Though the way I remember the story, it was Bob Prince who had the spreadsheet and said "Hey Ray, look at this" regarding uncorrelated streams.
That may work in a normal market, but there is no such thing as "non-correlation" when the sh*t hits the fan.
Correlation increases greatly during meltdowns but there's always something that's uncorrelated. It doesn't have to be a simple instrument.
I agree 100% with him in principle. In practice, the difficulties lie in 1) I found it is really hard to quantify either return or risk in many cases 2) Low-correlation vehicle is really hard to find for individual investor/trader With that being said, I think the idea is vital especially for the management of a huge fund/portfolio.
Any suggestion where I can look for low-correlation vehicles? In the past, I thought real estates (non REIT) and bond but since 2008-09 not so sure.