Forex Correlation Matrix — 28 Pairs
Pearson correlation of daily log returns across all 28 conventional FX pairs, built from ~90 days of ECB reference rates (converted to USD base, crosses triangulated). Green = move together, red = move opposite. Data through 2026-10-14.
| AUDNZD | AUDUSD | CADAUD | CADNZD | CHFAUD | CHFCAD | CHFNZD | EURAUD | EURCAD | EURCHF | EURGBP | EURJPY | EURNZD | EURUSD | GBPAUD | GBPCAD | GBPCHF | GBPJPY | GBPNZD | GBPUSD | JPYAUD | JPYCAD | JPYCHF | JPYNZD | NZDUSD | USDCAD | USDCHF | USDJPY | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AUDNZD | 1.00 | 0.14 | -0.47 | 0.51 | -0.54 | -0.20 | 0.31 | -0.47 | 0.06 | 0.26 | 0.02 | 0.11 | 0.59 | -0.25 | -0.45 | 0.05 | 0.24 | 0.10 | 0.55 | -0.25 | -0.33 | -0.07 | 0.05 | 0.24 | -0.58 | 0.34 | 0.38 | 0.24 |
| AUDUSD | 0.14 | 1.00 | -0.69 | -0.53 | -0.42 | 0.19 | -0.34 | -0.55 | 0.26 | 0.03 | 0.03 | 0.13 | -0.36 | 0.68 | -0.53 | 0.22 | 0.01 | 0.12 | -0.36 | 0.64 | -0.39 | 0.00 | -0.11 | -0.32 | 0.72 | -0.56 | -0.51 | -0.29 |
| CADAUD | -0.47 | -0.69 | 1.00 | 0.52 | 0.66 | -0.21 | 0.31 | 0.66 | -0.52 | -0.22 | -0.04 | -0.18 | 0.13 | -0.22 | 0.64 | -0.47 | -0.20 | -0.16 | 0.14 | -0.19 | 0.49 | -0.09 | 0.04 | 0.23 | -0.24 | -0.22 | 0.01 | -0.03 |
| CADNZD | 0.51 | -0.53 | 0.52 | 1.00 | 0.12 | -0.40 | 0.60 | 0.19 | -0.44 | 0.03 | -0.01 | -0.07 | 0.70 | -0.45 | 0.18 | -0.41 | 0.04 | -0.06 | 0.67 | -0.43 | 0.15 | -0.16 | 0.08 | 0.46 | -0.80 | 0.12 | 0.38 | 0.21 |
| CHFAUD | -0.54 | -0.42 | 0.66 | 0.12 | 1.00 | 0.60 | 0.63 | 0.65 | -0.09 | -0.69 | -0.06 | -0.19 | 0.05 | 0.09 | 0.64 | -0.05 | -0.64 | -0.17 | 0.08 | 0.11 | 0.50 | 0.15 | -0.22 | 0.20 | 0.03 | -0.18 | -0.56 | -0.23 |
| CHFCAD | -0.20 | 0.19 | -0.21 | -0.40 | 0.60 | 1.00 | 0.49 | 0.14 | 0.43 | -0.65 | -0.04 | -0.07 | -0.07 | 0.34 | 0.15 | 0.43 | -0.62 | -0.05 | -0.05 | 0.35 | 0.13 | 0.28 | -0.32 | 0.02 | 0.29 | -0.01 | -0.74 | -0.26 |
| CHFNZD | 0.31 | -0.34 | 0.31 | 0.60 | 0.63 | 0.49 | 1.00 | 0.30 | -0.05 | -0.54 | -0.04 | -0.12 | 0.60 | -0.13 | 0.31 | -0.02 | -0.50 | -0.10 | 0.59 | -0.10 | 0.26 | 0.10 | -0.20 | 0.45 | -0.50 | 0.11 | -0.29 | -0.03 |
| EURAUD | -0.47 | -0.55 | 0.66 | 0.19 | 0.65 | 0.14 | 0.30 | 1.00 | 0.30 | 0.11 | 0.18 | 0.01 | 0.44 | 0.25 | 0.83 | 0.16 | 0.00 | -0.05 | 0.32 | 0.14 | 0.50 | 0.14 | 0.05 | 0.24 | -0.13 | -0.02 | -0.12 | -0.14 |
| EURCAD | 0.06 | 0.26 | -0.52 | -0.44 | -0.09 | 0.43 | -0.05 | 0.30 | 1.00 | 0.41 | 0.25 | 0.24 | 0.34 | 0.56 | 0.13 | 0.78 | 0.25 | 0.14 | 0.19 | 0.41 | -0.05 | 0.27 | 0.01 | -0.02 | 0.17 | 0.25 | -0.15 | -0.12 |
| EURCHF | 0.26 | 0.03 | -0.22 | 0.03 | -0.69 | -0.65 | -0.54 | 0.11 | 0.41 | 1.00 | 0.25 | 0.27 | 0.36 | 0.12 | -0.04 | 0.22 | 0.84 | 0.17 | 0.21 | -0.01 | -0.18 | -0.06 | 0.33 | -0.03 | -0.16 | 0.22 | 0.63 | 0.17 |
