An asset's risk to your portfolio is not its own volatility. It is how much it swings times how tightly it moves with everything else you hold. A wild asset that zigs when your book zags can lower your total risk.

Portfolio volatility is not the average of the parts. Every correlation below one bends the blend down, and the lower the correlation the bigger the bend. That bend is the closest thing to a free lunch investing offers.

Judge a diversifier by what it does in the bad months, not by how calm it looks alone. The question is never how volatile is this asset. It is how does it move when everything else is falling.