Securities correlation

Problem

A wealth management team wanted an effective way of identifying and explaining portfolio recommendations.

Specifically: when a given currency goes up, what else rises with it? Are there groups of securities that move together?

Approach

Gramener sourced public and private data from the bank to create a correlation matrix of intra-day data across all securities, presenting it as a visual interactive dashboard.

The matrix was also clustered hierarchically to group similar securities, with similar blocks.

Outcome

Clients began trading more actively based on the increased visibility of the correlations.

A client with a JPY and SGD portfolio consolidated into JPY, with a GBP hedge - the largest trade for our client that year.

Download Case Study (PDF)

Each cell shows the correlation between pairs of currencies, commodities and stock indices, either as a number (from -100 to +100) or as a scatterplot. These are clustered based on their similarity, revealing groups of securities that move with or against each other.

ISK 38 JPY 8 ^FTSE 48 MXN -44 HKD 40 XPT 8 CAD -22 XAG 9 XAU 51 PKR 11 ILS 11 INR -4 SEK -11 ^GSPC -25 ^IXIC -15 CHF -17 EUR -39 GBP -46 TWD -14 PHP -22 RUB -13 MYR -13 SGD -20 BRL -24 NZD -27 AUD -33 CNY ISK -13 37 -13 -6 18 -37 -22 19 32 45 31 3 -1 40 34 1 -5 28 13 19 25 11 10 6 15 JPY 42 17 -7 2 -16 -18 -36 45 37 28 87 75 34 45 32 40 35 46 56 56 46 39 55 51 ^FTSE -4 -8 56 -59 -45 20 67 71 41 41 20 23 30 7 3 48 39 36 37 34 36 31 21 MXN -48 31 -5 -29 -60 44 31 42 41 52 45 47 66 61 52 56 50 49 46 60 57 57 HKD -54 64 81 69 -57 -63 -55 -49 -60 -61 -59 -78 -81 -79 -71 -69 -73 -84 -80 -72 -71 XPT -61 -60 -12 63 65 46 24 24 27 27 45 35 64 54 36 42 54 68 51 31 CAD 91 18 -70 -77 -35 -42 -34 -36 -33 -33 -33 -66 -45 -48 -54 -57 -54 -42 -38 XAG 44 -72 -81 -40 -52 -50 -46 -47 -52 -60 -79 -60 -62 -68 -72 -72 -62 -60 XAU -42 -34 -47 -63 -80 -66 -67 -83 -90 -61 -70 -75 -77 -74 -72 -78 -83 PKR 83 74 70 65 68 70 66 56 87 82 77 78 71 78 71 70 ILS 62 63 58 64 67 56 58 89 70 74 78 74 77 73 66 INR 53 62 88 88 79 60 78 88 75 74 72 73 70 74 SEK 95 64 72 65 71 70 74 82 84 75 73 82 79 ^GSPC 76 81 81 85 75 80 86 90 82 81 90 89 ^IXIC 98 84 74 80 86 85 86 76 75 78 89 CHF 85 77 83 89 88 89 79 79 84 93 EUR 90 81 91 81 84 84 90 89 89 GBP 79 82 86 88 88 88 92 91 TWD 88 89 90 86 93 88 85 PHP 89 89 88 91 89 90 RUB 97 88 87 90 92 MYR 92 89 93 94 SGD 90 91 87 BRL 95 87 NZD 92 AUD CNY ISK JPY ^FTSE MXN HKD XPT CAD XAG XAU PKR ILS INR SEK ^GSPC ^IXIC CHF EUR GBP TWD PHP RUB MYR SGD BRL NZD AUD CNY