An individual investor is planning to allocate USD 8 million to either exchange-traded funds (ETFs) or private equity funds (PEFs). To make an informed decision, the investor gathers the past year's returns for a variety of ETFs and calculates statistical measures such as volatility and correlation using these returns. The investor also analyzes a database containing reported returns and volatilities for several PEFs and narrows down the choices to two potential investments in each category. Based on the collected data, the investor compiles the following information for the four possible investments:

1-year Annual return	Volatility of returns	Asset
6.5%	11.4%	Broad equity market index ETF (ETF1)
8.3%	13.6%	Growth stock ETF (ETF2)
7.4%	12.3%	Private equity fund 1 (PEF1)
10.2%	11.1%	Private equity fund 2 (PEF2)

Correlation of returns	Asset 1	Asset 2
0.67	ETF1	ETF2
0.25	ETF1	PEF1
0.41	PEF1	PEF2

The investor reviews this data, considering potential biases and uncertainties in the reported figures. What would be the most suitable conclusion for the investor to draw?