Combining two securities with perfect negative correlation reduces risk. (hsbc.ca)
Your correlation exercise assumes that you have perfect negative correlation between two assets, AND the magnitude of their changes is equal in every case. (indexologyblog.com)
Correlation is the statistical measure of the degree to which the movements of two variables are related; 1 = perfect positive correlation, 0 = no correlation, and -1 = perfect negative correlation. (franklintempleton.com)