International Financial Management

Assignment # 01

Submitted To: Sir Jamal

Submitted By:

(Saira Rashid, Rubina Rehman Asma Ayub,Ume Salma,)

MBA 4th Afternoon

 INTRODUCTION

Correlation measures how closely two currency pairs move together. Some currencies tend to
move in the same direction, some in opposite. It helps to hedge, diversify or double profitable
positions. A correlation of +1 means two currency pairs will move in the same direction 100% of
the time. A correlation of -1 means they will move in the opposite direction 100% of the time. A
correlation of zero means no relation between currency pairs exists. If the correlation is high
(above 80) and positive then the currencies move in the same way. If the correlation is high
(above 80) and negative then the currencies move in the opposite way. If the correlation is low
(below 60) then the currencies don't move together.

CORRELATION FORMULA

CORRELATION CALCULATION

EUR/USD GBP/USD USD/CHF USD/JPY EUR/GBP GBP/JPY

EUR/USD 1 0.685905 -0.074264 -0.2622915 0.147673 0.271994788

GBP/USD 0.685905 1 0.55427639 0.327484302 -0.618148 0.823812443

USD/CHF -0.074264 0.554276392 1 0.622165773 -0.8379311 0.720788669

USD/JPY -0.2622915 0.327484302 0.622165773 1 -0.7310265 0.805348599

EUR/GBP 0.147673 -0.618148 -0.8379311 -0.7310265 1 -0.827479952

GBP/JPY 0.271994788 0.823812443 0.720788669 0.805348599 -0.827479952 1

 EXPLANATION

• (EUR/USD- EUR/USD): The correlation between the currencies is 1 which shows that
both the currencies move in the same direction 100% of the time.
• (GBP/USD-EURO/USD): The correlation between the currencies is 0.685905 which
shows that both the currencies move in the same direction as it is (above 60) and positive.
EUR/USD goes up; GBP/USD also goes up.
• (USD/CHF- EURO/USD): The correlation between the currencies is -0.074264 which
shows that both the currencies move in the opposite direction as it is (above 60) and
negative. If EUR/USD is making some losses; the other pair will go in profit.
• (USD/JPY-EURO/USD): The correlation between the currency is -0.2622915 which
shows that both the currencies is low (below 60) and negative then the currencies don't
move in the same way.
• (EUR/GBP-EUR/USD): The correlation between the currencies is O.147673 which
shows that both the currencies are low (below 60) then the currencies don't move in the
same way.
• (GBP/JPY-EURO/USD): The correlation between the currencies is 0.271994788 which
shows that both the currencies are low (below 60) then the currencies don't move in the
same way.
• (GBP/USD- GBP/USD): The correlation between the currencies is 1 which shows that
both the currencies move in the same direction 100% of the time.
• (GBP/USD- USD/CHF): The correlation between the currencies is 0.55427639 which
shows that the currencies don’t move in same way as it is below 60.
• (GBP/USD- USD/JPY): In this currencies the correlation b/w them is 0.327484302
which is below 60 ,the currencies don’t move in same way .If GBP/USD goes up then
USD/JPY will move down.
• (GBP/USD -EUR/GBP): The correlation between the currencies is -0.618148 which is
above 60 currencies will move in the opposite way as it is negative.
• (GBP/USD -GBP/JPY): The correlation b/w GBP/USD-GBP/JPY is 0.823812443
which is 82 percent and positive that will move in same direction.
• (USD/CHF- USD/JPY): The correlation between the currencies is 0.622165773 which is
62 percent as it is above 60 and below 80 and positive it move in same direction.
• (USD/CHF -EUR/GBP): The correlation between the currencies -0.8379311 so it moves
opposite direction due to negative sign.
• (USD/CHF-GBP/JPY): The correlation between the currencies is0.720788669 which is
below 80 but positive so move in same direction.
• (USD/JPY- GBP/JPY): The correlation between the currencies -0.7310265 which is
negative currencies move in opposite direction if USD/JPY move down GBP/JPY will
move up.
• (USD/JPY- GBP/JPY): The correlation between the currencies is 0.805348599 which is
80 percent and positive so will move same direction if one currency will move up other
will also move up.
• (EUR/GBP -GBP/JPY): Correlation between the currencies is 0.827479952 which is
above 80 percent so it moves 100% in same direction.
 CONCLUSION

Trading in currencies that cancel each other should be avoided. If currencies are inversely
related they eventually cancel each other (loss + profit). If strategy of hedging one currency pair
with another is used then the total loss will not be as bad as if it would be without the second
backup currency. If one pair is making some losses, the other pair will go in profit as the
currencies move in opposite directions. When confident, a trader may double position size by
placing same orders on parallel currency pairs in order to get double profit.
 REFERENCES

