In an attempt to create diversification, which of the following securities would be the best candidate for inclusion in an investor's current portfolio?
A) Security DEF with an expected return of 20% whose return's correlation with the portfolio is +2.0.
B) Security ABC with an expected return of 10% whose return's correlation with the portfolio is -1.0.
C) Security XYZ with an expected return of 10% whose return's correlation with the portfolio is +1.0.
D) Security LMN with an expected return of 10% whose return's correlation with the portfolio is 0.
Answer: B