[jively]

Ok, I forgot to mention that I have annual rebalancing. So, at the end of year 1, I sell some of investment A and buy some of investment B so I have 1.1 of each.

Also, if you just say that 50% of the years are 20% return, 50% of the years are 0% return, the arithmetic mean for both is 10%.

I realize I did do some math wrong. 100% A and 100% B have geometric means of 9.54%, and the blended 50% A 50% B portfolio has a geometric mean of 10%. 50% A 50% B has a standard deviation of 0%.

Finally, I agree that 0 correlation is uncorrelated, but -1 is negatively correlated and 1 is positively correlated.

I apologize to OP; we have hijacked the thread.

-Tom