I ask a simple question in meetings and it often stumps top quants - "Can a fund (or trading strategy return) be 100% correlated with S&P500 and yet have zero down months?" Roughly outline those #s.

(This is actually a key insight, and for me it says why we care about the level of alpha and the SR/IR much much more so than correlation. Now most people cannot find high alpha (say ~20% annual) nor high SR (say 2+). Thus they lean back on correlation because "average" is all they will ever get from their choices. Two dichotomous worlds.)