If one is investing in two or more markets, lower and negative correlations will reduce volatility and can increase returns. In a report on China (Investing in China: Does the opportunity outweigh the risk?) there is a chart showing various market correlations over the last 10 years.
More on the performance of different asset classes. This report looked at the results from defined benefit pension funds in the US between 1981 and 2021. Note that these are not adjusted for inflation which was 5.7%/yr (looking at CPI). After inflation, US broad fixed income had negative returns although long bond returns were positive. Real hedge fund returns were negative.
I have a contrarian view, “Buy losers to even out your winners.”
MPT is predicated on the idea that volatility is risk which certainly is true for money managers, at the first whiff of a downdraft run to take your money and buy the latest out-performer. For an individual or institution that has learned to deal with volatility MPT is a no-no! Basically follow two rules. buy stocks that bounce back and have an adequate cash reserve.