http://www.oanda.com/currency/historical-rates

http://www.forexhit.com/analyze-forex/currency-correlations.html

http://www.forexmarkethours.com/correlation/06/

http://mathbits.com/mathbits/tisection/statistics2/correlation.htm
APPENDIX

EUR/USD EUR/USD EUR/USD GBP/USD

12/1/2010 1.3065 12/1/2010 1.3065 12/1/2010 1.3065 12/1/2010 1.5553
12/2/2010 1.3057 12/2/2010 1.3057 12/2/2010 1.3057 12/2/2010 1.5589
12/3/2010 1.3155 12/3/2010 1.3155 12/3/2010 1.3155 12/3/2010 1.5603
12/4/2010 1.3269 12/4/2010 1.3269 12/4/2010 1.3269 12/4/2010 1.5649
12/5/2010 1.3421 12/5/2010 1.3421 12/5/2010 1.3421 12/5/2010 1.5782
12/6/2010 1.3421 12/6/2010 1.3421 12/6/2010 1.3421 12/6/2010 1.5781
12/7/2010 1.3329 12/7/2010 1.3329 12/7/2010 1.3329 12/7/2010 1.5721
12/8/2010 1.3332 12/8/2010 1.3332 12/8/2010 1.3332 12/8/2010 1.5764
12/9/2010 1.3237 12/9/2010 1.3237 12/9/2010 1.3237 12/9/2010 1.5757
12/10/2010 1.3256 12/10/2010 1.3256 12/10/2010 1.3256 12/10/2010 1.579
12/11/2010 1.324 12/11/2010 1.324 12/11/2010 1.324 12/11/2010 1.5795
12/12/2010 1.3232 12/12/2010 1.3232 12/12/2010 1.3232 12/12/2010 1.5807
12/13/2010 1.3232 12/13/2010 1.3232 12/13/2010 1.3232 12/13/2010 1.5807
12/14/2010 1.3262 12/14/2010 1.3262 12/14/2010 1.3262 12/14/2010 1.5798
12/15/2010 1.341 12/15/2010 1.341 12/15/2010 1.341 12/15/2010 1.5841
12/16/2010 1.3327 12/16/2010 1.3327 12/16/2010 1.3327 12/16/2010 1.5694
12/17/2010 1.3225 12/17/2010 1.3225 12/17/2010 1.3225 12/17/2010 1.5582
12/18/2010 1.3251 12/18/2010 1.3251 12/18/2010 1.3251 12/18/2010 1.5587
12/19/2010 1.3194 12/19/2010 1.3194 12/19/2010 1.3194 12/19/2010 1.5541
12/20/2010 1.3192 12/20/2010 1.3192 12/20/2010 1.3192 12/20/2010 1.5539
12/21/2010 1.315 12/21/2010 1.315 12/21/2010 1.315 12/21/2010 1.5524
12/22/2010 1.3146 12/22/2010 1.3146 12/22/2010 1.3146 12/22/2010 1.5509
12/23/2010 1.3117 12/23/2010 1.3117 12/23/2010 1.3117 12/23/2010 1.5445
12/24/2010 1.3106 12/24/2010 1.3106 12/24/2010 1.3106 12/24/2010 1.5409
12/25/2010 1.3123 12/25/2010 1.3123 12/25/2010 1.3123 12/25/2010 1.5444
12/26/2010 1.3127 12/26/2010 1.3127 12/26/2010 1.3127 12/26/2010 1.5443
12/27/2010 1.3126 12/27/2010 1.3126 12/27/2010 1.3126 12/27/2010 1.5443
12/28/2010 1.3137 12/28/2010 1.3137 12/28/2010 1.3137 12/28/2010 1.5421
12/29/2010 1.3196 12/29/2010 1.3196 12/29/2010 1.3196 12/29/2010 1.5436
12/30/2010 1.3142 12/30/2010 1.3142 12/30/2010 1.3142 12/30/2010 1.5411
12/31/2010 1.3253 12/31/2010 1.3253 12/31/2010 1.3253 12/31/2010 1.5471
1/1/2011 1.3342 1/1/2011 1.3342 1/1/2011 1.3342 1/1/2011 1.5504
0.68590
Correl =
Correl = 1 5
EUR/USD USD/CHF EUR/USD USD/JPY
12/1/2010 1.3065 12/1/2010 0.9997 12/1/2010 1.3065 12/1/2010 83.9337
12/2/2010 1.3057 12/2/2010 1.0035 12/2/2010 1.3057 12/2/2010 83.8362
12/3/2010 1.3155 12/3/2010 1 12/3/2010 1.3155 12/3/2010 84.0643
12/4/2010 1.3269 12/4/2010 0.9883 12/4/2010 1.3269 12/4/2010 83.4225
12/5/2010 1.3421 12/5/2010 0.9737 12/5/2010 1.3421 12/5/2010 82.5815
12/6/2010 1.3421 12/6/2010 0.9738 12/6/2010 1.3421 12/6/2010 82.5894
12/7/2010 1.3329 12/7/2010 0.9799 12/7/2010 1.3329 12/7/2010 82.7945
12/8/2010 1.3332 12/8/2010 0.981 12/8/2010 1.3332 12/8/2010 82.7783
12/9/2010 1.3237 12/9/2010 0.9881 12/9/2010 1.3237 12/9/2010 83.8769
12/10/2010 1.3256 12/10/2010 0.9851 12/10/2010 1.3256 12/10/2010 83.8849
12/11/2010 1.324 12/11/2010 0.9822 12/11/2010 1.324 12/11/2010 83.7649
12/12/2010 1.3232 12/12/2010 0.9815 12/12/2010 1.3232 12/12/2010 84.0006
12/13/2010 1.3232 12/13/2010 0.9815 12/13/2010 1.3232 12/13/2010 84.001
12/14/2010 1.3262 12/14/2010 0.9782 12/14/2010 1.3262 12/14/2010 83.909
12/15/2010 1.341 12/15/2010 0.9647 12/15/2010 1.341 12/15/2010 83.3937
12/16/2010 1.3327 12/16/2010 0.9622 12/16/2010 1.3327 12/16/2010 83.9226
12/17/2010 1.3225 12/17/2010 0.9683 12/17/2010 1.3225 12/17/2010 84.2069
12/18/2010 1.3251 12/18/2010 0.9635 12/18/2010 1.3251 12/18/2010 83.9737
12/19/2010 1.3194 12/19/2010 0.9693 12/19/2010 1.3194 12/19/2010 84.0296
