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You own a portfolio of two risky securities. Combining the two securities produced no diversification benefit. Accordingly, you would be most justified in concluding that

You own a portfolio of two risky securities. Combining the two securities produced no diversification benefit. Accordingly, you would be most justified in concluding that the returns of the two securities:

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are too low for their level of risk.

move perfectly opposite one another.

are too large to offset one another.

move perfectly in sync with one another.

are completely unrelated to one another.

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