How much extra risk am I taking by holding two correlated currency pairs at the same time?

How this is calculated

• The tool combines your two risk amounts using a standard two-asset risk formula: the square root of (Risk A squared, plus Risk B squared, plus 2 times the correlation times Risk A times Risk B).
• When your two trades are positioned in opposite directions, the correlation is flipped in the formula, since a positively correlated pair traded in opposite directions behaves like a natural partial hedge rather than a double-up.
• The "simple sum" shown for comparison is just Risk A plus Risk B, the amount you would be exposed to if the two pairs moved together in the worst possible way.
• Correlation coefficients between currency pairs are not fixed. They shift with interest rate policy, risk sentiment, and time, so treat any figure you enter as an approximation, not a guarantee.
• This tool combines exactly two positions. A full portfolio with three or more correlated pairs needs a broader risk model than this simplified pairwise version.