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A client is considering investing in two ETFs. A European equity ETF delivers 0.80% per...

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Finance

A client is considering investing in two ETFs. A European equity ETF delivers 0.80% per month on average and has monthly return standard deviation of 5%. A US stock market ETF has a mean monthly return of 1.5% and standard deviation of 8%. The client wishes to hit an expected return target of 1.2% per month. If you believe that the correlation between the two ETFs is 0.25, advise the client as to the monthly return volatility that she will have to tolerate

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