: that is, being exposed in one currency pair is unrelated to being exposed in the other currency pair in the correlation. Selection using the traditional pairwise sample correlation estimate is presented. How do I read the quantf research Max. USD/SEK, eUR/USD -0.98, eUR/CAD, cAD/CHF -0.97, eUR/GBP, gBP/CHF -0.97 EUR/ZAR ZAR/JPY -0.97 USD/ZAR ZAR/JPY -0.96 EUR/NZD CAD/CHF -0.95 EUR/AUD CAD/CHF -0.95 USD/CHF EUR/USD -0.95 Currency Pair 1 Currency Pair 2 Correlation Estimate EUR/NZD EUR/CAD.98 USD/DKK USD/SEK.98 GBP/SGD GBP/NZD. Quantf research is not responsible for the accuracy of the data. If you look at EUR/USD and GBP/USD, heres an example of the extent to which currency correlations can change and jump around. If we decide that USD is going to weaken, for example, we will go long and place half of buy order on AUD/USD currency pair, and half on EUR/USD.
If EUR/USD falls 10 pips, you would be down. Examples of same direction moving currency pairs are: EUR/USD and GBP/USD, eUR/USD and NZD/USD, uSD/CHF and USD/JPY. Quantf research does not redistribute the data. Covariance Averaging for Improved Estimation and Portfolio Allocation. For comparison purposes the relevant Max. For example, over a one week period, the correlation between USD/JPY and USD/CHF was.22. The lesson here is that currency correlations do change, and they change frequently. For example, a trader has opened long positions on both currency pairs. Another option would be to diversify risks in trade. theyre different across the board, changing from one time frame to another. They are both calculated using the price returns of the past 11 trading days.