Forex Correlation

The following tables represents the correlation between the various parities of the foreign exchange market.
The correlation coefficient highlights the similarity of the movements between two parities.

  • If the correlation is high (above 80) and positive then the currencies move in the same way.
  • If the correlation is high (above 80) and negative then the currencies move in the opposite way.
  • If the correlation is low (below 60) then the currencies don't move in the same way.

5 min

Hourly

4 hours

Daily

5 min

  EURUSD GBPUSD USDCHF USDJPY EURJPY USDCAD AUDUSD EURAUD USDZAR USDHKD
EURUSD 100 41 -29.7 0.8 44.9 -41 37.9 -36.8 -37.4 -7.8
GBPUSD 41 100 -22.5 32.9 48.8 -13.7 13.7 -75.1 -4.6 0.8
USDCHF -29.7 -22.5 100 34.4 15.5 -3.5 -6.5 14.1 4.7 -21.8
USDJPY 0.8 32.9 34.4 100 89.2 -15.5 17.7 -76.2 -7 -15.7
EURJPY 44.9 48.8 15.5 89.2 100 -31.9 31.8 -39.8 -22.5 -13.5
USDCAD -41 -13.7 -3.5 -15.5 -31.9 100 -84.2 93.1 86 75.1
AUDUSD 37.9 13.7 -6.5 17.7 31.8 -84.2 100 -87.8 -67.2 -56.7
EURAUD -36.8 -75.1 14.1 -76.2 -39.8 93.1 -87.8 100 85.5 69
USDZAR -37.4 -4.6 4.7 -7 -22.5 86 -67.2 85.5 100 71.2
USDHKD -7.8 0.8 -21.8 -15.7 -13.5 75.1 -56.7 69 71.2 100

Hourly

  EURUSD GBPUSD USDCHF USDJPY EURJPY USDCAD AUDUSD EURAUD USDZAR USDHKD
EURUSD 100 -62.5 -88.8 -1 67.3 -10.2 -33.6 79.7 30.6 54.5
GBPUSD -62.5 100 60.7 11 -34.6 -32.9 50.5 -68.2 -27.4 -44.7
USDCHF -88.8 60.7 100 24.3 -42.5 2.2 24.8 -66.7 -13.2 -50.9
USDJPY -1 11 24.3 100 73.3 -50.5 47 -34.1 20.7 -43.2
EURJPY 67.3 -34.6 -42.5 73.3 100 -44.1 11.8 30.7 36.2 5.2
USDCAD -10.2 -32.9 2.2 -50.5 -44.1 100 -66.4 35.2 -16.4 48.4
AUDUSD -33.6 50.5 24.8 47 11.8 -66.4 100 -86.3 -38.3 -69.5
EURAUD 79.7 -68.2 -66.7 -34.1 30.7 35.2 -86.3 100 50.1 76.6
USDZAR 30.6 -27.4 -13.2 20.7 36.2 -16.4 -38.3 50.1 100 -6.9
USDHKD 54.5 -44.7 -50.9 -43.2 5.2 48.4 -69.5 76.6 -6.9 100

4 hours

  EURUSD GBPUSD USDCHF USDJPY EURJPY USDCAD AUDUSD EURAUD USDZAR USDHKD
EURUSD 100 -24.1 -89.1 -72.8 -35.2 -8.8 71.4 -38.2 -60.7 -49.5
GBPUSD -24.1 100 16.9 15.6 5.6 -54 -2.8 -9.7 4.8 15.3
USDCHF -89.1 16.9 100 85.4 59.3 29.2 -87 65 80.9 69.2
USDJPY -72.8 15.6 85.4 100 89.8 15.2 -88.9 76.6 87.9 80.5
EURJPY -35.2 5.6 59.3 89.8 100 15 -75.6 80.2 81.1 78
USDCAD -8.8 -54 29.2 15.2 15 100 -25.4 28.7 28.2 7.9
AUDUSD 71.4 -2.8 -87 -88.9 -75.6 -25.4 100 -91.9 -92 -90
EURAUD -38.2 -9.7 65 76.6 80.2 28.7 -91.9 100 87.5 90.9
USDZAR -60.7 4.8 80.9 87.9 81.1 28.2 -92 87.5 100 83.6
USDHKD -49.5 15.3 69.2 80.5 78 7.9 -90 90.9 83.6 100

Daily

  EURUSD GBPUSD USDCHF USDJPY EURJPY USDCAD AUDUSD EURAUD USDZAR USDHKD
EURUSD 100 15.5 -87.4 -79.1 -41.4 -56.6 43.9 38.9 -27 -41.5
GBPUSD 15.5 100 -7.2 24.8 48.9 -24.2 -26.4 39.9 58.2 18.2
USDCHF -87.4 -7.2 100 81.2 54.6 59.8 -55.8 -16 52.8 40.2
USDJPY -79.1 24.8 81.2 100 88.4 40.9 -70.7 6 65.2 41.3
EURJPY -41.4 48.9 54.6 88.4 100 18.1 -71.9 38.9 76.8 30.6
USDCAD -56.6 -24.2 59.8 40.9 18.1 100 -54.6 8.6 26.2 53.3
AUDUSD 43.9 -26.4 -55.8 -70.7 -71.9 -54.6 100 -65.7 -78.9 -54.8
EURAUD 38.9 39.9 -16 6 38.9 8.6 -65.7 100 58.2 21.6
USDZAR -27 58.2 52.8 65.2 76.8 26.2 -78.9 58.2 100 36
USDHKD -41.5 18.2 40.2 41.3 30.6 53.3 -54.8 21.6 36 100

The correlation of currencies allows for better evaluation of the risk of a combination of positions. Correlation measures the relationship existing between two currency pairs. For example, it enables us to know whether two currency pairs are going to move in a similar way or not.
Two correlated currencies will have a coefficient close to 100 if they move in the same direction and of -100 if they move in opposite directions. A correlation close to 0 shows that the movements in the two currency pairs are not related.

How is it calculated?

The calculation of the correlation on this site uses the standard formula known as the "Pearson coefficient of correlation". The length of the series is given by the "Num Period" field. For further information about the calculation, you can visit the Wikipedia page: http://en.wikipedia.org/wiki/Correlation_and_dependence

How is the data used?

Management of risks

It may be important to know whether the open positions in a portfolio are correlated. If you have open trades in three currency pairs which are strongly correlated (for example EURUSD, USDCHF and USDNOK), you must anticipate the fact that if one of the positions reaches its stop-loss, then the other two are very likely to also be loss-making positions. In this case, it is important to adjust the size of the positions in order to avoid a serious loss.

Modification of the market

A modification of the correlation, principally over the long-term, may demonstrate that the market is undergoing a change. For example, if EURUSD and GBPUSD are strongly correlated for several months and then de-correlate, that may be a sign that market sentiment concerning the EUR and/or GBP is in the process of changing; one may be seeing the start or end of a trend in one of the two currencies.

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