Combining assets with highly correlated returns will greatly reduce portfolio risk.
Just the opposite: Negative correlation spreads risk more effectively.

Question

Quizplus · Accepted Answer

Combining assets with highly correlated returns will not reduce portfolio risk, as they move in sync with each other and may all perform poorly at the same time. Negative correlation, on the other hand, means that one asset's poor performance may be offset by another's good performance, spreading the risk more effectively.

Combining Assets with Highly Correlated Returns Will Greatly Reduce Portfolio