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July 16, 2020 | FX VS. Asset Class Correlations Analysis (1-Year vs 30-Days)

Jack has over 20 years experience in the currency, equity, and futures arena. He is an investment advisor who has held key positions in brokerage, money management, trading, and research. Jack is founder and president of Black Swan Capital LLC. He was also founder of Ross International Asset Management (specializing in global stock, bond, and currency asset management for retail clients) and General Manager of Plexus Trading (specializing in currency futures and commodities trading).

I haven’t shared this for a while, but here is a look at various asset class correlations with key forex we follow.  

Two different time frames so you can see the changes.  We have one-year vs. 30-days.

Some abbreviations you may not recognize: GDAXI (German Dax Stock Index), HSI (Hong Kong Stocks), CA10YT=RR (Canadian 10-yer benchmark interest rates)…

Yearly Top 25 Positive Correlations
Ex. The #1 yearly correlation is between USD/JPY and 10-year Canadian interest rates at 61.7%. ….

top 25 yearly correlations.png

One-Year top 25 negative correlations. 
Eg. There is a 64.75% negative correlation between the Mexican peso (USD/MXN) and S&P 500 Index.  In other words, about 65% of the time if the S&P 500 index rallies, the Mexican peso gains in value against the US dollar.

Bottom 25 yearly correlations.png

Top 25 positive correlations over a 30-day period.
Note: Over a 30-day time frame the Australian dollar vs. S&P 500 Index is the top positive correlation at 74.71% (that is tight).  So, if S&P goes up, there is a pretty good chance AUD/USD goes higher, vice versa.

30 d top 25.png

Top 25 Negative correlations over 30-days

bottom 25 30d.png

Currencies: ZAR= South African Rand, INR = Indian Rupee, CNY= Chinese yuan, BRL = Brazilian Real, HKD = Hong Kong Dollar (I suspect you know the others).

Please email if you have questions on this or would like to see other correlations

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July 16th, 2020

Posted In: Black Swan Currency Currents

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