Do I have this right. Diversification does not improve returns. It seemed a bit counter intuitive but after I think about it i suppose it makes sense
diversification is risk reduction - so your other numbers which are risk adjusted returns (e.g. sharpe ratio being one of those numbers) looks better.
It’s impossible for diversification to result in the best return, or even a better return, for a very obvious reason: your portfolio return is the weighted average of all of your individual returns, and one of them is the best, so a 100% position in that security would give you the best return. As cpk said, your risk-adjusted return improves, because you maximize return for a given level of accepted volatility.