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MRCI's Inter-Market Correlations
SymbolMarket
PILCAC-40(EURONEXT)
DFDax Index(EUREX)
FXDJ EuroSTOXX 50(EUREX)
SZSwiss Market Index(EUREX)
LQGFT-SE 100(EURONEXT)
OBEuro-Bund(EUREX)
GBEuro-Bobl(EUREX)
EP3-Mth Euribor(EUREX)
LFGLong Gilt(LIFFE)
LFLShort Sterling(LIFFE)
LEL3-Mth Euribor(LIFFE)
LCCLondon Cocoa(LCE)
LSBLondon Sugar(LCE)

Correlation
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30 Day
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90 Day
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120 Day
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180 Day
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30 Day
US+European
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60 Day
US+European
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90 Day
US+European
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120 Day
US+European
Correlations
180 Day
US+European
Correlations

MRCI's Inter-Market Correlations(prev 120 trading days) - Sep 29, 2020
  YMZ20 ESZ20 USZ20 TYZ20 SFZ20 EUZ20 JYZ20 CDZ20 BPZ20 ADZ20 DXZ20 GCZ20 PLF21 SIZ20 HGZ20 CLX20 ITCOZ20 HOX20 ITSX20 PILZ20 DFZ20 FXZ20 SZZ20 LQGZ20 OBZ20 GBZ20 EPZ20 LFGZ20 LFLZ20 LELZ20 CCZ20 LCCZ20 SBH21 LSBH21
YMZ20   99 -38 45 89 94 43 98 84 96 -94 80 82 89 91 85 84 59 60 86 94 89 88 49 -11 -35 79 34 84 78 59 14 88 88
ESZ20 99   -28 54 92 96 50 97 87 97 -96 86 85 93 93 85 85 59 61 83 93 87 88 44 -1 -26 81 41 88 80 59 13 88 87
USZ20 -38 -28   55 -8 -17 28 -37 -11 -28 18 11 -8 -9 -14 -31 -27 -19 -15 -41 -36 -36 -31 -49 68 62 -18 37 -12 -17 -22 -25 -32 -33
TYZ20 45 54 55   66 61 68 46 49 56 -61 75 57 65 67 41 42 23 26 28 44 36 51 -7 66 38 56 75 71 57 34 5 47 45
SFZ20 89 92 -8 66   98 67 92 92 92 -98 95 85 96 92 80 82 57 60 72 84 77 77 21 13 -14 79 43 83 79 60 11 86 84
EUZ20 94 96 -17 61 98   60 96 91 96 -100 92 87 96 94 84 85 59 62 78 89 83 82 31 4 -22 80 43 86 80 60 12 89 88
JYZ20 43 50 28 68 67 60   47 58 50 -60 69 48 64 59 28 30 5 8 18 35 24 42 -19 58 38 61 45 58 61 57 33 44 45
CDZ20 98 97 -37 46 92 96 47   87 98 -97 83 83 91 91 86 86 61 63 86 94 88 86 45 -12 -35 80 34 84 79 58 13 89 89
BPZ20 84 87 -11 49 92 91 58 87   83 -91 86 77 90 78 70 74 51 55 63 72 66 61 13 3 -15 66 21 64 66 64 12 76 78
ADZ20 96 97 -28 56 92 96 50 98 83   -97 85 85 90 95 87 86 62 63 88 96 91 92 51 -3 -29 82 50 91 82 51 5 89 88
DXZ20 -94 -96 18 -61 -98 -100 -60 -97 -91 -97   -92 -87 -95 -94 -84 -85 -60 -63 -79 -90 -84 -83 -33 -4 22 -81 -44 -86 -80 -60 -11 -90 -89