| EURGBP | 0.02 | 0.03 | -0.04 | -0.01 | -0.06 | -0.04 | -0.04 | 0.18 | 0.25 | 0.25 | 1.00 | 0.10 | 0.19 | 0.20 | -0.39 | -0.41 | -0.32 | -0.25 | -0.34 | -0.32 | 0.01 | 0.03 | 0.05 | 0.02 | 0.01 | 0.00 | 0.03 | -0.03 |
| EURJPY | 0.11 | 0.13 | -0.18 | -0.07 | -0.19 | -0.07 | -0.12 | 0.01 | 0.24 | 0.27 | 0.10 | 1.00 | 0.12 | 0.16 | -0.05 | 0.16 | 0.21 | 0.94 | 0.06 | 0.11 | -0.86 | -0.87 | -0.82 | -0.83 | 0.03 | 0.03 | 0.07 | 0.81 |
| EURNZD | 0.59 | -0.36 | 0.13 | 0.70 | 0.05 | -0.07 | 0.60 | 0.44 | 0.34 | 0.36 | 0.19 | 0.12 | 1.00 | -0.03 | 0.30 | 0.19 | 0.24 | 0.05 | 0.86 | -0.12 | 0.12 | 0.05 | 0.10 | 0.46 | -0.71 | 0.33 | 0.28 | 0.12 |
| EURUSD | -0.25 | 0.68 | -0.22 | -0.45 | 0.09 | 0.34 | -0.13 | 0.25 | 0.56 | 0.12 | 0.20 | 0.16 | -0.03 | 1.00 | 0.12 | 0.40 | 0.01 | 0.09 | -0.13 | 0.86 | -0.02 | 0.12 | -0.08 | -0.16 | 0.73 | -0.66 | -0.70 | -0.45 |
| GBPAUD | -0.45 | -0.53 | 0.64 | 0.18 | 0.64 | 0.15 | 0.31 | 0.83 | 0.13 | -0.04 | -0.39 | -0.05 | 0.30 | 0.12 | 1.00 | 0.38 | 0.18 | 0.09 | 0.49 | 0.32 | 0.46 | 0.11 | 0.02 | 0.21 | -0.12 | -0.02 | -0.13 | -0.11 |
| GBPCAD | 0.05 | 0.22 | -0.47 | -0.41 | -0.05 | 0.43 | -0.02 | 0.16 | 0.78 | 0.22 | -0.41 | 0.16 | 0.19 | 0.40 | 0.38 | 1.00 | 0.45 | 0.29 | 0.40 | 0.59 | -0.06 | 0.24 | -0.03 | -0.03 | 0.15 | 0.24 | -0.16 | -0.09 |
| GBPCHF | 0.24 | 0.01 | -0.20 | 0.04 | -0.64 | -0.62 | -0.50 | 0.00 | 0.25 | 0.84 | -0.32 | 0.21 | 0.24 | 0.01 | 0.18 | 0.45 | 1.00 | 0.31 | 0.40 | 0.17 | -0.18 | -0.08 | 0.30 | -0.05 | -0.16 | 0.22 | 0.60 | 0.18 |
| GBPJPY | 0.10 | 0.12 | -0.16 | -0.06 | -0.17 | -0.05 | -0.10 | -0.05 | 0.14 | 0.17 | -0.25 | 0.94 | 0.05 | 0.09 | 0.09 | 0.29 | 0.31 | 1.00 | 0.18 | 0.21 | -0.84 | -0.86 | -0.82 | -0.81 | 0.03 | 0.02 | 0.05 | 0.80 |
| GBPNZD | 0.55 | -0.36 | 0.14 | 0.67 | 0.08 | -0.05 | 0.59 | 0.32 | 0.19 | 0.21 | -0.34 | 0.06 | 0.86 | -0.13 | 0.49 | 0.40 | 0.40 | 0.18 | 1.00 | 0.05 | 0.11 | 0.03 | 0.06 | 0.43 | -0.68 | 0.32 | 0.25 | 0.13 |
| GBPUSD | -0.25 | 0.64 | -0.19 | -0.43 | 0.11 | 0.35 | -0.10 | 0.14 | 0.41 | -0.01 | -0.32 | 0.11 | -0.12 | 0.86 | 0.32 | 0.59 | 0.17 | 0.21 | 0.05 | 1.00 | -0.02 | 0.10 | -0.11 | -0.16 | 0.70 | -0.64 | -0.69 | -0.42 |
| JPYAUD | -0.33 | -0.39 | 0.49 | 0.15 | 0.50 | 0.13 | 0.26 | 0.50 | -0.05 | -0.18 | 0.01 | -0.86 | 0.12 | -0.02 | 0.46 | -0.06 | -0.18 | -0.84 | 0.11 | -0.02 | 1.00 | 0.83 | 0.74 | 0.84 | -0.09 | -0.03 | -0.12 | -0.77 |
| JPYCAD | -0.07 | 0.00 | -0.09 | -0.16 | 0.15 | 0.28 | 0.10 | 0.14 | 0.27 | -0.06 | 0.03 | -0.87 | 0.05 | 0.12 | 0.11 | 0.24 | -0.08 | -0.86 | 0.03 | 0.10 | 0.83 | 1.00 | 0.82 | 0.81 | 0.05 | 0.10 | -0.14 | -0.86 |
| JPYCHF | 0.05 | -0.11 | 0.04 | 0.08 | -0.22 | -0.32 | -0.20 | 0.05 | 0.01 | 0.33 | 0.05 | -0.82 | 0.10 | -0.08 | 0.02 | -0.03 | 0.30 | -0.82 | 0.06 | -0.11 | 0.74 | 0.82 | 1.00 | 0.79 | -0.13 | 0.11 | 0.31 | -0.69 |
