Correlations Analysis
Correlation Analytics
Key Observations
- EURUSD is most correlated with $BVSP (r = 0.20, β = 0.09), the closest co-mover in this set — it explains about 4% of EURUSD daily moves (R² = 0.04).
- $BSESN is effectively uncorrelated (r = -0.02), the best diversifier against EURUSD here.
- Across the set (all Equity Indices), average correlation to EURUSD is 0.06.
- Correlation to $AXJO is falling (3M r = -0.09 vs 1Y 0.10) — they have been decoupling lately.
- Overall, EURUSD is largely idiosyncratic versus this set (avg |r| = 0.06) — its moves are mostly stock-specific.
- Versus $BVSP, Pearson r and Spearman ρ agree (0.20 vs 0.20), so the relationship is broadly linear and the β is dependable.
- EURUSD and $BVSP move contemporaneously (correlation is strongest same-day) — no usable lead-lag timing within ±3 days.
- Correlation to $BVSP is stable across volatility regimes (r ≈ 0.23 calm vs 0.24 high-VIX).
| Symbol | Name | 1M | 3M | 6M | 1Y | Trend | β | R² |
|---|---|---|---|---|---|---|---|---|
| $BVSP | Bovespa Brazil | 0.09 | 0.23 | 0.40 | 0.33 | ▼ | 0.09 | 0.04 |
| $IBEX | IBEX 35 Index | -0.10 | 0.00 | 0.14 | 0.12 | ▼ | 0.06 | 0.02 |
| $FCHI | CAC 40 Paris | 0.11 | 0.24 | 0.41 | 0.29 | ≈ | 0.06 | 0.02 |
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