A Security Has a Zero Covariance with the Market

Multiple Choice

A security has a zero covariance with the market. This means that:

A) the return on the security is always equal to that of the market.
B) the return on the security moves in the same direction as the market return.
C) the security is a risk-free security.
D) there is no identifiable relationship between the return on the security and that of the market.
E) the return on the security must vary more than that of the market.