12/20/2010 1.3192 12/20/2010 0.9693 12/20/2010 1.3192 12/20/2010 84.0272
12/21/2010 1.315 12/21/2010 0.9674 12/21/2010 1.315 12/21/2010 83.8533
12/22/2010 1.3146 12/22/2010 0.9615 12/22/2010 1.3146 12/22/2010 83.713
12/23/2010 1.3117 12/23/2010 0.9551 12/23/2010 1.3117 12/23/2010 83.6627
12/24/2010 1.3106 12/24/2010 0.9551 12/24/2010 1.3106 12/24/2010 83.1734
12/25/2010 1.3123 12/25/2010 0.9603 12/25/2010 1.3123 12/25/2010 82.9747
12/26/2010 1.3127 12/26/2010 0.9621 12/26/2010 1.3127 12/26/2010 82.9439
12/27/2010 1.3126 12/27/2010 0.9621 12/27/2010 1.3126 12/27/2010 82.9345
12/28/2010 1.3137 12/28/2010 0.9617 12/28/2010 1.3137 12/28/2010 82.8643
12/29/2010 1.3196 12/29/2010 0.9532 12/29/2010 1.3196 12/29/2010 82.39
12/30/2010 1.3142 12/30/2010 0.9509 12/30/2010 1.3142 12/30/2010 82.1384
12/31/2010 1.3253 12/31/2010 0.9408 12/31/2010 1.3253 12/31/2010 81.5533
1/1/2011 1.3342 1/1/2011 0.9358 1/1/2011 1.3342 1/1/2011 81.3813
Correl = -0.074264 Correl = -0.2622915
EUR/USD EUR/GBP EUR/USD GBP/JPY
12/1/2010 1.3065 12/1/2010 0.8401 12/1/2010 1.3065 12/1/2010 130.532
12/2/2010 1.3057 12/2/2010 0.8376 12/2/2010 1.3057 12/2/2010 130.69
12/3/2010 1.3155 12/3/2010 0.8431 12/3/2010 1.3155 12/3/2010 131.164
12/4/2010 1.3269 12/4/2010 0.848 12/4/2010 1.3269 12/4/2010 130.542
12/5/2010 1.3421 12/5/2010 0.8508 12/5/2010 1.3421 12/5/2010 130.319
12/6/2010 1.3421 12/6/2010 0.8508 12/6/2010 1.3421 12/6/2010 130.327
12/7/2010 1.3329 12/7/2010 0.848 12/7/2010 1.3329 12/7/2010 130.163
12/8/2010 1.3332 12/8/2010 0.8458 12/8/2010 1.3332 12/8/2010 130.483
12/9/2010 1.3237 12/9/2010 0.8402 12/9/2010 1.3237 12/9/2010 132.158
12/10/2010 1.3256 12/10/2010 0.8396 12/10/2010 1.3256 12/10/2010 132.453
12/11/2010 1.324 12/11/2010 0.8383 12/11/2010 1.324 12/11/2010 132.303
12/12/2010 1.3232 12/12/2010 0.8374 12/12/2010 1.3232 12/12/2010 132.757
12/13/2010 1.3232 12/13/2010 0.8374 12/13/2010 1.3232 12/13/2010 132.754
12/14/2010 1.3262 12/14/2010 0.8396 12/14/2010 1.3262 12/14/2010 132.557
12/15/2010 1.341 12/15/2010 0.8467 12/15/2010 1.341 12/15/2010 132.101
12/16/2010 1.3327 12/16/2010 0.8493 12/16/2010 1.3327 12/16/2010 131.704
12/17/2010 1.3225 12/17/2010 0.8488 12/17/2010 1.3225 12/17/2010 131.205
12/18/2010 1.3251 12/18/2010 0.8502 12/18/2010 1.3251 12/18/2010 130.885
12/19/2010 1.3194 12/19/2010 0.8494 12/19/2010 1.3194 12/19/2010 130.551
12/20/2010 1.3192 12/20/2010 0.8494 12/20/2010 1.3192 12/20/2010 130.535
12/21/2010 1.315 12/21/2010 0.8472 12/21/2010 1.315 12/21/2010 130.174
12/22/2010 1.3146 12/22/2010 0.8478 12/22/2010 1.3146 12/22/2010 129.823
12/23/2010 1.3117 12/23/2010 0.8494 12/23/2010 1.3117 12/23/2010 129.205
12/24/2010 1.3106 12/24/2010 0.8506 12/24/2010 1.3106 12/24/2010 128.155
12/25/2010 1.3123 12/25/2010 0.85 12/25/2010 1.3123 12/25/2010 128.137
12/26/2010 1.3127 12/26/2010 0.8506 12/26/2010 1.3127 12/26/2010 128.059
12/27/2010 1.3126 12/27/2010 0.8506 12/27/2010 1.3126 12/27/2010 128.05
12/28/2010 1.3137 12/28/2010 0.8521 12/28/2010 1.3137 12/28/2010 127.783
12/29/2010 1.3196 12/29/2010 0.855 12/29/2010 1.3196 12/29/2010 127.172
12/30/2010 1.3142 12/30/2010 0.8529 12/30/2010 1.3142 12/30/2010 126.578
12/31/2010 1.3253 12/31/2010 0.8568 12/31/2010 1.3253 12/31/2010 126.165
1/1/2011 1.3342 1/1/2011 0.8608 1/1/2011 1.3342 1/1/2011 126.17
0.14767 0.27199478
Correl =
Correl = 3 8
GBP/USD EUR/USD GBP/USD GBP/USD
12/1/2010 1.5553 12/1/2010 1.3065 12/1/2010 1.5553 12/1/2010 1.5553
12/2/2010 1.5589 12/2/2010 1.3057 12/2/2010 1.5589 12/2/2010 1.5589
12/3/2010 1.5603 12/3/2010 1.3155 12/3/2010 1.5603 12/3/2010 1.5603
12/4/2010 1.5649 12/4/2010 1.3269 12/4/2010 1.5649 12/4/2010 1.5649
12/5/2010 1.5782 12/5/2010 1.3421 12/5/2010 1.5782 12/5/2010 1.5782
12/6/2010 1.5781 12/6/2010 1.3421 12/6/2010 1.5781 12/6/2010 1.5781
12/7/2010 1.5721 12/7/2010 1.3329 12/7/2010 1.5721 12/7/2010 1.5721
