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This is best seen via properties of covariance and the relationship between covariance and correlation. Let's represent the two strategies by X and Y, and the benchmark by I. Letting C represent the covariance between the two arguments of $C\left[A,B \right]$, we have for the equally weighted portfolio of X and Y: $C\left[ 0.5X+0.5Y,I\right]=0.5C\left[ X,...

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