Performance analysis tools

Currency Correlation Matrix

See how closely the eight major currencies have moved together, shown as a heatmap of correlation coefficients. Useful for checking that you are not betting the same way twice.

  • No registration
  • Free
  • Built on official published rates

Spot the positions that overlap

Period

A shorter period reflects recent movement, a longer one the average relationship. Correlations over only a few days swing widely by chance, so 30 days or more is recommended for decisions.

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Result

Most closely linked pairing

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Pairing

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Most inversely linked

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Business days used

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-

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Correlation matrix of the eight majors

Correlation coefficient -

Strong positive (0.8+) Moderate positive Little correlation Moderate negative Strong negative (-0.8 or below)

Strongest relationships

Ranked by absolute correlation -
Pairing Correlation Reading

How to read this result

  • What the numbers mean

    Closer to +1 means they have moved the same way, closer to -1 the opposite way. Around 0 the relationship is weak.

  • Watch for doubling up

    Holding pairs that share a highly correlated currency effectively bets the same way twice. Review your total exposure rather than each position alone.

  • This is the past

    Correlations shift with market conditions. They break down particularly around financial crises and policy changes.

Method and specification

  • How it is calculated

    Daily log returns against the US dollar are built for each currency, and the Pearson correlation between them is taken. The dollar's own movement is derived from the average of the other seven.

  • When to use it

    Checking whether several positions lean the same way / confirming that you are actually diversified

  • About the data

    Public data based on European Central Bank reference rates, refreshed every 24 hours. Holidays have no data, so the calculation runs on business days.

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Frequently Asked Questions

How do I read a correlation coefficient?

Closer to +1 means the two have moved in the same direction, closer to -1 the opposite direction. Around 0 the relationship is weak. As a guide, 0.8 or above in absolute terms is strong, 0.5-0.8 moderate, and below 0.2 essentially uncorrelated.

Why does correlation matter?

Because holding highly correlated pairs at the same time effectively bets the same way twice, which makes your risk larger than intended. Even with 2% risk per position, three pairs correlated at 0.9 expose you to something close to 6% of the same move.

Is this the correlation between currency pairs?

It is the correlation between the currencies themselves. Each currency's daily movement against the US dollar is extracted and compared. If EUR and CHF are highly correlated, for instance, you can read that as EUR/USD and USD/CHF tending to move in opposite directions.

Where does the data come from?

Public data based on the reference rates published by the European Central Bank, calculated from daily closes over the period you select. It can differ slightly from exchange or broker rates. The data is refreshed every 24 hours.

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