A portfolio's expected return is simply the weighted average of its assets' returns — mix 50/50 and you land exactly halfway between them.
Risk refuses to average. Because two assets rarely move in perfect lockstep, part of their wiggles cancel, and the portfolio's standard deviation is pulled below that straight-line average.
The strength of the cancellation is the correlation ρ. At ρ = +1 nothing cancels and the bullet is a straight line — no free lunch. As ρ falls the curve bows left.
Past a certain point the safest blend is less risky than either asset alone. Its leftmost tip is the minimum-variance portfolio, and the bright gold curve above it — the efficient frontier — is where every rational investor wants to live.
The plotter jammed mid-trace. The lesson continues without it — everything you have already done is safe.