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Correlation Matrix

Forex correlation analysis computed with Pearson's coefficient (from -1 to +1) on the daily returns of the last 30 sessions, across all 29 markets (28 forex pairs and gold). The matrix is recalculated several times a day from real closing prices. This tool is essential for managing risk exposure and diversifying your portfolio, allowing you to quickly identify currency pairs that move in sync or in opposite directions.

Correlation Matrix

How to read: The matrix shows correlation coefficients between -1 and 1. Values close to 1 indicate strong positive correlation (pairs move together), values close to -1 indicate strong negative correlation (pairs move in opposite directions), and values close to 0 indicate no correlation. Use this information to manage portfolio diversification and avoid taking conflicting positions.

Daily (D1)

29 markets, each against every other — scroll the table sideways to reach them all. The row labels stay pinned on the left.

EURUSD
GBPUSD
USDJPY
USDCHF
AUDUSD
USDCAD
NZDUSD
EURGBP
EURJPY
EURCHF
EURAUD
EURCAD
EURNZD
GBPJPY
GBPCHF
GBPAUD
GBPCAD
GBPNZD
AUDJPY
CADJPY
NZDJPY
CHFJPY
AUDCHF
AUDCAD
AUDNZD
NZDCHF
NZDCAD
CADCHF
XAUUSD
EURUSD 1.00 0.88 -0.53 -0.93 0.54 -0.76 0.78 0.37 -0.13 -0.66 0.30 0.35 -0.24 -0.21 -0.67 0.15 0.08 -0.45 -0.31 -0.23 -0.03 0.20 -0.55 -0.13 -0.55 -0.29 0.36 -0.66 0.62
GBPUSD 0.88 1.00 -0.51 -0.81 0.51 -0.70 0.85 -0.10 -0.15 -0.54 0.23 0.26 -0.47 -0.13 -0.37 0.26 0.33 -0.45 -0.30 -0.24 0.05 0.12 -0.40 -0.09 -0.64 -0.02 0.49 -0.56 0.55
USDJPY -0.53 -0.51 1.00 0.60 -0.55 0.44 -0.55 -0.13 0.91 0.55 0.14 -0.11 0.33 0.92 0.48 0.21 -0.06 0.44 0.85 0.91 0.73 0.67 0.26 -0.15 0.18 0.12 -0.34 0.47 -0.30
USDCHF -0.93 -0.81 0.60 1.00 -0.62 0.70 -0.79 -0.36 0.24 0.89 -0.13 -0.33 0.32 0.31 0.83 0.02 -0.08 0.53 0.33 0.34 0.10 -0.19 0.61 -0.03 0.46 0.42 -0.42 0.83 -0.67
AUDUSD 0.54 0.51 -0.55 -0.62 1.00 -0.52 0.71 0.10 -0.37 -0.61 -0.63 0.04 -0.60 -0.37 -0.45 -0.69 0.00 -0.74 -0.03 -0.37 -0.11 -0.09 0.01 0.61 0.05 0.09 0.52 -0.46 0.56
USDCAD -0.76 -0.70 0.44 0.70 -0.52 1.00 -0.57 -0.24 0.13 0.48 -0.08 0.33 0.18 0.17 0.46 -0.02 0.44 0.32 0.21 0.02 0.03 -0.11 0.26 0.34 0.28 0.20 0.03 0.17 -0.62
NZDUSD 0.78 0.85 -0.55 -0.79 0.71 -0.57 1.00 -0.05 -0.26 -0.65 -0.10 0.31 -0.79 -0.24 -0.44 -0.08 0.33 -0.84 -0.22 -0.35 0.14 0.06 -0.24 0.25 -0.66 0.22 0.79 -0.64 0.48
EURGBP 0.37 -0.10 -0.13 -0.36 0.10 -0.24 -0.05 1.00 0.02 -0.29 0.20 0.22 0.44 -0.19 -0.67 -0.17 -0.47 -0.04 -0.10 -0.03 -0.17 0.16 -0.37 -0.12 0.11 -0.58 -0.23 -0.29 0.24
EURJPY -0.13 -0.15 0.91 0.24 -0.37 0.13 -0.26 0.02 1.00 0.33 0.30 0.04 0.27 0.98 0.24 0.32 -0.02 0.29 0.84 0.95 0.84 0.88 0.04 -0.24 -0.07 0.01 -0.21 0.23 -0.04
EURCHF -0.66 -0.54 0.55 0.89 -0.61 0.48 -0.65 -0.29 0.33 1.00 0.08 -0.25 0.36 0.38 0.87 0.23 -0.04 0.54 0.28 0.39 0.16 -0.15 0.54 -0.22 0.26 0.48 -0.43 0.86 -0.56
EURAUD 0.30 0.23 0.14 -0.13 -0.63 -0.08 -0.10 0.20 0.30 0.08 1.00 0.31 0.47 0.24 -0.10 0.90 0.13 0.44 -0.25 0.19 0.07 0.28 -0.51 -0.79 -0.52 -0.39 -0.25 -0.11 -0.10