12/8/2010 1.5764 12/8/2010 1.3332 12/8/2010 1.5764 12/8/2010 1.5764
12/9/2010 1.5757 12/9/2010 1.3237 12/9/2010 1.5757 12/9/2010 1.5757
12/10/2010 1.579 12/10/2010 1.3256 12/10/2010 1.579 12/10/2010 1.579
12/11/2010 1.5795 12/11/2010 1.324 12/11/2010 1.5795 12/11/2010 1.5795
12/12/2010 1.5807 12/12/2010 1.3232 12/12/2010 1.5807 12/12/2010 1.5807
12/13/2010 1.5807 12/13/2010 1.3232 12/13/2010 1.5807 12/13/2010 1.5807
12/14/2010 1.5798 12/14/2010 1.3262 12/14/2010 1.5798 12/14/2010 1.5798
12/15/2010 1.5841 12/15/2010 1.341 12/15/2010 1.5841 12/15/2010 1.5841
12/16/2010 1.5694 12/16/2010 1.3327 12/16/2010 1.5694 12/16/2010 1.5694
12/17/2010 1.5582 12/17/2010 1.3225 12/17/2010 1.5582 12/17/2010 1.5582
12/18/2010 1.5587 12/18/2010 1.3251 12/18/2010 1.5587 12/18/2010 1.5587
12/19/2010 1.5541 12/19/2010 1.3194 12/19/2010 1.5541 12/19/2010 1.5541
12/20/2010 1.5539 12/20/2010 1.3192 12/20/2010 1.5539 12/20/2010 1.5539
12/21/2010 1.5524 12/21/2010 1.315 12/21/2010 1.5524 12/21/2010 1.5524
12/22/2010 1.5509 12/22/2010 1.3146 12/22/2010 1.5509 12/22/2010 1.5509
12/23/2010 1.5445 12/23/2010 1.3117 12/23/2010 1.5445 12/23/2010 1.5445
12/24/2010 1.5409 12/24/2010 1.3106 12/24/2010 1.5409 12/24/2010 1.5409
12/25/2010 1.5444 12/25/2010 1.3123 12/25/2010 1.5444 12/25/2010 1.5444
12/26/2010 1.5443 12/26/2010 1.3127 12/26/2010 1.5443 12/26/2010 1.5443
12/27/2010 1.5443 12/27/2010 1.3126 12/27/2010 1.5443 12/27/2010 1.5443
12/28/2010 1.5421 12/28/2010 1.3137 12/28/2010 1.5421 12/28/2010 1.5421
12/29/2010 1.5436 12/29/2010 1.3196 12/29/2010 1.5436 12/29/2010 1.5436
12/30/2010 1.5411 12/30/2010 1.3142 12/30/2010 1.5411 12/30/2010 1.5411
12/31/2010 1.5471 12/31/2010 1.3253 12/31/2010 1.5471 12/31/2010 1.5471
1/1/2011 1.5504 1/1/2011 1.3342 1/1/2011 1.5504 1/1/2011 1.5504
0.68590
Correl= 1
Correl = 5
GBP/USD USD/CHF GBP/USD USD/JPY
12/1/2010 1.5553 12/1/2010 0.9997 12/1/2010 1.5553 12/1/2010 83.9337
12/2/2010 1.5589 12/2/2010 1.0035 12/2/2010 1.5589 12/2/2010 83.8362
12/3/2010 1.5603 12/3/2010 1 12/3/2010 1.5603 12/3/2010 84.0643
12/4/2010 1.5649 12/4/2010 0.9883 12/4/2010 1.5649 12/4/2010 83.4225
12/5/2010 1.5782 12/5/2010 0.9737 12/5/2010 1.5782 12/5/2010 82.5815
12/6/2010 1.5781 12/6/2010 0.9738 12/6/2010 1.5781 12/6/2010 82.5894
12/7/2010 1.5721 12/7/2010 0.9799 12/7/2010 1.5721 12/7/2010 82.7945
12/8/2010 1.5764 12/8/2010 0.981 12/8/2010 1.5764 12/8/2010 82.7783
12/9/2010 1.5757 12/9/2010 0.9881 12/9/2010 1.5757 12/9/2010 83.8769
12/10/2010 1.579 12/10/2010 0.9851 12/10/2010 1.579 12/10/2010 83.8849
12/11/2010 1.5795 12/11/2010 0.9822 12/11/2010 1.5795 12/11/2010 83.7649
12/12/2010 1.5807 12/12/2010 0.9815 12/12/2010 1.5807 12/12/2010 84.0006
12/13/2010 1.5807 12/13/2010 0.9815 12/13/2010 1.5807 12/13/2010 84.001
12/14/2010 1.5798 12/14/2010 0.9782 12/14/2010 1.5798 12/14/2010 83.909
12/15/2010 1.5841 12/15/2010 0.9647 12/15/2010 1.5841 12/15/2010 83.3937
12/16/2010 1.5694 12/16/2010 0.9622 12/16/2010 1.5694 12/16/2010 83.9226
12/17/2010 1.5582 12/17/2010 0.9683 12/17/2010 1.5582 12/17/2010 84.2069
12/18/2010 1.5587 12/18/2010 0.9635 12/18/2010 1.5587 12/18/2010 83.9737
12/19/2010 1.5541 12/19/2010 0.9693 12/19/2010 1.5541 12/19/2010 84.0296
12/20/2010 1.5539 12/20/2010 0.9693 12/20/2010 1.5539 12/20/2010 84.0272
12/21/2010 1.5524 12/21/2010 0.9674 12/21/2010 1.5524 12/21/2010 83.8533
12/22/2010 1.5509 12/22/2010 0.9615 12/22/2010 1.5509 12/22/2010 83.713
12/23/2010 1.5445 12/23/2010 0.9551 12/23/2010 1.5445 12/23/2010 83.6627
12/24/2010 1.5409 12/24/2010 0.9551 12/24/2010 1.5409 12/24/2010 83.1734
12/25/2010 1.5444 12/25/2010 0.9603 12/25/2010 1.5444 12/25/2010 82.9747
12/26/2010 1.5443 12/26/2010 0.9621 12/26/2010 1.5443 12/26/2010 82.9439
12/27/2010 1.5443 12/27/2010 0.9621 12/27/2010 1.5443 12/27/2010 82.9345
12/28/2010 1.5421 12/28/2010 0.9617 12/28/2010 1.5421 12/28/2010 82.8643
12/29/2010 1.5436 12/29/2010 0.9532 12/29/2010 1.5436 12/29/2010 82.39
