You have developed the following data on a 2-stock portfolio. Which scenario seems to be out of place?

Scenario	Expected return	Standard deviation
L. Correlation = 1.00	0.25	0.61
M. Correlation = 0.35	0.25	0.41
N. Correlation = 0.25	0.25	0.20
O. Correlation = 0.00	0.25	0.15
P. Correlation = -1.14	0.25	0.00

Select one:

a. P

b. N

c. L

d. O

e. M