EURCAD 0.35 0.26 -0.11 -0.33 0.04 0.33 0.31 0.22 0.04 -0.25 0.31 1.00 -0.11 -0.02 -0.29 0.18 0.75 -0.22 -0.12 -0.28 0.06 0.16 -0.41 0.31 -0.41 -0.10 0.59 -0.71 -0.02
EURNZD -0.24 -0.47 0.33 0.32 -0.60 0.18 -0.79 0.44 0.27 0.36 0.47 -0.11 1.00 0.16 0.02 0.29 -0.39 0.87 0.02 0.29 -0.25 0.10 -0.20 -0.52 0.47 -0.64 -0.86 0.32 -0.14
GBPJPY -0.21 -0.13 0.92 0.31 -0.37 0.17 -0.24 -0.19 0.98 0.38 0.24 -0.02 0.16 1.00 0.37 0.34 0.07 0.28 0.86 0.94 0.87 0.84 0.13 -0.20 -0.08 0.14 -0.16 0.29 -0.09
GBPCHF -0.67 -0.37 0.48 0.83 -0.45 0.46 -0.44 -0.67 0.24 0.87 -0.10 -0.29 0.02 0.37 1.00 0.18 0.16 0.37 0.29 0.31 0.22 -0.18 0.63 -0.05 0.16 0.67 -0.18 0.78 -0.57
GBPAUD 0.15 0.26 0.21 0.02 -0.69 -0.02 -0.08 -0.17 0.32 0.23 0.90 0.18 0.29 0.34 0.18 1.00 0.26 0.44 -0.19 0.25 0.20 0.23 -0.36 -0.77 -0.60 -0.13 -0.18 0.05 -0.16
GBPCAD 0.08 0.33 -0.06 -0.08 0.00 0.44 0.33 -0.47 -0.02 -0.04 0.13 0.75 -0.39 0.07 0.16 0.26 1.00 -0.18 -0.08 -0.27 0.12 0.00 -0.12 0.38 -0.42 0.29 0.69 -0.45 -0.14
GBPNZD -0.45 -0.45 0.44 0.53 -0.74 0.32 -0.84 -0.04 0.29 0.54 0.44 -0.22 0.87 0.28 0.37 0.44 -0.18 1.00 0.06 0.34 -0.18 0.04 -0.02 -0.53 0.44 -0.41 -0.83 0.49 -0.29
AUDJPY -0.31 -0.30 0.85 0.33 -0.03 0.21 -0.22 -0.10 0.84 0.28 -0.25 -0.12 0.02 0.86 0.29 -0.19 -0.08 0.06 1.00 0.85 0.80 0.74 0.33 0.22 0.24 0.21 -0.08 0.28 0.00
CADJPY -0.23 -0.24 0.91 0.34 -0.37 0.02 -0.35 -0.03 0.95 0.39 0.19 -0.28 0.29 0.94 0.31 0.25 -0.27 0.34 0.85 1.00 0.80 0.80 0.16 -0.32 0.06 0.04 -0.39 0.44 -0.03
NZDJPY -0.03 0.05 0.73 0.10 -0.11 0.03 0.14 -0.17 0.84 0.16 0.07 0.06 -0.25 0.87 0.22 0.20 0.12 -0.18 0.80 0.80 1.00 0.81 0.11 -0.02 -0.36 0.35 0.21 0.10 0.03
CHFJPY 0.20 0.12 0.67 -0.19 -0.09 -0.11 0.06 0.16 0.88 -0.15 0.28 0.16 0.10 0.84 -0.18 0.23 0.00 0.04 0.74 0.80 0.81 1.00 -0.24 -0.15 -0.20 -0.23 -0.01 -0.19 0.25
AUDCHF -0.55 -0.40 0.26 0.61 0.01 0.26 -0.24 -0.37 0.04 0.54 -0.51 -0.41 -0.20 0.13 0.63 -0.36 -0.12 -0.02 0.33 0.16 0.11 -0.24 1.00 0.25 0.38 0.62 -0.04 0.63 -0.38
AUDCAD -0.13 -0.09 -0.15 -0.03 0.61 0.34 0.25 -0.12 -0.24 -0.22 -0.79 0.31 -0.52 -0.20 -0.05 -0.77 0.38 -0.53 0.22 -0.32 -0.02 -0.15 0.25 1.00 0.30 0.32 0.60 -0.32 0.06
AUDNZD -0.55 -0.64 0.18 0.46 0.05 0.28 -0.66 0.11 -0.07 0.26 -0.52 -0.41 0.47 -0.08 0.16 -0.60 -0.42 0.44 0.24 0.06 -0.36 -0.20 0.38 0.30 1.00 -0.22 -0.56 0.41 -0.10
NZDCHF -0.29 -0.02 0.12 0.42 0.09 0.20 0.22 -0.58 0.01 0.48 -0.39 -0.10 -0.64 0.14 0.67 -0.13 0.29 -0.41 0.21 0.04 0.35 -0.23 0.62 0.32 -0.22 1.00 0.45 0.41 -0.33
NZDCAD 0.36 0.49 -0.34 -0.42 0.52 0.03 0.79 -0.23 -0.21 -0.43 -0.25 0.59 -0.86 -0.16 -0.18 -0.18 0.69 -0.83 -0.08 -0.39 0.21 -0.01 -0.04 0.60 -0.56 0.45 1.00 -0.62 0.11
CADCHF -0.66 -0.56 0.47 0.83 -0.46 0.17 -0.64 -0.29 0.23 0.86 -0.11 -0.71 0.32 0.29 0.78 0.05 -0.45 0.49 0.28 0.44 0.10 -0.19 0.63 -0.32 0.41 0.41 -0.62 1.00 -0.42
XAUUSD 0.62 0.55 -0.30 -0.67 0.56 -0.62 0.48 0.24 -0.04 -0.56 -0.10 -0.02 -0.14 -0.09 -0.57 -0.16 -0.14 -0.29 0.00 -0.03 0.03 0.25 -0.38 0.06 -0.10 -0.33 0.11 -0.42 1.00
Correlation Strength
Strong Positive (0.7 to 1.0)
Moderate Positive (0.3 to 0.7)
Weak/No Correlation (-0.3 to 0.3)
Moderate Negative (-0.7 to -0.3)
Strong Negative (-1.0 to -0.7)

