AGG from 82.3 down to -69.2, VNQ from 55.8 to -43.5.
We believe that the monthly analysis of cryptocurrencies would become more meaningful overtime to study temporal effects and exclude time-invariant events. It is not possible to read anything useful into anomalies such as the XRP outputs this month.
Of course, we welcome any suggestions and discussions in the comment box below. See you next month!
About Lightbulb Capital Digital:
Web: www.lightbulbcap.com/blockchain-advisory
Email: info@lightbulbcap.com
