Correlation measures how the prices of two assets behave relative to each other, scaled from -1.0 to 1.0.
A correlation of 1.0 implies perfect positive correlation (they move exactly together). A correlation of -1.0 implies perfect negative correlation (when one goes up, the other goes down identically). A correlation of 0 means the price movements are entirely independent.
In modern portfolio theory, the ideal portfolio combines assets with low or negative correlations. If all your assets have a correlation near 1.0, a market shock will cause everything to fall simultaneously, negating the benefits of diversification.