12/30/2010 1.5411 12/30/2010 0.9509 12/30/2010 1.5411 12/30/2010 82.1384
12/31/2010 1.5471 12/31/2010 0.9408 12/31/2010 1.5471 12/31/2010 81.5533
1/1/2011 1.5504 1/1/2011 0.9358 1/1/2011 1.5504 1/1/2011 81.3813
0.5542763
Correl =
Correl = 9 0.327484302
GBP/USD EUR/GBP GBP/USD GBP/JPY
12/1/2010 1.5553 12/1/2010 0.8401 12/1/2010 1.5553 12/1/2010 130.532
12/2/2010 1.5589 12/2/2010 0.8376 12/2/2010 1.5589 12/2/2010 130.69
12/3/2010 1.5603 12/3/2010 0.8431 12/3/2010 1.5603 12/3/2010 131.164
12/4/2010 1.5649 12/4/2010 0.848 12/4/2010 1.5649 12/4/2010 130.542
12/5/2010 1.5782 12/5/2010 0.8508 12/5/2010 1.5782 12/5/2010 130.319
12/6/2010 1.5781 12/6/2010 0.8508 12/6/2010 1.5781 12/6/2010 130.327
12/7/2010 1.5721 12/7/2010 0.848 12/7/2010 1.5721 12/7/2010 130.163
12/8/2010 1.5764 12/8/2010 0.8458 12/8/2010 1.5764 12/8/2010 130.483
12/9/2010 1.5757 12/9/2010 0.8402 12/9/2010 1.5757 12/9/2010 132.158
12/10/2010 1.579 12/10/2010 0.8396 12/10/2010 1.579 12/10/2010 132.453
12/11/2010 1.5795 12/11/2010 0.8383 12/11/2010 1.5795 12/11/2010 132.303
12/12/2010 1.5807 12/12/2010 0.8374 12/12/2010 1.5807 12/12/2010 132.757
12/13/2010 1.5807 12/13/2010 0.8374 12/13/2010 1.5807 12/13/2010 132.754
12/14/2010 1.5798 12/14/2010 0.8396 12/14/2010 1.5798 12/14/2010 132.557
12/15/2010 1.5841 12/15/2010 0.8467 12/15/2010 1.5841 12/15/2010 132.101
12/16/2010 1.5694 12/16/2010 0.8493 12/16/2010 1.5694 12/16/2010 131.704
12/17/2010 1.5582 12/17/2010 0.8488 12/17/2010 1.5582 12/17/2010 131.205
12/18/2010 1.5587 12/18/2010 0.8502 12/18/2010 1.5587 12/18/2010 130.885
12/19/2010 1.5541 12/19/2010 0.8494 12/19/2010 1.5541 12/19/2010 130.551
12/20/2010 1.5539 12/20/2010 0.8494 12/20/2010 1.5539 12/20/2010 130.535
12/21/2010 1.5524 12/21/2010 0.8472 12/21/2010 1.5524 12/21/2010 130.174
12/22/2010 1.5509 12/22/2010 0.8478 12/22/2010 1.5509 12/22/2010 129.823
12/23/2010 1.5445 12/23/2010 0.8494 12/23/2010 1.5445 12/23/2010 129.205
12/24/2010 1.5409 12/24/2010 0.8506 12/24/2010 1.5409 12/24/2010 128.155
12/25/2010 1.5444 12/25/2010 0.85 12/25/2010 1.5444 12/25/2010 128.137
12/26/2010 1.5443 12/26/2010 0.8506 12/26/2010 1.5443 12/26/2010 128.059
12/27/2010 1.5443 12/27/2010 0.8506 12/27/2010 1.5443 12/27/2010 128.05
12/28/2010 1.5421 12/28/2010 0.8521 12/28/2010 1.5421 12/28/2010 127.783
12/29/2010 1.5436 12/29/2010 0.855 12/29/2010 1.5436 12/29/2010 127.172
12/30/2010 1.5411 12/30/2010 0.8529 12/30/2010 1.5411 12/30/2010 126.578
12/31/2010 1.5471 12/31/2010 0.8568 12/31/2010 1.5471 12/31/2010 126.165
1/1/2011 1.5504 1/1/2011 0.8608 1/1/2011 1.5504 1/1/2011 126.17
Correl = -0.618148 Correl= 0.823812443
USD/CHF EUR/USD USD/CHF GBP/USD
12/1/2010 0.9997 12/1/2010 1.3065 12/1/2010 0.9997 12/1/2010 1.5553
12/2/2010 1.0035 12/2/2010 1.3057 12/2/2010 1.0035 12/2/2010 1.5589
12/3/2010 1 12/3/2010 1.3155 12/3/2010 1 12/3/2010 1.5603
12/4/2010 0.9883 12/4/2010 1.3269 12/4/2010 0.9883 12/4/2010 1.5649
12/5/2010 0.9737 12/5/2010 1.3421 12/5/2010 0.9737 12/5/2010 1.5782
12/6/2010 0.9738 12/6/2010 1.3421 12/6/2010 0.9738 12/6/2010 1.5781
12/7/2010 0.9799 12/7/2010 1.3329 12/7/2010 0.9799 12/7/2010 1.5721
12/8/2010 0.981 12/8/2010 1.3332 12/8/2010 0.981 12/8/2010 1.5764
12/9/2010 0.9881 12/9/2010 1.3237 12/9/2010 0.9881 12/9/2010 1.5757
12/10/2010 0.9851 12/10/2010 1.3256 12/10/2010 0.9851 12/10/2010 1.579
12/11/2010 0.9822 12/11/2010 1.324 12/11/2010 0.9822 12/11/2010 1.5795
12/12/2010 0.9815 12/12/2010 1.3232 12/12/2010 0.9815 12/12/2010 1.5807
12/13/2010 0.9815 12/13/2010 1.3232 12/13/2010 0.9815 12/13/2010 1.5807
12/14/2010 0.9782 12/14/2010 1.3262 12/14/2010 0.9782 12/14/2010 1.5798
12/15/2010 0.9647 12/15/2010 1.341 12/15/2010 0.9647 12/15/2010 1.5841
12/16/2010 0.9622 12/16/2010 1.3327 12/16/2010 0.9622 12/16/2010 1.5694
12/17/2010 0.9683 12/17/2010 1.3225 12/17/2010 0.9683 12/17/2010 1.5582
12/18/2010 0.9635 12/18/2010 1.3251 12/18/2010 0.9635 12/18/2010 1.5587
