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.

Timeframe

Daily (D1)

Correlation Filter

Minimum Correlation Strength: 0.5

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	0.95	-0.52	-0.76	0.46	-0.77	0.73	0.06	0.58	0.15	0.31	0.58	-0.07	0.57	0.12	0.31	0.58	-0.09	0.11	0.22	0.45	0.45	-0.17	-0.01	-0.38	0.15	0.37	-0.28	0.50
GBPUSD	0.95	1.00	-0.56	-0.77	0.52	-0.82	0.75	-0.27	0.49	0.06	0.20	0.44	-0.16	0.60	0.17	0.29	0.62	-0.06	0.15	0.23	0.45	0.44	-0.12	0.03	-0.33	0.16	0.36	-0.26	0.44
USDJPY	-0.52	-0.56	1.00	0.61	-0.23	0.58	-0.40	0.16	0.39	0.25	-0.18	-0.07	0.06	0.33	0.18	-0.23	-0.17	0.00	0.40	0.52	0.20	0.18	0.25	0.16	0.24	0.08	-0.10	0.26	-0.02
USDCHF	-0.76	-0.77	0.61	1.00	-0.19	0.63	-0.47	0.13	-0.24	0.53	-0.40	-0.39	-0.06	-0.29	0.49	-0.46	-0.48	-0.11	0.20	0.03	-0.12	-0.67	0.57	0.23	0.37	0.33	-0.16	0.71	-0.42
AUDUSD	0.46	0.52	-0.23	-0.19	1.00	-0.58	0.65	-0.26	0.28	0.31	-0.70	-0.01	-0.47	0.38	0.43	-0.67	0.13	-0.40	0.80	0.35	0.53	0.03	0.70	0.79	0.33	0.52	0.39	0.27	0.29
USDCAD	-0.77	-0.82	0.58	0.63	-0.58	1.00	-0.56	0.22	-0.28	-0.06	0.01	0.07	0.05	-0.37	-0.15	-0.06	-0.05	-0.03	-0.19	-0.40	-0.23	-0.23	-0.04	0.03	0.03	-0.08	-0.01	-0.10	-0.19
NZDUSD	0.73	0.75	-0.40	-0.47	0.65	-0.56	1.00	-0.14	0.41	0.23	-0.11	0.43	-0.74	0.47	0.29	-0.07	0.54	-0.71	0.36	0.14	0.82	0.21	0.20	0.37	-0.51	0.68	0.84	-0.10	0.41
EURGBP	0.06	-0.27	0.16	0.13	-0.26	0.22	-0.14	1.00	0.21	0.27	0.32	0.37	0.27	-0.15	-0.17	0.06	-0.16	-0.06	-0.14	-0.05	-0.05	-0.01	-0.12	-0.15	-0.11	-0.05	-0.03	-0.03	0.13
EURJPY	0.58	0.49	0.39	-0.24	0.28	-0.28	0.41	0.21	1.00	0.39	0.16	0.56	-0.02	0.93	0.30	0.11	0.47	-0.09	0.50	0.73	0.68	0.66	0.06	0.14	-0.18	0.23	0.30	-0.05	0.53
EURCHF	0.15	0.06	0.25	0.53	0.31	-0.06	0.23	0.27	0.39	1.00	-0.21	0.16	-0.18	0.30	0.90	-0.29	0.03	-0.28	0.44	0.34	0.40	-0.43	0.65	0.33	0.07	0.69	0.24	0.73	0.02
EURAUD	0.31	0.20	-0.18	-0.40	-0.70	0.01	-0.11	0.32	0.16	-0.21	1.00	0.48	0.44	0.05	-0.36	0.96	0.33	0.36	-0.77	-0.20	-0.21	0.33	-0.88	-0.86	-0.65	-0.43	-0.12	-0.51	0.09
EURCAD	0.58	0.44	-0.07	-0.39	-0.01	0.07	0.43	0.37	0.56	0.16	0.48	1.00	-0.06	0.43	0.00	0.40	0.86	-0.19	-0.06	-0.15	0.42	0.41	-0.29	0.04	-0.55	0.14	0.57	-0.56	0.55
EURNZD	-0.07	-0.16	0.06	-0.06	-0.47	0.05	-0.74	0.27	-0.02	-0.18	0.44	-0.06	1.00	-0.12	-0.30	0.39	-0.22	0.94	-0.40	0.02	-0.75	0.13	-0.44	-0.54	0.39	-0.84	-0.86	-0.11	-0.09
GBPJPY	0.57	0.60	0.33	-0.29	0.38	-0.37	0.47	-0.15	0.93	0.30	0.05	0.43	-0.12	1.00	0.37	0.09	0.54	-0.07	0.56	0.76	0.71	0.67	0.11	0.20	-0.15	0.25	0.32	-0.04	0.49
GBPCHF	0.12	0.17	0.18	0.49	0.43	-0.15	0.29	-0.17	0.30	0.90	-0.36	0.00	-0.30	0.37	1.00	-0.33	0.09	-0.26	0.52	0.36	0.43	-0.44	0.72	0.41	0.12	0.72	0.25	0.76	-0.04
GBPAUD	0.31	0.29	-0.23	-0.46	-0.67	-0.06	-0.07	0.06	0.11	-0.29	0.96	0.40	0.39	0.09	-0.33	1.00	0.39	0.40	-0.77	-0.19	-0.21	0.35	-0.90	-0.86	-0.66	-0.44	-0.12	-0.53	0.06
