JPMorgan’s Bitcoin Math: Low Correlation, Same-Size Drops

On November 4, Grayscale Head of Research Zach Pandl called Bitcoin a potentially attractive portfolio diversifier in a note, citing an estimated 0.33 correlation with U.S. large-cap stocks. The note used J.P. Morgan Asset Management’s 2027 Long-Term Capital Market Assumptions, released October 19, which pair that correlation with 55% annualized Bitcoin volatility and 18% for large-cap stocks; correlation measures how consistently assets move together, not how far. Those inputs imply a 20% stock decline would coincide with an expected Bitcoin decline of about 20%. JPMorgan excludes Bitcoin from the main covariance matrices used for strategic allocations, citing volatility and unstable correlations, while IMF research measured Bitcoin’s S&P 500 correlation at 0.01 in 2017–19 and 0.36 in 2020–21.