12/19/2010 0.9693 12/19/2010 1.3194 12/19/2010 0.9693 12/19/2010 1.5541
12/20/2010 0.9693 12/20/2010 1.3192 12/20/2010 0.9693 12/20/2010 1.5539
12/21/2010 0.9674 12/21/2010 1.315 12/21/2010 0.9674 12/21/2010 1.5524
12/22/2010 0.9615 12/22/2010 1.3146 12/22/2010 0.9615 12/22/2010 1.5509
12/23/2010 0.9551 12/23/2010 1.3117 12/23/2010 0.9551 12/23/2010 1.5445
12/24/2010 0.9551 12/24/2010 1.3106 12/24/2010 0.9551 12/24/2010 1.5409
12/25/2010 0.9603 12/25/2010 1.3123 12/25/2010 0.9603 12/25/2010 1.5444
12/26/2010 0.9621 12/26/2010 1.3127 12/26/2010 0.9621 12/26/2010 1.5443
12/27/2010 0.9621 12/27/2010 1.3126 12/27/2010 0.9621 12/27/2010 1.5443
12/28/2010 0.9617 12/28/2010 1.3137 12/28/2010 0.9617 12/28/2010 1.5421
12/29/2010 0.9532 12/29/2010 1.3196 12/29/2010 0.9532 12/29/2010 1.5436
12/30/2010 0.9509 12/30/2010 1.3142 12/30/2010 0.9509 12/30/2010 1.5411
12/31/2010 0.9408 12/31/2010 1.3253 12/31/2010 0.9408 12/31/2010 1.5471
1/1/2011 0.9358 1/1/2011 1.3342 1/1/2011 0.9358 1/1/2011 1.5504
Correl = -0.074264 Correl = 0.554276392
USD/CHF USD/CHF USD/CHF USD/JPY
12/1/2010 0.9997 12/1/2010 0.9997 12/1/2010 0.9997 12/1/2010 83.9337
12/2/2010 1.0035 12/2/2010 1.0035 12/2/2010 1.0035 12/2/2010 83.8362
12/3/2010 1 12/3/2010 1 12/3/2010 1 12/3/2010 84.0643
12/4/2010 0.9883 12/4/2010 0.9883 12/4/2010 0.9883 12/4/2010 83.4225
12/5/2010 0.9737 12/5/2010 0.9737 12/5/2010 0.9737 12/5/2010 82.5815
12/6/2010 0.9738 12/6/2010 0.9738 12/6/2010 0.9738 12/6/2010 82.5894
12/7/2010 0.9799 12/7/2010 0.9799 12/7/2010 0.9799 12/7/2010 82.7945
12/8/2010 0.981 12/8/2010 0.981 12/8/2010 0.981 12/8/2010 82.7783
12/9/2010 0.9881 12/9/2010 0.9881 12/9/2010 0.9881 12/9/2010 83.8769
12/10/2010 0.9851 12/10/2010 0.9851 12/10/2010 0.9851 12/10/2010 83.8849
12/11/2010 0.9822 12/11/2010 0.9822 12/11/2010 0.9822 12/11/2010 83.7649
12/12/2010 0.9815 12/12/2010 0.9815 12/12/2010 0.9815 12/12/2010 84.0006
12/13/2010 0.9815 12/13/2010 0.9815 12/13/2010 0.9815 12/13/2010 84.001
12/14/2010 0.9782 12/14/2010 0.9782 12/14/2010 0.9782 12/14/2010 83.909
12/15/2010 0.9647 12/15/2010 0.9647 12/15/2010 0.9647 12/15/2010 83.3937
12/16/2010 0.9622 12/16/2010 0.9622 12/16/2010 0.9622 12/16/2010 83.9226
12/17/2010 0.9683 12/17/2010 0.9683 12/17/2010 0.9683 12/17/2010 84.2069
12/18/2010 0.9635 12/18/2010 0.9635 12/18/2010 0.9635 12/18/2010 83.9737
12/19/2010 0.9693 12/19/2010 0.9693 12/19/2010 0.9693 12/19/2010 84.0296
12/20/2010 0.9693 12/20/2010 0.9693 12/20/2010 0.9693 12/20/2010 84.0272
12/21/2010 0.9674 12/21/2010 0.9674 12/21/2010 0.9674 12/21/2010 83.8533
12/22/2010 0.9615 12/22/2010 0.9615 12/22/2010 0.9615 12/22/2010 83.713
12/23/2010 0.9551 12/23/2010 0.9551 12/23/2010 0.9551 12/23/2010 83.6627
12/24/2010 0.9551 12/24/2010 0.9551 12/24/2010 0.9551 12/24/2010 83.1734
12/25/2010 0.9603 12/25/2010 0.9603 12/25/2010 0.9603 12/25/2010 82.9747
12/26/2010 0.9621 12/26/2010 0.9621 12/26/2010 0.9621 12/26/2010 82.9439
12/27/2010 0.9621 12/27/2010 0.9621 12/27/2010 0.9621 12/27/2010 82.9345
12/28/2010 0.9617 12/28/2010 0.9617 12/28/2010 0.9617 12/28/2010 82.8643
12/29/2010 0.9532 12/29/2010 0.9532 12/29/2010 0.9532 12/29/2010 82.39
12/30/2010 0.9509 12/30/2010 0.9509 12/30/2010 0.9509 12/30/2010 82.1384
12/31/2010 0.9408 12/31/2010 0.9408 12/31/2010 0.9408 12/31/2010 81.5533
1/1/2011 0.9358 1/1/2011 0.9358 1/1/2011 0.9358 1/1/2011 81.3813
Correl = 1 Correl = 0.622165773
USD/CHF EUR/GBP USD/CHF GBP/JPY
12/1/2010 0.9997 12/1/2010 0.8401 12/1/2010 0.9997 12/1/2010 130.532
12/2/2010 1.0035 12/2/2010 0.8376 12/2/2010 1.0035 12/2/2010 130.69
12/3/2010 1 12/3/2010 0.8431 12/3/2010 1 12/3/2010 131.164
12/4/2010 0.9883 12/4/2010 0.848 12/4/2010 0.9883 12/4/2010 130.542
12/5/2010 0.9737 12/5/2010 0.8508 12/5/2010 0.9737 12/5/2010 130.319
12/6/2010 0.9738 12/6/2010 0.8508 12/6/2010 0.9738 12/6/2010 130.327
12/7/2010 0.9799 12/7/2010 0.848 12/7/2010 0.9799 12/7/2010 130.163
12/8/2010 0.981 12/8/2010 0.8458 12/8/2010 0.981 12/8/2010 130.483
