There is a general increasing relationship between historical volatility and average return for large portfolios.

  • Volatility seems to be a reasonable measure of risk to evaluate a large portfolio.

There is no clear relationship between volatility and returns for individual stocks.

  • Larger stocks have lower volatility overall
  • Even the largest stocks are typically more volatile than a portfolio of large stocks
  • All individual stocks have lower returns and/or higher risk than the portfolios