Cross-asset correlations…

by Jim Colburn • Saturday, February 17, 2018

The CME has a nice analytics tool, here, that shows-cross asset correlations over time… Here is the one month matrix for selected assets:

Over the past month, crude oil shows a high positive correlation with forex with the Euro, +.71, and the British Pound, +.68…. This is not the case over the past year where there is almost no correlation among forex and crude:

Sometimes they correlate and sometimes they don’t!

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