The following table is from page 171 of Fundamentals of Investing (11th edition) by Gitman, Joehnk, Smart. Please consider only the X, Y and XY columns (second, third, fifth).
Portfolio XY comprises assets X and Y in the proportion $2:1$. As you can see, while the average expected (here, "expected" is not used in the statistical sense, but to mean the forecast value) returns of assets X and Y have a standard deviation of $3.16$ and $6.32$ respectively, portfolio XY's expected return has a standard deviation of $0$!
Some further context: The authors are trying to illustrate the power of diversification: by replacing $\frac13$ of the original quantity of X with Y, the expected return of the portfolio is increased, while its risk (the standard deviation of the expected return) is decreased.
But how can the portfolio's risk possibly become nil !? Can someone pinpoint what is amiss?