Correlation Table

Correlation Table

The following table is a list of currency pairs and their correlations for the past 170 days of data. Depending on your browser, you may want to use the picture above. To zoom in to the picture above, just double click.

A correlation of 1.0 indicates 100% correlation. That is to say if one currency pair moves the other will respond in kind 100% of the time. A negative number indicates a similar correlation but as an inverse relation. This is to say if we look at the Eur/Usd and the Usd/Cad, one would expect the Usd/Cad to have an inverse or opposite move than the Eur/Usd 83% of the time.

An interesting note, the Eur/Usd and the Gbp/Usd had a correlation as high as 95% in the past. Currently the correlation has dropped below 70%. I believe this is due to interest rate speculation and highly volatile oil prices.




Correlation for the past 170 days
Eur/Usd Gbp/Usd Usd/Chf Usd/Jpy Usd/Cad Aud/Usd Nzd/Usd Eur/Chf Eur/Gbp Gbp/Jpy
Eur/Usd 1.000 0.681 -0.744 -0.367 -0.837 0.843 0.773 0.686 0.794 0.468
Gbp/Usd 0.681 1.000 -0.629 -0.099 -0.435 0.480 0.467 0.338 0.125 0.832
Usd/Chf -0.744 -0.629 1.000 0.202 0.314 -0.305 -0.272 -0.025 -0.462 -0.518
Usd/Jpy -0.367 -0.099 0.202 1.000 0.494 -0.471 -0.486 -0.330 -0.400 0.416
Usd/Cad -0.837 -0.435 0.314 0.494 1.000 -0.967 -0.886 -0.908 -0.796 -0.153
Aud/Usd 0.843 0.480 -0.305 -0.471 -0.967 1.000 0.957 0.931 0.767 0.206
Nzd/Usd 0.773 0.467 -0.272 -0.486 -0.886 0.957 1.000 0.867 0.689 0.175
Eur/Chf 0.686 0.338 -0.025 -0.330 -0.908 0.931 0.867 1.000 0.681 0.139
Eur/Gbp 0.794 0.125 -0.462 -0.400 -0.796 0.767 0.689 0.681 1.000 -0.071
Gbp/Jpy 0.468 0.832 -0.518 0.416 -0.153 0.206 0.175 0.139 -0.071 1.000