Diversification is possible because most asset classes are not highly correlated. Unfortunately, correlations may vary depending on the economic and financial market regime. In the 2008 Global Financial Crisis, we witnessed an issue with correlations between US equities, non-US equities, high yield debt, real estate, and other risky assets. The correlations of risky assets rose towards positive 1.0 and all risky assets dramatically declined in price at the same time. Fortunately, US Treasuries, especially long maturity Treasuries, acted as a flight to quality asset, and rose in price. However, in 2022, long maturity Treasuries did not act as a flight to quality asset and amplified risk as risky assets declined in price. What happened?