The Covariance Between the Returns on Two Assets Is Negative

Multiple Choice

The covariance between the returns on two assets is negative. This occurs when ________.

A) the variance of one asset has a negative linear relationship with the variance of the other asset
B) the standard deviation of one asset has a positive linear relationship with the standard deviation of the other asset
C) on average, the return on one asset is below its expected value and the return on the other asset is above its expected value
D) on average, the return on one asset is below its expected value and the return on the other asset is below its expected value