Forex Correlation

Correlation table

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.
Num.periods

5min correlation

 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 
AUDUSD100
0.9
71
52.1
87.6
-31.8
-55.5
-71
AUDUSD
EURJPY0.9
100
37
47.6
-6.3
49.3
-6.6
35.2
EURJPY
EURUSD71
37
100
48.9
80.1
-16.2
-82.6
-73.8
EURUSD
GBPUSD52.1
47.6
48.9
100
48.8
34.1
-28
-14.8
GBPUSD
NZDUSD87.6
-6.3
80.1
48.8
100
-24.3
-68.6
-85.1
NZDUSD
USDCAD-31.8
49.3
-16.2
34.1
-24.3
100
36
52.2
USDCAD
USDCHF-55.5
-6.6
-82.6
-28
-68.6
36
100
79
USDCHF
USDJPY-71
35.2
-73.8
-14.8
-85.1
52.2
79
100
USDJPY
 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 

hourly correlation

 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 
AUDUSD100
65.2
89
91.1
10.6
-76.4
-81.3
-95.2
AUDUSD
EURJPY65.2
100
90.8
57.9
-18.1
-87.5
-88.9
-54.8
EURJPY
EURUSD89
90.8
100
81.6
-13.5
-88.9
-95.5
-84.8
EURUSD
GBPUSD91.1
57.9
81.6
100
9.5
-59.1
-67.7
-89.6
GBPUSD
NZDUSD10.6
-18.1
-13.5
9.5
100
22.6
29.8
4
NZDUSD
USDCAD-76.4
-87.5
-88.9
-59.1
22.6
100
94.3
66.9
USDCAD
USDCHF-81.3
-88.9
-95.5
-67.7
29.8
94.3
100
78.3
USDCHF
USDJPY-95.2
-54.8
-84.8
-89.6
4
66.9
78.3
100
USDJPY
 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 

daily correlation

 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 
AUDUSD100
63.9
68.5
65.1
54.1
-45.3
-57.3
-54.1
AUDUSD
EURJPY63.9
100
97.1
91.5
8.9
-9
-62.1
-47
EURJPY
EURUSD68.5
97.1
100
89.8
27.4
-25.7
-77.6
-66.8
EURUSD
GBPUSD65.1
91.5
89.8
100
10.1
-24.8
-56.5
-46.7
GBPUSD
NZDUSD54.1
8.9
27.4
10.1
100
-80.4
-71
-73.7
NZDUSD
USDCAD-45.3
-9
-25.7
-24.8
-80.4
100
65.5
67
USDCAD
USDCHF-57.3
-62.1
-77.6
-56.5
-71
65.5
100
93.1
USDCHF
USDJPY-54.1
-47
-66.8
-46.7
-73.7
67
93.1
100
USDJPY
 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 

weekly correlation

 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 
AUDUSD100
28.9
96.2
95.6
94.5
-96.1
-52.8
-93.5
AUDUSD
EURJPY28.9
100
47
27.8
20.1
-48.3
20.1
0.7
EURJPY
EURUSD96.2
47
100
96.4
90.8
-97.1
-47
-87.9
EURUSD
GBPUSD95.6
27.8
96.4
100
93.1
-92
-55.4
-93.9
GBPUSD
NZDUSD94.5
20.1
90.8
93.1
100
-89.2
-56.5
-91.2
NZDUSD
USDCAD-96.1
-48.3
-97.1
-92
-89.2
100
37.7
84.2
USDCAD
USDCHF-52.8
20.1
-47
-55.4
-56.5
37.7
100
64
USDCHF
USDJPY-93.5
0.7
-87.9
-93.9
-91.2
84.2
64
100
USDJPY
 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 

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.