Correlation

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Currency correlations:

The following correlations between the major pairs have been calculated from approximately 20 months daily data.

	EUR/USD	GBP/USD	NZD/USD	USD/CAD	USD/CHF	USD/JPY
AUD/USD	0.8766	0.8145	0.9066	0.7214	0.7950	0.8611
EUR/USD		0.9169	0.9497	0.8433	0.9806	0.8581
GBP/USD			0.8808	0.6505	0.9081	0.7680
NZD/USD				0.8560	0.9076	0.8143
USD/CAD					0.8447	0.7587
USD/CHF						0.8277
USD/JPY

*All input data in ccy/usd terms before calculation

Data as of 21st April 2005

Since I don't wish to maintain this page, but see that it still gets a lot of interest, I would refer readers to the following links for more up-to-date correlation information:

http://www.mataf.net/en/forex/trading/correlation/table/

http://www.mataf.net/en/forex/trading/correlation/detail/