Four pairs. Two regimes. The diversification you tested is not the diversification that shows up.
Rolling 12-month correlations of monthly returns. Calm column is the median across non-stress months. Crisis column is the worst-decile months including the 2008 and March 2020 windows.
Asset Pair
Calm
Crisis
Shift
Equity vs Gold
Nifty 50 TR . Gold INR spot
0.10
0.55
+0.45
Equity vs IG Bonds
Nifty 50 TR . CRISIL Composite Bond TR
0.15
0.40
+0.25
Largecap vs Smallcap
Nifty 50 TR . Nifty Smallcap 250 TR
0.75
0.94
+0.19
India vs Emerging Markets
Nifty 50 TR . MSCI EM USD
0.62
0.86
+0.24
The third term in portfolio variance
Var(p) = w1^2 . sigma1^2
+ w2^2 . sigma2^2
+ 2 . w1 . w2 . sigma1 . sigma2 . rho
That last term is the only one that earns you diversification. At rho 0 you keep the full benefit. At rho 0.7 you have already given up two thirds of it. Calmar pie chart, Markowitz frontier, none of it cares. The math runs on rho, and rho is conditional on the regime.
Correlations sourced from rolling NSE BhavCopy and AMFI series. Crisis windows include Aug-Dec 2008 and Feb-Apr 2020. Past performance . backtest only . not a guarantee.