What is Covariance?

An indicator showing how two variables change together. For each observation, the deviations of both variables from their own means are multiplied, and these products are averaged (for a full population divided by n, for a sample usually by n - 1). The sign gives the main information: if positive, the variables change in the same direction; if negative, in opposite directions; if close to zero, no linear relationship is noticeable. Its drawback: its value depends on the units of measurement, so the correlation coefficient is used to compare the strength of a relationship.

Source: Covariance (Wikipedia)