比特币是宏观的，但并不像你想象的那样“相关”

我们倾向于使用这两个术语（宏观和相关）而不理解它们的含义。 “比特币是相关的！”我经常在谈话中听到这样的说法，这是一种轻蔑的说法，表示它根本不是真正的“替代”资产

People tend to use the terms “macro” and “correlated” without fully understanding their meanings.

人们倾向于使用“宏观”和“相关”这些术语，但没有完全理解它们的含义。

“Bitcoin is correlated!”

“比特币是相关的！”

I often hear that statement used to quickly dismiss an idea, like a way of saying that bitcoin isn’t really an “alternative” asset at all, and that all this talk about it being separate from the broader economy is just wishful thinking. But very few who say this have actually looked at the data or considered the reasoning behind that claim (which is understandable – why mess with convenient narratives?). I confess that even I used to think that the surge in the correlation between bitcoin (BTC) and the S&P 500 was because the institutional investors marched into the market in the second half of last year. Now I’m not so sure. The institutions did indeed march in, and bitcoin has to a large extent become a macro asset. But I don’t think that’s driving the correlation data.

我经常听到这样的说法用来快速驳回一个想法，就像一种说法，比特币根本不是真正的“替代”资产，所有关于它与更广泛的经济分开的言论都只是一厢情愿的想法。但很少有人真正看过数据或考虑过这一说法背后的原因（这是可以理解的——为什么要搞乱方便的叙述呢？）。我承认，连我自己也曾经认为比特币（BTC）与标准普尔500指数之间的相关性飙升是因为机构投资者在去年下半年进入了市场。现在我不太确定了。机构确实介入了，比特币在很大程度上已经成为一种宏观资产。但我不认为这会推动相关数据。

Noelle Acheson is the former head of research at CoinDesk and sister company Genesis Trading. This article is excerpted from her Crypto Is Macro Now newsletter, which focuses on the overlap between the shifting crypto and macro landscapes. These opinions are hers, and nothing she writes should be taken as investment advice.

Noelle Acheson 是 CoinDesk 及其姊妹公司 Genesis Trading 的前研究主管。本文摘自她的《加密货币现在是宏观》时事通讯，该通讯重点关注不断变化的加密货币和宏观景观之间的重叠。这些观点是她的，她写的任何内容都不应被视为投资建议。

Before we start looking at charts that tell a different story, let’s have a think about what correlation actually means, and why we care. In theory, correlation is simply the measure of the degree to which the movements of two series are related. It measures how much two measures vary together, divided by how much they usually vary individually. (There are other types of correlation with different formulas, but that’s too nerdy to get into here – for those who care, I use Pearson on a rolling 60-day window.)

在我们开始查看讲述不同故事的图表之前，让我们思考一下相关性的实际含义以及我们为何关心相关性。从理论上讲，相关性只是衡量两个系列的变动的相关程度。它衡量两个度量共同变化的程度，除以它们通常单独变化的程度。 （还有其他类型的相关性与不同的公式，但这太书呆子了，不适合在这里讨论 - 对于那些关心的人，我在 60 天滚动窗口中使用 Pearson。）

Imagine two assets that are clones of each other. How much they move independently will be exactly the same as how much they move together, so the ratio between the two factors will be 1. A correlation of -1 means they move perfectly in the opposite direction. A correlation of 0 means there is no obvious relationship between the two.

想象一下两个资产是彼此的克隆。它们独立移动的量与它们一起移动的量完全相同，因此两个因素之间的比率将为 1。相关性为 -1 意味着它们完全朝相反的方向移动。相关性为0表示两者之间没有明显的关系。

In reality, these “perfect” situations never exist. Correlations are generally a messy amalgam of erratic behavior that indicates strong or weak relationships, used by investors to design relatively robust portfolio strategies and by analysts and storytellers to spot changes in trends.

