EXPECTED STANDARD RETURN DEVIATION Security 1 0.25 0.25 Security 2 0.15 0.20 Security 3 0.20 0.30 Security 4 0.22 0.40 Security 5 0.28 0.50 Correlation Coefficients Security 1 Security 2 Security 3 Security 4 Security 5 Security 1 1.00 0.30 0.10 0.40 0.10 Security 2 0.30 1.00 0.20 0.20 0.10 Security 3 0.10 0.20 1.00 0.10 -0.20 Security 4 0.40 0.20 0.10 1.00 0.10 Security 5 0.10 0.10 -0.20 0.10 1.00