The start of the earnings season in the U.S. provides an opportunity to review the currency correlations with the S&P 500. We conduct our analysis on the percentage change of the currencies and percentage change in the S&P 500. What we find then is the correlation of the returns, which is more important to investors then if the levels are correlated.

We look at a 30-day correlation to see the near-term trend and we look at the 60-day correlation to the slightly longer term. The general take away is that despite a number of other drivers and influences, the correlation between most of the currencies we looked at and the S&P 500 has increased in the recent period.

Euro: The 30-day correlation is near 0.59, which is the upper end of where it has been since late Jan. The 60-day correlation is near 0.53, with is near its highest reading