What Kind of Asset Is Bitcoin?

Does Bitcoin behave like some other asset class? To investigate, we use the easily held, liquid and matched-close Grayscale Bitcoin Trust (GBTC) as a proxy for Bitcoin holdings and calculate daily and monthly return correlations between GBTC and each of 35 exchange-traded products encompassing those used in “Simple Asset Class ETF Momentum Strategy ” (SACEMS), 22 others considered in “SACEMS Portfolio-Asset Addition Testing” plus SPDR Bloomberg Barclays 1-3 Month T-Bill (BIL), iShares 1-3 Year Treasury Bond (SHY) and Powershares DB US Dollar Index Bullish Fund (UUP). These selections represent a broad set of asset classes. We start calculations with inception of GBTC on May 11, 2015. All other assets are available as of that date. Using daily and monthly levels of Bitcoin and prices for GBTC and the 35 other exchange-traded products adjusted for dividends and splits during mid-May 2015 through late November 2020, we find that:

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