事实上，这些“完美”的情况永远不存在。相关性通常是不稳定行为的混乱混合物，表明关系的强弱，投资者用它来设计相对稳健的投资组合策略，分析师和故事讲述者用它来发现趋势的变化。

Yet, one trap many fall into is to treat correlation as a binary condition. To say something “is” correlated is vague and inaccurate. Highly correlated, negatively correlated – those qualifications make sense, yet even then only at a specific point in time. As we will see, when it comes to market relationships, especially concerning an asset as young as bitcoin, things change fast.

然而，许多人陷入的一个陷阱是将相关性视为二元条件。说某件事“是”相关的是模糊且不准确的。高度相关、负相关——这些资格是有意义的，但即使如此，也只是在特定的时间点。正如我们将看到的，当涉及到市场关系时，尤其是像比特币这样年轻的资产，事情变化得很快。

Another frequent trap is to assume that a high or low correlation can explain behavior. To some extent this is true – but more often than not, the relationship is coincidental even if related. Ice cream sales and cases of sunburn are highly correlated, but one does not cause or explain the other.

另一个常见的陷阱是假设高相关性或低相关性可以解释行为。在某种程度上，这是正确的——但大多数情况下，即使相关，这种关系也是巧合的。冰淇淋销量和晒伤病例高度相关，但其中之一不会导致或解释另一个。

Back to bitcoin. As you can see below, the asset used to be pretty much uncorrelated to the S&P 700 (oscillating around 0) even as the institutions marched in, pushing the BTC price to an all-time high in November. But something changed in April 2022.

回到比特币。如下图所示，尽管机构纷纷介入，将 BTC 价格推至 11 月份历史新高，但该资产过去与标准普尔 700 指数（在 0 附近波动）几乎没有相关性。但 2022 年 4 月，事情发生了变化。

What changed? The overall market mood. Correlation is more about the direction than the size of the price moves (although both matter). The below chart shows that, up until the time that the 60-day BTC-S&P 500 correlation had crossed 0 on the way up (never to return?), the two series had sort of been moving in sync but not really. By April 4, the S&P 500 was down 0.7% on the year while BTC was down 7.5%, and the 60 days prior (the snapshot window for the correlation calculation on any given day) showed different trends for each.

发生了什么变化？整体市场情绪。相关性更多地与价格变动的方向而非大小有关（尽管两者都很重要）。下图显示，直到 60 天 BTC 与标准普尔 500 指数相关性在上涨过程中越过 0（再也不会返回？）之前，这两个系列一直在同步变化，但实际上并非如此。截至 4 月 4 日，标准普尔 500 指数同比下跌 0.7%，而 BTC 则下跌 7.5%，而 60 天之前（任意一天相关性计算的快照窗口）显示出各自不同的趋势。

What triggered the mood change? Interest rate expectations. Fed funds above 2.50% started to become a remote possibility in terms of market pricing in early April 2022 (when the actual range was 0.25%-0.50%).

是什么引发了情绪的变化？利率预期。从 2022 年 4 月上旬的市场定价来看，联邦基金利率超过 2.50% 的可能性开始变得渺茫（当时实际区间为 0.25%-0.50%）。

This freaked the market out, and the macro investors who piled into the crypto market over the previous nine to 10 months exited in a hurry. They didn’t just exit crypto (a high-risk asset relatively easy to sell), they also exited equities. Prices fell across the board, and the 60-day correlation between bitcoin and the leading stock index rocketed up to an all-time high of 0.72. Macro investors weren’t the only ones de-risking – crypto fund managers were also exiting, expecting a general market slump.

这吓坏了市场，过去 9 到 10 个月涌入加密货币市场的宏观投资者匆忙退出。他们不仅退出了加密货币（一种相对容易出售的高风险资产），还退出了股票。价格全线下跌，比特币与主要股指的60天相关性飙升至0.72的历史新高。宏观投资者并不是唯一降低风险的人——加密货币基金经理也因预期市场普遍暴跌而退出。

The spike in correlation was not because bitcoin was now a “macro asset” – bitcoin’s entrance to general portfolios had been

相关性的飙升并不是因为比特币现在是一种“宏观资产”——比特币进入一般投资组合的时间已经很长了。