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MC - Market correlation and SWAP

As some of you may know, my darwin BSL is keeping a long position on EurUsd for some months now… and I have rightfull seen the MC score going down… from 9.98 to 2.89.
Now, as keeping a long position on EurUsd means paying a lot of swap (on my underlying account swap was roughly 13% or at least 8% for BSL from March) I was wondering if Swap is used for MC calculation.
In fact IF this is not done, with two Darwins both long EurUsd, but with one making trades to offset swap cost and the other not doing so, the first will have a worse MC score despite not being “really” more correlated. In my case this can be true? My BSL is doing better of the EurUsd despite swap (and this is the reason I don’t care exposing my trading position since you have to withstand a major cost…and this means taking good decision while remaining long when it is necessary) but my MC is going too down…

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4 posts were merged into an existing topic: Market Correlation Investable Attribute