Multi-asset portfolio: adjust the weights and see how they shape return, risk and diversification.
Diversification works because assets do not move perfectly together. In this two-asset portfolio lab you set expected returns, volatilities and the correlation, and watch the frontier of possible portfolios bend: the lower the correlation, the more risk you can remove, down to the minimum-variance portfolio.
Portfolio variance includes a covariance term. When correlation is below 1, losses in one asset are partly offset by the other, so portfolio volatility is less than the weighted average of the two volatilities.
The mix of the two assets with the lowest possible volatility. With perfectly negative correlation it can even be risk-free.