Variance of Sum of Two Correlated Variables

Var(X + Y) = Var(X) + Var(Y) + 2 Cov(X, Y)

If X & Y uncorrelated, then Cov(X, Y) = 0.

Var(X + Y) = Var(X) + Var(Y)


If X & Y correlated,

Var(X + Y) > Var(X) + Var(Y)

so RF is higher variance if Trees are correlated.