US Dollar / Chinese Yuan (USD/CNY) and US Dollar / Canadian Dollar (USD/CAD) compared side by side. Over the past 90 days, USD/CAD is ahead by 3.1 percentage points (USD/CNY -1.1% against USD/CAD +1.9%). Their daily returns move barely together (correlation 0.15 across 283 shared trading days). USD/CAD has been the more volatile of the two, at 5% annualised against USD/CNY's 3%.
| Period | USD/CNY | USD/CAD | Ahead |
|---|---|---|---|
| 7 days | -0.05% | +1.54% | USD/CAD |
| 30 days | -0.61% | -0.17% | USD/CAD |
| 90 days | -1.15% | +1.94% | USD/CAD |
| Metric | USD/CNY | USD/CAD |
|---|---|---|
| Max drawdown (400d) | -6.7% | -4.4% |
| Risk-adjusted return (90d) | -0.64 | 0.41 |
Relative strength over 90 days: USD/CAD outperformed USD/CNY by 3.0% — measured on the USD/CNY/USD/CAD ratio, so it holds regardless of market direction.
Measured on daily returns rather than on prices. Two assets that both simply trend upward score near 1.0 on raw prices whether or not they move together, so returns are what answer the question people mean by correlation.