S&P 500 down 9.1 percent

In 2000, both indexes had a decline in total return, with the
S&P 500 down 9.1 percent while the Russell 2000 was off just 3
percent. They did not move in opposite directions, but that is often
what a low correlation actually is: not a rise versus a fall, but a
much smaller rise or a much smaller decline. These different paces
in the same direction change the risk of your portfolio. That is, it
is better to have half your portfolio falling 3 percent while the rest
is dropping 9.1 percent, which translates into a decline in return
of 6.1 percent, instead of all of it plunging 9.1 percent. You might
retort that if all the portfolio were in the Russell 2000, it would
have fallen just 3 percent.