| JPYNZD | 0.24 | -0.32 | 0.23 | 0.46 | 0.20 | 0.02 | 0.45 | 0.24 | -0.02 | -0.03 | 0.02 | -0.83 | 0.46 | -0.16 | 0.21 | -0.03 | -0.05 | -0.81 | 0.43 | -0.16 | 0.84 | 0.81 | 0.79 | 1.00 | -0.43 | 0.17 | 0.10 | -0.65 |
| NZDUSD | -0.58 | 0.72 | -0.24 | -0.80 | 0.03 | 0.29 | -0.50 | -0.13 | 0.17 | -0.16 | 0.01 | 0.03 | -0.71 | 0.73 | -0.12 | 0.15 | -0.16 | 0.03 | -0.68 | 0.70 | -0.09 | 0.05 | -0.13 | -0.43 | 1.00 | -0.70 | -0.69 | -0.40 |
| USDCAD | 0.34 | -0.56 | -0.22 | 0.12 | -0.18 | -0.01 | 0.11 | -0.02 | 0.25 | 0.22 | 0.00 | 0.03 | 0.33 | -0.66 | -0.02 | 0.24 | 0.22 | 0.02 | 0.32 | -0.64 | -0.03 | 0.10 | 0.11 | 0.17 | -0.70 | 1.00 | 0.68 | 0.42 |
| USDCHF | 0.38 | -0.51 | 0.01 | 0.38 | -0.56 | -0.74 | -0.29 | -0.12 | -0.15 | 0.63 | 0.03 | 0.07 | 0.28 | -0.70 | -0.13 | -0.16 | 0.60 | 0.05 | 0.25 | -0.69 | -0.12 | -0.14 | 0.31 | 0.10 | -0.69 | 0.68 | 1.00 | 0.48 |
| USDJPY | 0.24 | -0.29 | -0.03 | 0.21 | -0.23 | -0.26 | -0.03 | -0.14 | -0.12 | 0.17 | -0.03 | 0.81 | 0.12 | -0.45 | -0.11 | -0.09 | 0.18 | 0.80 | 0.13 | -0.42 | -0.77 | -0.86 | -0.69 | -0.65 | -0.40 | 0.42 | 0.48 | 1.00 |
Methodology: ECB daily reference rates (EUR-based, via Frankfurter) → converted to USD base → all 28 pair prices constructed (EURUSD = 1/R(EUR); USDJPY = R(JPY); crosses triangulated, e.g. EURGBP = EURUSD/GBPUSD) → daily log returns → Pearson correlation. 85 observations. Rates are reference rates for information, not transaction prices.
How To Use Correlation In Your Trading
Risk stacking: buying EURUSD, GBPUSD and AUDUSD at once is not three trades — with ~+0.6 to +0.8 correlation between them it's roughly one 3× bet against the USD. Check the matrix before scaling into "different" pairs.
Natural hedges: strongly negative pairs (e.g. EURUSD vs USDCHF historically ≈ −0.9) move against each other — useful for hedge construction, dangerous if traded in the same direction by accident.
Pairs trading: when EURJPY and GBPJPY correlation temporarily breaks down, mean-reversion traders trade the spread back to normal.
FAQ
What is a good correlation for forex pairs?
Above +0.7 or below −0.7 is strongly correlated; treat those positions as one exposure. Between +0.3 and −0.3 is effectively independent — safe to combine.
Which forex pairs are most correlated?
EURUSD vs GBPUSD and EURUSD vs AUDUSD usually run +0.6 to +0.9; EURUSD vs USDCHF is the classic −0.9 inverse. GBPJPY and AUDJPY both follow risk sentiment.
Why do some pairs show the same absolute correlation?
Inverse pairs are mirror images by construction: EURUSD vs USDCHF are almost the same bet seen from opposite ends, so their correlation with other pairs is nearly identical in magnitude with flipped signs.
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