A correlation is similar to an average calculation, and is determined over a period of time. The table was calculated from daily data from year 2000 to 2008. It therefore only reflects the general average level of correlation. It's important to realise that correlations evolve over time, and in just the same way that an average price can be represented as a moving average, so too, a correlation can be represented as a moving correlation. The chart below illustrates 60-day moving correlations for 3 currency pairs, and shows how drammatic changes in correlation can quickly develop.
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