Correlation
How closely two instruments move together (+1 same direction, -1 opposite direction). Correlated positions mean taking the same risk twice.
Going long EURUSD and short USDCHF is almost the same trade twice, so your total risk doubles. Relationships like gold–DXY or Nasdaq–bond yields strengthen and weaken with the macro regime.
Correlation isn't constant; in a crisis, "everything falls together" (correlations move toward 1).