An individual investor wants to invest USD 8 million in exchange-traded funds (ETFs) or private equity funds (PEFs). The investor obtains the previous year's returns for several ETFs and calculates summary statistics such as volatility and correlation based on these returns. The investor also reviews a database of reported returns and volatilities for several PEFs and then selects two potential investments in each asset class. Using the data from the sources described above, the investor generates the following information for the four potential investments:

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

Correlation of returns between ETF1 and ETF2	0.67
Correlation of returns between ETF1 and PEF1	0.25
Correlation of returns between PEF1 and PEF2	0.41

The manager evaluates this information while also considering the potential biases and uncertainties in the reported data. Which of the following conclusions is most appropriate for the investor to make?