GCZ20 80 86 11 75 95 92 69 83 86 85 -92   89 96 87 72 75 52 56 60 74 67 69 15 28 3 73 53 82 73 57 10 76 75
PLF21 82 85 -8 57 85 87 48 83 77 85 -87 89   90 78 75 77 58 60 66 78 72 73 41 7 -14 62 49 80 62 48 3 75 75
SIZ20 89 93 -9 65 96 96 64 91 90 90 -95 96 90   88 74 77 48 52 65 80 71 73 19 16 -7 75 39 82 74 69 23 81 81
HGZ20 91 93 -14 67 92 94 59 91 78 95 -94 87 78 88   84 83 58 60 82 92 87 91 37 12 -19 85 55 93 85 48 5 85 82
CLX20 85 85 -31 41 80 84 28 86 70 87 -84 72 75 74 84   100 90 89 86 90 90 80 56 -19 -46 72 46 79 71 23 -21 90 88
ITCOZ20 84 85 -27 42 82 85 30 86 74 86 -85 75 77 77 83 100   91 91 85 89 89 77 52 -19 -45 70 44 77 69 24 -23 89 88
HOX20 59 59 -19 23 57 59 5 61 51 62 -60 52 58 48 58 90 91   99 73 69 76 54 55 -31 -54 43 37 50 43 -13 -55 70 67
ITSX20 60 61 -15 26 60 62 8 63 55 63 -63 56 60 52 60 89 91 99   73 69 77 55 53 -30 -54 43 35 51 44 -10 -54 71 68
PILZ20 86 83 -41 28 72 78 18 86 63 88 -79 60 66 65 82 86 85 73 73   96 99 92 76 -32 -57 68 40 77 69 19 -21 79 78
DFZ20 94 93 -36 44 84 89 35 94 72 96 -90 74 78 80 92 90 89 69 69 96   98 96 64 -16 -43 78 48 89 79 36 -6 87 85
FXZ20 89 87 -36 36 77 83 24 88 66 91 -84 67 72 71 87 90 89 76 77 99 98   94 72 -25 -52 72 46 82 72 21 -21 84 82
SZZ20 88 88 -31 51 77 82 42 86 61 92 -83 69 73 73 91 80 77 54 55 92 96 94   64 -2 -30 77 52 90 77 33 -1 80 76
LQGZ20 49 44 -49 -7 21 31 -19 45 13 51 -33 15 41 19 37 56 52 55 53 76 64 72 64   -43 -54 28 31 45 28 -22 -39 45 45
OBZ20 -11 -1 68 66 13 4 58 -12 3 -3 -4 28 7 16 12 -19 -19 -31 -30 -32 -16 -25 -2 -43   91 26 55 29 27 19 23 -8 -3
GBZ20 -35 -26 62 38 -14 -22 38 -35 -15 -29 22 3 -14 -7 -19 -46 -45 -54 -54 -57 -43 -52 -30 -54 91   1 29 1 2 16 31 -34 -28
EPZ20 79 81 -18 56 79 80 61 80 66 82 -81 73 62 75 85 72 70 43 43 68 78 72 77 28 26 1   52 85 100 49 19 79 77
LFGZ20 34 41 37 75 43 43 45 34 21 50 -44 53 49 39 55 46 44 37 35 40 48 46 52 31 55 29 52   71 53 -8 -26 43 41
LFLZ20 84 88 -12 71 83 86 58 84 64 91 -86 82 80 82 93 79 77 50 51 77 89 82 90 45 29 1 85 71   85 39 5 81 78
LELZ20 78 80 -17 57 79 80 61 79 66 82 -80 73 62 74 85 71 69 43 44 69 79 72 77 28 27 2 100 53 85   48 16 78 77
CCZ20 59 59 -22 34 60 60 57 58 64 51 -60 57 48 69 48 23 24 -13 -10 19 36 21 33 -22 19 16 49 -8 39 48   83 46 45
LCCZ20 14 13 -25 5 11 12 33 13 12 5 -11 10 3 23 5 -21 -23 -55 -54 -21 -6 -21 -1 -39 23 31 19 -26 5 16 83   4 5
SBH21 88 88 -32 47 86 89 44 89 76 89 -90 76 75 81 85 90 89 70 71 79 87 84 80 45 -8 -34 79 43 81 78 46 4   99
LSBH21 88 87 -33 45 84 88 45 89 78 88 -89 75 75 81 82 88 88 67 68 78 85 82 76 45 -3 -28 77 41 78 77 45 5 99  
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