Stabilizing selection has been predicted to change genetic variances and covariances so that the orientation of the genetic variance-covariance matrix (G) becomes aligned with the orientation of the fitness surface, but it is less clear how directional selection may change G. Here we develop statistical approaches to the comparison of G with vectors of linear and nonlinear selection. We apply these approaches to a set of male sexually selected cuticular hydrocarbons (CHCs) of Drosophila serrata. Even though male CHCs displayed substantial additive genetic variance, more than 99% of the genetic variance was orientated 74.9 degrees away from the vector of linear sexual selection, suggesting that open-ended female preferences may greatly reduce genetic variation in male display traits. Although the orientation of G and the fitness surface were found to differ significantly, the similarity present in eigenstructure was a consequence of traits under weak linear selection and strong nonlinear (convex) selection. Associating the eigenstructure of G with vectors of linear and nonlinear selection may provide a way of determining what long-term changes in G may be generated by the processes of natural and sexual selection.