12/9/2010 0.9881 12/9/2010 0.8402 12/9/2010 0.9881 12/9/2010 132.158
12/10/2010 0.9851 12/10/2010 0.8396 12/10/2010 0.9851 12/10/2010 132.453
12/11/2010 0.9822 12/11/2010 0.8383 12/11/2010 0.9822 12/11/2010 132.303
12/12/2010 0.9815 12/12/2010 0.8374 12/12/2010 0.9815 12/12/2010 132.757
12/13/2010 0.9815 12/13/2010 0.8374 12/13/2010 0.9815 12/13/2010 132.754
12/14/2010 0.9782 12/14/2010 0.8396 12/14/2010 0.9782 12/14/2010 132.557
12/15/2010 0.9647 12/15/2010 0.8467 12/15/2010 0.9647 12/15/2010 132.101
12/16/2010 0.9622 12/16/2010 0.8493 12/16/2010 0.9622 12/16/2010 131.704
12/17/2010 0.9683 12/17/2010 0.8488 12/17/2010 0.9683 12/17/2010 131.205
12/18/2010 0.9635 12/18/2010 0.8502 12/18/2010 0.9635 12/18/2010 130.885
12/19/2010 0.9693 12/19/2010 0.8494 12/19/2010 0.9693 12/19/2010 130.551
12/20/2010 0.9693 12/20/2010 0.8494 12/20/2010 0.9693 12/20/2010 130.535
12/21/2010 0.9674 12/21/2010 0.8472 12/21/2010 0.9674 12/21/2010 130.174
12/22/2010 0.9615 12/22/2010 0.8478 12/22/2010 0.9615 12/22/2010 129.823
12/23/2010 0.9551 12/23/2010 0.8494 12/23/2010 0.9551 12/23/2010 129.205
12/24/2010 0.9551 12/24/2010 0.8506 12/24/2010 0.9551 12/24/2010 128.155
12/25/2010 0.9603 12/25/2010 0.85 12/25/2010 0.9603 12/25/2010 128.137
12/26/2010 0.9621 12/26/2010 0.8506 12/26/2010 0.9621 12/26/2010 128.059
12/27/2010 0.9621 12/27/2010 0.8506 12/27/2010 0.9621 12/27/2010 128.05
12/28/2010 0.9617 12/28/2010 0.8521 12/28/2010 0.9617 12/28/2010 127.783
12/29/2010 0.9532 12/29/2010 0.855 12/29/2010 0.9532 12/29/2010 127.172
12/30/2010 0.9509 12/30/2010 0.8529 12/30/2010 0.9509 12/30/2010 126.578
12/31/2010 0.9408 12/31/2010 0.8568 12/31/2010 0.9408 12/31/2010 126.165
1/1/2011 0.9358 1/1/2011 0.8608 1/1/2011 0.9358 1/1/2011 126.17
Correl= -0.8379311 Correl = 0.720788669
USD/JPY EUR/USD USD/JPY GBP/USD
12/1/2010 83.9337 12/1/2010 1.3065 12/1/2010 83.9337 12/1/2010 1.5553
12/2/2010 83.8362 12/2/2010 1.3057 12/2/2010 83.8362 12/2/2010 1.5589
12/3/2010 84.0643 12/3/2010 1.3155 12/3/2010 84.0643 12/3/2010 1.5603
12/4/2010 83.4225 12/4/2010 1.3269 12/4/2010 83.4225 12/4/2010 1.5649
12/5/2010 82.5815 12/5/2010 1.3421 12/5/2010 82.5815 12/5/2010 1.5782
12/6/2010 82.5894 12/6/2010 1.3421 12/6/2010 82.5894 12/6/2010 1.5781
12/7/2010 82.7945 12/7/2010 1.3329 12/7/2010 82.7945 12/7/2010 1.5721
12/8/2010 82.7783 12/8/2010 1.3332 12/8/2010 82.7783 12/8/2010 1.5764
12/9/2010 83.8769 12/9/2010 1.3237 12/9/2010 83.8769 12/9/2010 1.5757
12/10/2010 83.8849 12/10/2010 1.3256 12/10/2010 83.8849 12/10/2010 1.579
12/11/2010 83.7649 12/11/2010 1.324 12/11/2010 83.7649 12/11/2010 1.5795
12/12/2010 84.0006 12/12/2010 1.3232 12/12/2010 84.0006 12/12/2010 1.5807
12/13/2010 84.001 12/13/2010 1.3232 12/13/2010 84.001 12/13/2010 1.5807
12/14/2010 83.909 12/14/2010 1.3262 12/14/2010 83.909 12/14/2010 1.5798
12/15/2010 83.3937 12/15/2010 1.341 12/15/2010 83.3937 12/15/2010 1.5841
12/16/2010 83.9226 12/16/2010 1.3327 12/16/2010 83.9226 12/16/2010 1.5694
12/17/2010 84.2069 12/17/2010 1.3225 12/17/2010 84.2069 12/17/2010 1.5582
12/18/2010 83.9737 12/18/2010 1.3251 12/18/2010 83.9737 12/18/2010 1.5587
12/19/2010 84.0296 12/19/2010 1.3194 12/19/2010 84.0296 12/19/2010 1.5541
12/20/2010 84.0272 12/20/2010 1.3192 12/20/2010 84.0272 12/20/2010 1.5539
12/21/2010 83.8533 12/21/2010 1.315 12/21/2010 83.8533 12/21/2010 1.5524
12/22/2010 83.713 12/22/2010 1.3146 12/22/2010 83.713 12/22/2010 1.5509
12/23/2010 83.6627 12/23/2010 1.3117 12/23/2010 83.6627 12/23/2010 1.5445
12/24/2010 83.1734 12/24/2010 1.3106 12/24/2010 83.1734 12/24/2010 1.5409
12/25/2010 82.9747 12/25/2010 1.3123 12/25/2010 82.9747 12/25/2010 1.5444
12/26/2010 82.9439 12/26/2010 1.3127 12/26/2010 82.9439 12/26/2010 1.5443
12/27/2010 82.9345 12/27/2010 1.3126 12/27/2010 82.9345 12/27/2010 1.5443
12/28/2010 82.8643 12/28/2010 1.3137 12/28/2010 82.8643 12/28/2010 1.5421
