BTC 90-Day US10Y Correlation
-0.17
Beta: -0.42x | Low Rate Sensitivity
Gold 90-Day US10Y Correlation
-0.41
Beta: -0.98x | Strong Duration Discount
Simulated US10Y Yield Shock
+50 bps
Baseline Yield: 4.25% → 4.75%
Portfolio Implied Impact
-0.34%
Alloc: 50% BTC / 50% Gold
Macro Rate-Shock Controls
Current Baseline
US 10Y Yield Delta
+50 bps
-100 bps (Dovish Pivot)
0 bps
+250 bps (Volcker Shock)
Macroeconomic Regimes
Rolling Observation Window
Portfolio Hard-Asset Mix
50% BTC / 50% Gold
100% Gold
50 / 50
100% BTC
Hard Asset Divergence: With a 90-day yield correlation of -0.17, BTC exhibits less than half the negative yield sensitivity of gold (-0.41), cushioning multi-asset portfolios against sovereign bond volatility.
Rate Shock Sensitivity Vector Curve
Simulated asset return divergence across US10Y nominal yield adjustments (-100 to +250 bps)
Bitcoin ($BTC)
Gold ($XAU)
Blend Portfolio
Empirical Macro Sensitivity & Covariance Decomposition (Baseline vs Counterfactual)
| Asset | US10Y Correlation (ρ) | Annualized Volatility (σ) | Yield Beta (β) | Projected Return @ Current Shock | Duration Drag Index | Sharpe Delta (Δ) |
|---|