Variance of active risk = std. deviation of alternative 1^2 + std. deviation of alternative 2 ^2 + 2*weighting alternative 1*weighting alternative 2* correlation* std. deviation of alternative 1*std. deviation of alternative 2, assuming the correlation is ZERO.
Variance of currency risk and foreign return = std. deviation of currency risk^2 + std. deviation of foreign return ^2 + 2*weighting currency * weighting foreign return * correlation, assuming both weighting is ONE.
Am I right?