12/29/2010 82.39 12/29/2010 1.3196 12/29/2010 82.39 12/29/2010 1.5436
12/30/2010 82.1384 12/30/2010 1.3142 12/30/2010 82.1384 12/30/2010 1.5411
12/31/2010 81.5533 12/31/2010 1.3253 12/31/2010 81.5533 12/31/2010 1.5471
1/1/2011 81.3813 1/1/2011 1.3342 1/1/2011 81.3813 1/1/2011 1.5504
Correl = -0.2622915 Correl= 0.327484302
USD/JPY EUR/GBP USD/JPY GBP/JPY
12/1/2010 83.9337 12/1/2010 0.8401 12/1/2010 83.9337 12/1/2010 130.532
12/2/2010 83.8362 12/2/2010 0.8376 12/2/2010 83.8362 12/2/2010 130.69
12/3/2010 84.0643 12/3/2010 0.8431 12/3/2010 84.0643 12/3/2010 131.164
12/4/2010 83.4225 12/4/2010 0.848 12/4/2010 83.4225 12/4/2010 130.542
12/5/2010 82.5815 12/5/2010 0.8508 12/5/2010 82.5815 12/5/2010 130.319
12/6/2010 82.5894 12/6/2010 0.8508 12/6/2010 82.5894 12/6/2010 130.327
12/7/2010 82.7945 12/7/2010 0.848 12/7/2010 82.7945 12/7/2010 130.163
12/8/2010 82.7783 12/8/2010 0.8458 12/8/2010 82.7783 12/8/2010 130.483
12/9/2010 83.8769 12/9/2010 0.8402 12/9/2010 83.8769 12/9/2010 132.158
12/10/2010 83.8849 12/10/2010 0.8396 12/10/2010 83.8849 12/10/2010 132.453
12/11/2010 83.7649 12/11/2010 0.8383 12/11/2010 83.7649 12/11/2010 132.303
12/12/2010 84.0006 12/12/2010 0.8374 12/12/2010 84.0006 12/12/2010 132.757
12/13/2010 84.001 12/13/2010 0.8374 12/13/2010 84.001 12/13/2010 132.754
12/14/2010 83.909 12/14/2010 0.8396 12/14/2010 83.909 12/14/2010 132.557
12/15/2010 83.3937 12/15/2010 0.8467 12/15/2010 83.3937 12/15/2010 132.101
12/16/2010 83.9226 12/16/2010 0.8493 12/16/2010 83.9226 12/16/2010 131.704
12/17/2010 84.2069 12/17/2010 0.8488 12/17/2010 84.2069 12/17/2010 131.205
12/18/2010 83.9737 12/18/2010 0.8502 12/18/2010 83.9737 12/18/2010 130.885
12/19/2010 84.0296 12/19/2010 0.8494 12/19/2010 84.0296 12/19/2010 130.551
12/20/2010 84.0272 12/20/2010 0.8494 12/20/2010 84.0272 12/20/2010 130.535
12/21/2010 83.8533 12/21/2010 0.8472 12/21/2010 83.8533 12/21/2010 130.174
12/22/2010 83.713 12/22/2010 0.8478 12/22/2010 83.713 12/22/2010 129.823
12/23/2010 83.6627 12/23/2010 0.8494 12/23/2010 83.6627 12/23/2010 129.205
12/24/2010 83.1734 12/24/2010 0.8506 12/24/2010 83.1734 12/24/2010 128.155
12/25/2010 82.9747 12/25/2010 0.85 12/25/2010 82.9747 12/25/2010 128.137
12/26/2010 82.9439 12/26/2010 0.8506 12/26/2010 82.9439 12/26/2010 128.059
12/27/2010 82.9345 12/27/2010 0.8506 12/27/2010 82.9345 12/27/2010 128.05
12/28/2010 82.8643 12/28/2010 0.8521 12/28/2010 82.8643 12/28/2010 127.783
12/29/2010 82.39 12/29/2010 0.855 12/29/2010 82.39 12/29/2010 127.172
12/30/2010 82.1384 12/30/2010 0.8529 12/30/2010 82.1384 12/30/2010 126.578
12/31/2010 81.5533 12/31/2010 0.8568 12/31/2010 81.5533 12/31/2010 126.165
1/1/2011 81.3813 1/1/2011 0.8608 1/1/2011 81.3813 1/1/2011 126.17
Correl = -0.7310265 Correl= 0.805348599
EUR/GBP GBP/JPY
12/1/2010 0.8401 12/1/2010 130.532
12/2/2010 0.8376 12/2/2010 130.69
12/3/2010 0.8431 12/3/2010 131.164
12/4/2010 0.848 12/4/2010 130.542
12/5/2010 0.8508 12/5/2010 130.319
12/6/2010 0.8508 12/6/2010 130.327
12/7/2010 0.848 12/7/2010 130.163
12/8/2010 0.8458 12/8/2010 130.483
12/9/2010 0.8402 12/9/2010 132.158
12/10/2010 0.8396 12/10/2010 132.453
12/11/2010 0.8383 12/11/2010 132.303
12/12/2010 0.8374 12/12/2010 132.757
12/13/2010 0.8374 12/13/2010 132.754
12/14/2010 0.8396 12/14/2010 132.557
12/15/2010 0.8467 12/15/2010 132.101
12/16/2010 0.8493 12/16/2010 131.704
12/17/2010 0.8488 12/17/2010 131.205
12/18/2010 0.8502 12/18/2010 130.885
12/19/2010 0.8494 12/19/2010 130.551
12/20/2010 0.8494 12/20/2010 130.535
12/21/2010 0.8472 12/21/2010 130.174
12/22/2010 0.8478 12/22/2010 129.823
12/23/2010 0.8494 12/23/2010 129.205
12/24/2010 0.8506 12/24/2010 128.155
12/25/2010 0.85 12/25/2010 128.137
12/26/2010 0.8506 12/26/2010 128.059
12/27/2010 0.8506 12/27/2010 128.05
12/28/2010 0.8521 12/28/2010 127.783
12/29/2010 0.855 12/29/2010 127.172
12/30/2010 0.8529 12/30/2010 126.578
12/31/2010 0.8568 12/31/2010 126.165
1/1/2011 0.8608 1/1/2011 126.17
Correl = -0.8274799