Notable Correlations

Strongest Positive Correlations

EURJPY vs GBPJPY
0.98
EURJPY vs CADJPY
0.95
GBPJPY vs CADJPY
0.94
USDJPY vs GBPJPY
0.92
USDJPY vs CADJPY
0.91

Strongest Negative Correlations

EURUSD vs USDCHF
-0.93
EURNZD vs NZDCAD
-0.86
NZDUSD vs GBPNZD
-0.84
GBPNZD vs NZDCAD
-0.83
GBPUSD vs USDCHF
-0.81

Understanding Forex Correlations

What is Currency Correlation?

Currency correlation refers to the relationship between different currency pairs in the forex market. When two pairs are positively correlated, they tend to move in the same direction. When they are negatively correlated, they tend to move in opposite directions.

Understanding these relationships can help traders:

  • Diversify their portfolio
  • Avoid taking redundant positions
  • Reduce overall risk
  • Identify potential hedging opportunities
  • Confirm trading signals

How to Use This Information

The correlation matrix provides valuable insights for trading strategies:

  • Diversification: Trading positively correlated pairs can increase risk, as losses may multiply across positions. Consider choosing pairs with low correlation.
  • Confirmation: If you see a signal on one pair, check correlated pairs for confirmation of the trend.
  • Hedging: Negatively correlated pairs can help hedge existing positions during uncertain market conditions.
  • Arbitrage: Temporary deviations in historically correlated pairs might present arbitrage opportunities.

Remember that correlations can and do change over time, especially during major economic events or market regime changes.

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Background reading

From our blog, on what this page measures.

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