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Currency Correlations

Posted on October 17, 2008 at 5:08 in Uncategorized by Wayne McDonell

The table below lists the correlation between two currency pairs (sorted alphabetically).

Scope of the table

Table values: Correlation Coefficient

Currency Pairs: EUR/USD, GBP/USD, USD/CHF, USD/JPY, AUD/USD, USD/CAD, NZD/USD, EUR/CHF, GBP/CHF, AUD/JPY, CAD/JPY, EUR/JPY, GBP/JPY, NZD/JPY

Time frames: 1, 3, 6, and 12 months prior to 10 October 2008

Color key:
Positive correlation represented by light green background.
Negative (or “inverse”) correlation represented by light red background.
Correlation strength represented by boldness of number. For example, figures which are difficult to read are that way by design…such correlations are very weak.

One Response to “Currency Correlations”

  1. on 19 Oct 2008 at 12:44 am1Keithd

    Thanks Curt for setting up this resource. I am sure that us traders can make good use of the data for our correlations study and trading. I was able to paste the copied data into an excell spreadsheet and sort the columns very easily for analysis of most correlated pairs Good work Coach!

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