Correlation Matrix

See how closely instruments move together before you assume two positions are independent.

What the numbers mean

The table shows the correlation of DAILY RETURNS, not of prices. Two instruments can both drift upward for years and look related when they are not; returns answer the question that matters - when one moves, does the other move too. +1 is lockstep, -1 is opposite, 0 is no linear relationship. Correlation describes the past and can break down exactly when it matters most.

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Pearson correlation of daily returns over the last 180 days. +1 means the two move together, -1 means they move opposite, 0 means no linear relationship.

XAU/USD USD/CHF USD/JPY USB10Y/USD VIX/USD
XAU/USD 1.00 -0.60 -0.32 0.34 -0.39
USD/CHF -0.60 1.00 0.59 -0.47 0.33
USD/JPY -0.32 0.59 1.00 -0.26 0.53
USB10Y/USD 0.34 -0.47 -0.26 1.00 -0.34
VIX/USD -0.39 0.33 0.53 -0.34 1.00
−1.0 opposite same direction +1.0