Bitcoin (BTC) is 108492497.4× the size of Commodity Market Exchange (CME) by market capitalisation. Their daily returns move barely in opposite directions (correlation -0.03 across 34 shared trading days). CME has been the more volatile of the two, at 116% annualised against BTC's 44%.
CMEBTC
-0.03over 34 shared trading days
Measured on daily returns rather than on prices. Two assets that both simply trend upward score near 1.0 on raw prices whether or not they move together, so returns are what answer the question people mean by correlation.
| Metric | CME | BTC |
|---|---|---|
| Max drawdown (400d) | -68.9% | -53.0% |
| Risk-adjusted return (90d) | -0.58 | 0.51 |
| Best 30 days (past year) | — | +26.8% |
| Worst 30 days (past year) | — | -32.9% |
Relative strength over 90 days: BTC outperformed CME by 65.3% — measured on the CME/BTC ratio, so it holds regardless of market direction.