A ‘worst-of’ option to hedge dollar weakness

Problem: An investor has seen the USD bounce over the past couple of months, and now expects to see a further period of USD weakness against a variety of currencies over the next year. He principally sees weakness against EUR, AUD and CAD.

The investor is looking for a correlated move in these three currencies against USD. The story over the past year has been for close correlation of these currencies against the USD, especially when viewed as monthly returns. These historically observed

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