A 14×14 matrix of Pearson coefficients computed from daily log returns. Use it to diversify and avoid doubling the same risk.
| Pair vs. | EURUSD | GBPUSD | USDJPY | USDCHF | AUDUSD | USDCAD | NZDUSD | EURGBP | EURJPY | EURCHF | GBPJPY | AUDJPY | CADJPY | NZDJPY |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| EURUSD | 1.00 | 0.88 | -0.59 | -0.90 | 0.77 | -0.62 | 0.79 | -0.02 | 0.40 | -0.17 | 0.36 | 0.37 | -0.18 | 0.42 |
| GBPUSD | 0.88 | 1.00 | -0.51 | -0.82 | 0.79 | -0.65 | 0.79 | -0.49 | 0.37 | -0.21 | 0.55 | 0.45 | -0.08 | 0.48 |
| USDJPY | -0.59 | -0.51 | 1.00 | 0.61 | -0.42 | 0.36 | -0.51 | -0.00 | 0.50 | 0.29 | 0.43 | 0.30 | 0.78 | 0.23 |
| USDCHF | -0.90 | -0.82 | 0.61 | 1.00 | -0.71 | 0.65 | -0.79 | 0.08 | -0.27 | 0.59 | -0.26 | -0.29 | 0.18 | -0.40 |
| AUDUSD | 0.77 | 0.79 | -0.42 | -0.71 | 1.00 | -0.61 | 0.83 | -0.26 | 0.35 | -0.18 | 0.43 | 0.74 | -0.01 | 0.60 |
| USDCAD | -0.62 | -0.65 | 0.36 | 0.65 | -0.61 | 1.00 | -0.66 | 0.24 | -0.26 | 0.32 | -0.34 | -0.38 | -0.31 | -0.46 |
| NZDUSD | 0.79 | 0.79 | -0.51 | -0.79 | 0.83 | -0.66 | 1.00 | -0.21 | 0.27 | -0.31 | 0.34 | 0.49 | -0.07 | 0.72 |
| EURGBP | -0.02 | -0.49 | -0.00 | 0.08 | -0.26 | 0.24 | -0.21 | 1.00 | -0.03 | 0.13 | -0.52 | -0.27 | -0.16 | -0.25 |
| EURJPY | 0.40 | 0.37 | 0.50 | -0.27 | 0.35 | -0.26 | 0.27 | -0.03 | 1.00 | 0.14 | 0.87 | 0.74 | 0.69 | 0.71 |
| EURCHF | -0.17 | -0.21 | 0.29 | 0.59 | -0.18 | 0.32 | -0.31 | 0.13 | 0.14 | 1.00 | 0.06 | 0.03 | 0.08 | -0.12 |
| GBPJPY | 0.36 | 0.55 | 0.43 | -0.26 | 0.43 | -0.34 | 0.34 | -0.52 | 0.87 | 0.06 | 1.00 | 0.77 | 0.67 | 0.73 |
| AUDJPY | 0.37 | 0.45 | 0.30 | -0.29 | 0.74 | -0.38 | 0.49 | -0.27 | 0.74 | 0.03 | 0.77 | 1.00 | 0.56 | 0.80 |
| CADJPY | -0.18 | -0.08 | 0.78 | 0.18 | -0.01 | -0.31 | -0.07 | -0.16 | 0.69 | 0.08 | 0.67 | 0.56 | 1.00 | 0.54 |
| NZDJPY | 0.42 | 0.48 | 0.23 | -0.40 | 0.60 | -0.46 | 0.72 | -0.25 | 0.71 | -0.12 | 0.73 | 0.80 | 0.54 | 1.00 |
Source: Frankfurter (ECB rates) · ECB Data PortalUpdated 2026-07-26 18:19 UTC
The matrix covers the 14 most-traded forex pairs (7 majors vs USD + 7 popular crosses) — the pairs retail traders use most often.
Daily data (ECB reference rates). Intraday correlations require paid sources.
Correlation ≠ causation. Two pairs can be correlated because they respond to the same factor (e.g. global risk appetite) without one driving the other.
The 1-month period has only ~22 data points — coefficients can be unstable. For robust conclusions, use 3M or 6M.
The correlation matrix shows how two forex pairs move relative to one another, measured by the Pearson coefficient (between −1 and +1). +1 means identical movement, −1 means exactly opposite movement, 0 means no statistical relationship.
Two positions on pairs with correlation ≈ +1 means doubling the same risk. Positions on pairs with correlation ≈ −1 cancel each other out (a natural hedge). For a balanced portfolio, choose pairs with correlations close to 0.
Correlations change over time. A pair that was uncorrelated last year may become strongly correlated next week if a common macro factor emerges. Recompute the matrix regularly and don't treat the coefficient as a fixed parameter.
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