Yeah exactly. Although there are some pairs that have low and negative covariances.
Check out this: https://blog.enigma.co/markowitz-portfolio-optimization-for-...
Check out this: https://blog.enigma.co/markowitz-portfolio-optimization-for-...
I guess what I'm saying is that you're not reducing risk by keeping the same expected return (well, unless you arbitrarily claim that all cryptocurrencies have the same expected return, for which there's no data evidence). You're just averaging your returns.