How to Measure Correlated Trading Exposure
Estimate combined exposure when positions may move together. This guide explains a simple correlation model, its limits, and a worked example.
By Kru Kook (Krittiya Khunabrimas)
Why combine positions linked to the same driver
Several open trades do not necessarily diversify risk. If multiple positions respond to the same driver—such as global gold prices or foreign exchange—one move can affect them together. Gold Futures and XAUUSD may share gold-price exposure while differing in contract terms, currency, margin, provider, and costs.
Correlation is calculated from historical data and can change. Do not treat one correlation figure as a guarantee of how the portfolio will move.
A simple scenario-impact formula
For an initial assessment, calculate each position separately and add the results under the same scenario:
Approximate portfolio result = result from position 1 + position 2 + … + position n
For derivatives, estimate each position using the price change multiplied by its value per unit, or by delta where appropriate. Add currency, basis, and relevant costs. This is a stress test, not a probability model.
Gold Online Futures and XAUUSD example
Assume a Long position of 2 Gold Online Futures contracts and an adverse gold move of USD 8 per troy ounce. TFEX lists a multiplier of 300 for Gold Online Futures, so the approximate price result is −8 × 300 × 2 = −THB 4,800 before costs.
Assume a separate XAUUSD position has a broker-specific total value change of THB 250 for each USD 1 move. An USD 8 decline then represents about −THB 2,000. The combined scenario is −THB 6,800 before spread, slippage, FX, or basis differences. THB 250 is a hypothetical input for this example, not a standard XAUUSD contract size.
Set a combined risk budget
- Group positions by main price driver, such as gold, equity indices, or USD/THB.
- Confirm each contract’s unit and value per point.
- Choose an adverse scenario and calculate P&L for every open position.
- Add the effects with the correct Long or Short direction.
- Compare the result with the portfolio risk budget and cash available for margin changes.
Do not assume a hedge offsets perfectly when products have different bases, trading hours, or currencies.
Review checklist
- Are any positions unintentionally repeating the same exposure?
- Are contract units and point values from the correct specifications?
- Have you tested a gap or volatility shock?
- Does currency risk or an unpaid cost remain?
- Are totals based on current positions rather than an old plan?
See our TFEX Gold Futures vs. XAUUSD comparison and calculate size for each leg with the fixed-risk position sizing formula.