Yes, very true! Correlations (positive) diminish in rising markets, as does volatility, and declining markets these things tend to pick up. It;s why you now see, as is typical for a bull market, sector selection and individual stock selection becomes important. It;s why things like real estate has selective markets, etc. But when something like 07, 08 comes along......everything goes.
I found this article interesting regarding what happens in a 2008 style crisis. https://www.ft.com/content/1d6ec1a2-a77f-11e7-93c5-648314d2c72c Their assertion is that a company’s return on invested capital is a good measure of how uncorrelated they will be in a down market, which I think has some merit although I'd like to read a full study on it if anyone knows of one.
Uncorrelated asset? Perhaps bitcoin. If you want to skip to the section, it's on 22nd minute of the video.
The reason real estate was not included is because Harry Brown only wanted liquid assets that could easily be rebalance through an almost instantaneous sale in the markets. These days an REIT ETF would work if you wanted to add this asset class.