Source: [ https://spglobal.com/spdji/en/research/article/limiting-risk-exposure-with-sp-risk-control-indices] .

The volatility seen during the Global Financial Crisis (GFC) in 2008 broke the calm that was present in financial markets from 2004 to early 2007. Most asset classes experienced significant pullbacks, markets became volatile, and the correlation between asset classes increased significantly. Portfolio construction based on the backward-looking correlation model failed, as the expected diversification benefit was eliminated precisely when it was needed the most …..Click for more