The idea worth investigating
For most of the last decade, the pitch for Bitcoin in a portfolio was that it did not behave like anything else you owned. That is a testable claim, and the answer has an expiry date.
We tested "Crypto is coming of age: The case of Bitcoin's rising beta" by Alejandro Drexler, Andre Guettler and Angela Sun, Federal Reserve Bank of Chicago working paper 2026-16, August 13, 2026. Using market-hours returns, rolling regressions and structural-break tests, the authors report that Bitcoin's equity exposure rises substantially over time and turns statistically larger than zero around 2020, that its Treasury exposure stays indistinguishable from zero, and that after controlling for the Dow Jones the NASDAQ loading is small and insignificant throughout. Their reading: Bitcoin is driven by broad stock-market sentiment, not a decentralized-tech narrative.
The desk question: does the rise survive a plain daily-data rebuild with ETF proxies, and does the "broad market, not tech" attribution survive with it?
Here's the plan:
Scope: a completed daily-data house adaptation of an exposure study; it does not test a trading strategy.
Let's get started.
Paid analysis on Substack
See what changes the investment case.
The headline is the starting point. The subscriber analysis takes you through:
- The early-versus-late beta comparison and its uncertainty.
- What changes when equity and Treasury exposures enter the same regression.
- Where daily returns and ETF proxies differ from the paper's design.
AI assists curation and drafting. The research status distinguishes paper reviews from house tests. Read our research approach.