This study examines the possibility of risk reduction benefits for bulk shipping sector from diversification between 2002 and 2011 by using weekly data. Multivariate cointegration as well as correlation analysis is used in order to investigate whether there are benefits from different vessel diversification. One year time charter rates of ten different ship types, both tankers and dry bulkers, are obtained for this purpose. Both cointegration and correlation analysis show that risk reduction benefits can be achieved from diversified fleet in some cases. According to the cointegration analysis, we cannot reject the null hypothesis of no cointegration in most bivariate vessel combinations, however not both of them should be bulk carriers, thus constructing vessel portfolio, which includes only dry bulkers, does not lead to any risk reduction benefits. This means that in case of bulk carriers series the Johansen test revealed zero cointegrating vectors. Furthermore, diversification benefits are existent in the combination of at most four different vessels, no possibility of risk reduction from portfolios consisting of more than four vessels.