#MARKETS & INVESTING
The IMF measured how closely daily bitcoin moves track the S&P 500: a correlation of 0.01 over 2017-19, and 0.36 over 2020-21.
Published on August 25, 2026
In a financial stability note published in January 2022 ("Cryptic Connections"), the IMF computed the correlation between daily bitcoin returns and daily S&P 500 returns. Over 2017-19 it came out at 0.01: the two assets simply did not move together. Over 2020-21 it rose to 0.36. The same shift shows up against emerging markets, where the correlation with the MSCI Emerging Markets index reached 0.34 over 2020-21, seventeen times its earlier level. The IMF estimates that bitcoin volatility explained roughly one sixth of S&P 500 volatility over that period. The European Central Bank, in its May 2022 Financial Stability Review, separately documented the same rise during the market stress episodes of March 2020, December 2021 and May 2022, and concluded that crypto-assets are of doubtful use for portfolio diversification.
Does bitcoin protect a portfolio when equities fall?
Over 2017-19 its daily moves bore no relation to the S&P 500 (correlation of 0.01). Over 2020-21 the correlation reached 0.36, and it rises further during stress episodes.
In other words: the asset sold as uncorrelated started falling at the same time as everything else.
Four caveats, because they matter
- 0.36 is not 1: bitcoin does not track the S&P 500. It simply no longer decouples from it when markets fall.
- These are correlations computed over two specific windows, 2017-19 and 2020-21. They move over time and say nothing about later years.
- The IMF measures correlation, not causation: both assets responded to the same monetary conditions after March 2020.
- The ECB and the IMF agree on the direction of the shift, not on a single number: their observation windows and methods differ.
Why it still matters: the claim that bitcoin diversifies a portfolio rests on pre-2020 data. Since then, the measured correlation places it alongside risky assets.
For you
- Does an asset that falls alongside equities still diversify a portfolio?
- Did you know the bitcoin / S&P 500 correlation went from 0.01 to 0.36 between 2017-19 and 2020-21?
Source: IMF, Global Financial Stability Note No. 2022/001, "Cryptic Connections: Spillovers between Crypto and Equity Markets", January 2022; European Central Bank, Financial Stability Review, May 2022.
View the source →