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MARKET CONTEXT

Currency Correlation Calculator

See how major currency pairs have moved together. Choose a lookback to compare their daily returns on the same observation dates.

Free to use · No account required

Calculate with your inputs

How it works ↓
01 / INPUTS
Lookback window

About these inputs & sources

Automatic rates: European Central Bank via Frankfurter. Daily reference data, available free from the ECB. Data dates appear with each result; these are informational rates rather than executable prices.

02 / RESULTSReady to calculate

Your results will appear here.

Reading the matrix

Each cell is a Pearson correlation coefficient between two series of daily log returns. +1 means perfectly aligned returns; −1 means perfectly opposing returns. A value near zero shows little linear relationship in this sample. Constant series are marked N/A.

We first align available ECB publication dates for all ten pairs, then calculate return = ln(today’s rate / previous rate). A 30-observation result needs 31 shared daily prices. Weekends and ECB holidays do not create artificial zero returns.

Example: shared exposure

If EUR/USD and GBP/USD have a sample correlation of +0.80, two long positions can share substantial exposure. Opposite position directions change the exposure interpretation. A historical coefficient does not predict the next move.

Data coverage

This matrix covers fiat FX pairs built from ECB daily reference rates. It does not include gold, crypto or intraday candles. The first and last observation dates and actual sample size accompany the matrix.