I would like to calculate asset correlations while excluding movements resulting from the denominating currency (as much as possible). My common sense tells me that any two assets with the same denominator are going to have higher correlation, then the underlying securities.
The dollar index, or forex quotes, would only represent foreign exchange
When "all" assets appreciate in value, this could in my view also simultaneously be a devaluation of the base curreny.
For now i just take a mean of log returns from a diverse set of asset classes, but that is an approximation at best.
What would be a good way to calculate this?
Thanks in advance