Diversification has been labeled as the “only free lunch in investment management.” This conventional knowledge has been under attack for many years as investors observed that correlations of risky assets have been rising during periods of increasing systematic risks. Higher correlations are painful, but they usually do not happen ceteris paribus. In times of very volatile markets, even high correlations will proof to be useful and diversification benefits might increase rather than decrease. What are the conditions for this to happen?

中文翻译：

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多元化：当您最需要它时，它真的会失败吗？

多元化被称为“投资管理中唯一的免费午餐”。由于投资者观察到，在系统性风险不断增加的时期内，风险资产的相关性一直在上升，因此这种传统知识受到了多年的攻击。较高的相关性很痛苦，但通常不会发生ceteris paribus。在市场非常动荡的时期，即使是高度相关性也将被证明是有用的，而多元化带来的好处可能会增加而不是减少。发生这种情况的条件是什么？