I can hold positions in anywhere from 1-5 pairs at any given time. Despite diversifying my pairs quite a bit, I still notice that often virtually all my positions can move either for or against me at the same time. Clearly when holding 2 pairs like CHFUSD and EURUSD, itís not hard to see that this is a fairly one sided overall position. However with several more diverse pairs, it becomes less clear how things are balanced.
Iím looking for a way to try and quantify the correlation and the risk of my overall position in the market based on short, medium and long term correlations of past currency movements. I was wondering if there were any tools out there that might facilitate a straightforward calculation. I suppose I could try to figure out how to use the data from multiple correlation maps to generate some kind of picture, however the correlation coefficients, especially in the short term, are constantly shifting, and any kind of formula would have to be dynamically updated.