The protection you are buying is for those weeks specifically. If a pair sits at rho 0.2 for 90 pct of the sample and rho 0.7 for the worst 10 pct, the second number is the one that pays your rent in a crash. Average-of-history correlation tables are flattering, not honest.
Largecap and smallcap. Equity and high yield credit. India and broader emerging markets. Two columns on a factsheet, but one trade in stress. Stress-test rho, not calm rho. Sleeves that fail this test are not diversifiers, they are duplicates with different fee plates.
If every sleeve in your book is up together every year, you are not diversified. You are levered to the same single regime. Honest diversification means at least one sleeve should be quietly underperforming when the rest are running hot. That sleeve is the premium you are paying for the protection, and it is the one most people sell first.