@Arka:
Why should the importance of high dispersion for diversification be pointed out in contrast to low correlation, if longer correlation intervals would serve the same purpose? Two assets of similar risk and long-term return levels, which mostly move into the same direction but with currently different rates, have a high correlation over time periods of all lengths but a high dispersion of returns in the medium-term at the same time. This can be observed with US and international equities since the last crisis. Thus, it is beneficial to allocate both assets for better diversification, and, thus, for stabilizing the portfolio and for generating rebalancing alpha from their divergence in the medium-term. However, this only holds true if mean reversion can be expected with a high probability for the considered assets.

"How do you go about it?" Assets of different world regions and of other different equity market sectors, such as Large and Small Cap or Growth and Value, as well as of alternatives, such as REITs and Hedge Funds, can fulfill these requirements for diversification with high dispersion. Try to combine anything that is sure to have similar risk and return levels in the long-term as well as high dispersion of returns in the medium-term, taking turns due to mean reversion like the assets I mentioned. I would avoid individual industries and countries maybe with the exception of the USA (I am German ;-). Because mean reversion is less certain for them.