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Rolling correlation between crypto and US equity indices
BTC & ETH vs SPY & QQQ · 30-day rolling Pearson correlation
Rolling Pearson Correlation measures the linear relationship between daily returns of crypto assets (BTC, ETH) and equity indices (SPY, QQQ) over a sliding window.
ρ > 0.6: Correlated — crypto and equities are the same trade (risk-on/off driven). ρ < 0.3: Decorrelated — genuine diversification benefit.
When correlation is high, holding both US equities and crypto amplifies drawdown risk. When low, crypto acts as a true portfolio diversifier.
This tracks how closely Bitcoin and Ethereum move with the US stock market (S&P 500 and Nasdaq). When correlation is high, crypto and stocks rise and fall together -- owning both doesn't really diversify your risk. When correlation is low, crypto moves on its own, meaning it can actually protect your portfolio when stocks drop. Understanding this helps you decide whether adding crypto to a stock portfolio actually reduces your overall risk or just doubles down on the same bet.