Build a basket of currency pairs and see both halves of the picture: the risk stats — volatility, VaR, drawdown, diversification — and the net currency exposure those pairs actually add up to.
0/4legs have enough ECB history for the risk model
Your legs
%
30%
%
25%
%
20%
%
25%
Raw weight total100%
Weights are normalised automatically. A short leg is modelled as the inverted cross, so an offsetting short genuinely lowers measured portfolio volatility rather than just flipping a sign.
Allocation
EUR/USD30%
GBP/USD25%
AUD/USD20%
USD/TRY25%
Net currency exposure
Every pair is two positions: long A/B is long A and short B. Summing the signed weights per currency shows the bet the basket really expresses. The numbers net to zero — FX is always relative.
Biggest single bet: short USD 50%
🇺🇸USD
−50%
🇪🇺EUR
+30%
🇬🇧GBP
+25%
🇹🇷TRY
−25%
🇦🇺AUD
+20%
Long EUR, GBP, AUD · Short USD, TRYCurrency HHI 0.22 · ≈ 4.5 effective currencies
Annual Volatility
Portfolio σ, 252-day annualized
Max Drawdown
Worst peak-to-trough (window)
VaR 95% · 1d
Max daily loss, 95% conf.
VaR 99% · 1d
Max daily loss, 99% conf.
Diversification score
How far the basket's volatility sits below the weighted average of the legs' own volatilities. In FX this score flatters baskets that share a funding currency — check it against the exposure panel above before believing it.
—/100
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Basket drawdown
The weighted basket rebased to 1.0, UNLEVERAGED. Retail FX is usually traded on leverage — at 10× the drawdown you would actually feel is roughly ten times this line.
Correlation (90 fixings)
Risk contribution
Each leg's share of total portfolio variance. In FX one exotic leg routinely carries most of the risk on a fraction of the weight — TRY crosses especially.
Net currency exposure decomposes every pair into +base and −quote, so four separate-looking trades resolve into the handful of currencies you are really long and short. The numbers net to zero because FX is always one currency against another. Volatility and VaR come from the covariance matrix of daily log-returns, annualized over 252 business days, computed on unleveraged notional — the ECB publishes one daily reference mid, so there is no carry, no swap and no spread in these figures. Estimates from free public data, not investment advice.
Source: Frankfurter (ECB daily reference rates) via our cached proxy. Free, no key. 0/4 legs in the risk model.