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
84.4
62.6
-74.2
64.3
-72.6
-68.9
88.4
AUDUSD
EURJPY84.4
100
72.7
-62.5
72.6
-73.4
-61.1
76.5
EURJPY
EURUSD62.6
72.7
100
-51.2
65.7
-48.4
-69.9
47.1
EURUSD
GBPUSD-74.2
-62.5
-51.2
100
-40.4
64.2
54.4
-77.8
GBPUSD
NZDUSD64.3
72.6
65.7
-40.4
100
-65
-60.8
59.7
NZDUSD
USDCAD-72.6
-73.4
-48.4
64.2
-65
100
62.4
-75.1
USDCAD
USDCHF-68.9
-61.1
-69.9
54.4
-60.8
62.4
100
-62.4
USDCHF
USDJPY88.4
76.5
47.1
-77.8
59.7
-75.1
-62.4
100
USDJPY
 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 

hourly correlation

 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 
AUDUSD100
86.8
90.8
80.2
56
-87.8
-74.6
-90.9
AUDUSD
EURJPY86.8
100
98.7
93.3
50
-91.6
-72.3
-85.4
EURJPY
EURUSD90.8
98.7
100
95.3
55.6
-94.2
-76.3
-92.6
EURUSD
GBPUSD80.2
93.3
95.3
100
59.1
-89.8
-73
-90
GBPUSD
NZDUSD56
50
55.6
59.1
100
-62.3
-63.6
-63.4
NZDUSD
USDCAD-87.8
-91.6
-94.2
-89.8
-62.3
100
81.3
90.7
USDCAD
USDCHF-74.6
-72.3
-76.3
-73
-63.6
81.3
100
77.8
USDCHF
USDJPY-90.9
-85.4
-92.6
-90
-63.4
90.7
77.8
100
USDJPY
 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 

daily correlation

 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 
AUDUSD100
68.7
77.8
10.2
89.8
-88.4
30.8
10.7
AUDUSD
EURJPY68.7
100
97.5
60
75.3
-92.1
67.8
67.1
EURJPY
EURUSD77.8
97.5
100
52.6
80.1
-96
63.8
49.1
EURUSD
GBPUSD10.2
60
52.6
100
33
-40.8
40.8
60.4
GBPUSD
NZDUSD89.8
75.3
80.1
33
100
-90.1
50
29
NZDUSD
USDCAD-88.4
-92.1
-96
-40.8
-90.1
100
-57.4
-41.3
USDCAD
USDCHF30.8
67.8
63.8
40.8
50
-57.4
100
53.7
USDCHF
USDJPY10.7
67.1
49.1
60.4
29
-41.3
53.7
100
USDJPY
 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 

weekly correlation

 AUDUSDEURJPYEURUSDGBPUSDNZDUSDUSDCADUSDCHFUSDJPY 
AUDUSD100
-7
95.8
94.9
94.4
-94.4
-56.3
-93.9
AUDUSD
EURJPY-7
100
8.1
-11
-3.3
-14.6
47.8
33.3
EURJPY
EURUSD95.8
8.1
100
95.8
95.4
-92.3
-54.3
-91.2
EURUSD
GBPUSD94.9
-11
95.8
100
95.1
-89.2
-60.5
-95
GBPUSD
NZDUSD94.4
-3.3
95.4
95.1
100
-87
-64.9
-90.9
NZDUSD
USDCAD-94.4
-14.6
-92.3
-89.2
-87
100
33.2
82.4
USDCAD
USDCHF-56.3
47.8
-54.3
-60.5
-64.9
33.2
100
69.2
USDCHF
USDJPY-93.9
33.3
-91.2
-95
-90.9
82.4
69.2
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.