GBPCAD	0.58	0.62	-0.17	-0.48	0.13	-0.05	0.54	-0.16	0.47	0.03	0.33	0.86	-0.22	0.54	0.09	0.39	1.00	-0.16	0.02	-0.14	0.47	0.44	-0.24	0.12	-0.52	0.18	0.62	-0.57	0.52
GBPNZD	-0.09	-0.06	0.00	-0.11	-0.40	-0.03	-0.71	-0.06	-0.09	-0.28	0.36	-0.19	0.94	-0.07	-0.26	0.40	-0.16	1.00	-0.38	0.04	-0.76	0.14	-0.42	-0.52	0.43	-0.85	-0.88	-0.11	-0.14
AUDJPY	0.11	0.15	0.40	0.20	0.80	-0.19	0.36	-0.14	0.50	0.44	-0.77	-0.06	-0.40	0.56	0.52	-0.77	0.02	-0.38	1.00	0.65	0.63	0.13	0.82	0.84	0.45	0.53	0.31	0.41	0.26
CADJPY	0.22	0.23	0.52	0.03	0.35	-0.40	0.14	-0.05	0.73	0.34	-0.20	-0.15	0.02	0.76	0.36	-0.19	-0.14	0.04	0.65	1.00	0.47	0.45	0.32	0.14	0.23	0.16	-0.10	0.39	0.18
NZDJPY	0.45	0.45	0.20	-0.12	0.53	-0.23	0.82	-0.05	0.68	0.40	-0.21	0.42	-0.75	0.71	0.43	-0.21	0.47	-0.76	0.63	0.47	1.00	0.34	0.36	0.48	-0.41	0.77	0.83	0.05	0.42
CHFJPY	0.45	0.44	0.18	-0.67	0.03	-0.23	0.21	-0.01	0.66	-0.43	0.33	0.41	0.13	0.67	-0.44	0.35	0.44	0.14	0.13	0.45	0.34	1.00	-0.46	-0.14	-0.23	-0.33	0.11	-0.65	0.50
AUDCHF	-0.17	-0.12	0.25	0.57	0.70	-0.04	0.20	-0.12	0.06	0.65	-0.88	-0.29	-0.44	0.11	0.72	-0.90	-0.24	-0.42	0.82	0.32	0.36	-0.46	1.00	0.83	0.54	0.67	0.21	0.75	-0.06
AUDCAD	-0.01	0.03	0.16	0.23	0.79	0.03	0.37	-0.15	0.14	0.33	-0.86	0.04	-0.54	0.20	0.41	-0.86	0.12	-0.52	0.84	0.14	0.48	-0.14	0.83	1.00	0.43	0.58	0.47	0.26	0.22
AUDNZD	-0.38	-0.33	0.24	0.37	0.33	0.03	-0.51	-0.11	-0.18	0.07	-0.65	-0.55	0.39	-0.15	0.12	-0.66	-0.52	0.43	0.45	0.23	-0.41	-0.23	0.54	0.43	1.00	-0.26	-0.60	0.44	-0.17
NZDCHF	0.15	0.16	0.08	0.33	0.52	-0.08	0.68	-0.05	0.23	0.69	-0.43	0.14	-0.84	0.25	0.72	-0.44	0.18	-0.85	0.53	0.16	0.77	-0.33	0.67	0.58	-0.26	1.00	0.77	0.48	0.08
NZDCAD	0.37	0.36	-0.10	-0.16	0.39	-0.01	0.84	-0.03	0.30	0.24	-0.12	0.57	-0.86	0.32	0.25	-0.12	0.62	-0.88	0.31	-0.10	0.83	0.11	0.21	0.47	-0.60	0.77	1.00	-0.19	0.36
CADCHF	-0.28	-0.26	0.26	0.71	0.27	-0.10	-0.10	-0.03	-0.05	0.73	-0.51	-0.56	-0.11	-0.04	0.76	-0.53	-0.57	-0.11	0.41	0.39	0.05	-0.65	0.75	0.26	0.44	0.48	-0.19	1.00	-0.36
XAUUSD	0.50	0.44	-0.02	-0.42	0.29	-0.19	0.41	0.13	0.53	0.02	0.09	0.55	-0.09	0.49	-0.04	0.06	0.52	-0.14	0.26	0.18	0.42	0.50	-0.06	0.22	-0.17	0.08	0.36	-0.36	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)

With 30 sessions of data the 95% confidence interval around a coefficient is about ±0.36, so most cells could sit one class above or below the one shown: read the colours as an indication of direction and rough strength, not as precise categories.

Notable Correlations

Strongest Positive Correlations

EURAUD vs GBPAUD

0.96

EURUSD vs GBPUSD

0.95

EURNZD vs GBPNZD

0.94

EURJPY vs GBPJPY

0.93

EURCHF vs GBPCHF

0.90

Strongest Negative Correlations

GBPAUD vs AUDCHF

-0.90

EURAUD vs AUDCHF

-0.88

GBPNZD vs NZDCAD

-0.88

EURAUD vs AUDCAD

-0.86

EURNZD vs NZDCAD

-0.86

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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