Bitcoin Fell in 92% of S&P 500’s Worst 5% Return Periods Since 2022

Bitcoin fell in 92% of the S&P 500’s worst 5% return observations since 2022, while Ether fell in 95%, showing how both assets performed during the index’s sharpest losses.

The recent sample contained 61 observations. It captures the index’s most severe losses rather than every period when the S&P 500 declined.

Across more than 2,000 trading intervals from May 2018 through November 2026, Bitcoin’s correlation with the S&P 500 was 0.29 and Ether’s was 0.31. Both correlations were roughly 0.50 in 2026.

These figures measure different aspects of crypto’s relationship with stocks. Correlation describes how closely returns move together across a sample, while the 92% and 95% figures focus on the index’s worst-return observations.

In the full sample, Bitcoin fell in 81% of the S&P 500’s 107 worst-return observations, and Ether fell in 79%. Each observation included an S&P 500 loss of at least 1.74%. In the middle 90% of index returns, both crypto assets fell about 49% of the time.

During the recent sample’s worst equity observations, Bitcoin’s median U.S. dollar return was −3.6%, compared with −5.6% for Ether. Ether underperformed Bitcoin in 79% of those observations.

The realized-variance breakdown also showed a concentration during U.S. stock-market hours. From the January 2024 spot Bitcoin ETF launch milestone through the study cutoff, the window from 10 a.m. ET to the market’s actual close, normally 4 p.m. ET, accounted for 17.1% of observed time, 33% of Bitcoin’s realized variance and 30% of Ether’s.

“This is a finding about crypto’s own volatility timing. It does not mean one-third of its price variation was caused by stocks,” Sentora Research said.

The findings complement earlier coverage of Bitcoin during deep global stock declines, adding a separate S&P 500 sample and an intraday measure of realized variance.