Iconic Funds commissioned an empirical study analyzing the myth of zero correlation between crypto currencies and market indices.

Since the rise of Bitcoin, crypto currencies have been assumed to be uncorrelated with other asset classes. During an economic downturn triggered by COVID-19 in March, however, the price of crypto currencies plunged alongside most other assets in an event since-dubbed “Black Thursday.” Since, market participants have started acknowledging non-zero correlations between crypto currencies and other assets during liquidity crises. This report challenges the theory of zero correlations and stipulates that crypto currencies are not only correlated with markets during liquidity shortages, but generally have a minor correlation with the majority of market movements.