This one, too, turns out to be incorrect. The source of this is mostly due to the fact that, in fact, if you average out over a longer time horizon, your annualized returns do in fact average out. However, what people miss is that fact that this annualization is being compounded over that entire time as well, so small disturbances to it end up having quite a substantial impact on that end result. The only REAL form of diversification is asset class, not time.