Beta to Bitcoin

Beta regresses the asset's daily returns on bitcoin's daily returns over the trailing ninety days and reports the slope. A beta of two means the asset historically moved about twice as far as bitcoin in the same direction. Bitcoin is used as the reference because there is no accepted market portfolio for digital assets, not because theory justifies it.

Как рассчитывается

covariance(asset daily returns, bitcoin daily returns) / variance(bitcoin daily returns), measured over the trailing 90 days

Где это вводит в заблуждение

Beta assumes a stable linear relationship, and in this market the relationship is regime-dependent: co-movement converges toward one during forced-liquidation episodes, so a beta estimated in a calm quarter understates co-movement in exactly the conditions that determine outcomes. Bitcoin is a single asset with its own idiosyncratic drivers, including scheduled issuance halvings and spot-exchange-traded-product flows, so a beta against it is not a market beta in the sense the term normally carries. Ninety daily observations produce wide standard errors, and shifting the window by a few weeks can change the estimate materially. Assets that price infrequently or trade on few venues show downward-biased betas because their prints are not synchronized with bitcoin's.

Сравнение с акциями и причины его несостоятельности

CAPM beta against an equity index; equity beta is measured against a broad diversified portfolio and feeds a cost-of-capital framework, while bitcoin is one asset standing in as a proxy, so this figure carries no CAPM interpretation and no discount-rate meaning.

Чтение максимального или минимального значения

A beta above one means the asset has historically moved further than bitcoin in the same direction; below one means less far; a negative value means it typically moved opposite. It summarizes a past statistical relationship over one window.