For a worrywart like me, it's kind of nice to know the riskiest shares only produce ordinary returns.
Can you believe that? Surely a risky stock is going to be a complete dud or a star performer, rather than neither.
Yet a study by Acadian Asset Management spanning 44 years of Wall Street between 1968 and 2012 discovered that, according to its portfolio manager, Ryan Taliaferro, ''there's no compensation for risk at all in equity markets''.
This, he says, ''is a very great surprise''. He can say that again.
The most volatile stocks - those that bounce all over the place and are the most likely to cause sleepless nights - returned an average annual 7 per cent, compared with 10 per cent for those that quietly go about their business of making you richer.
It's a global quirk, too; the returns in Australia were identical, at least between October 1998 and September 2013.
Hmm. This explains why supposedly high-growth, sharemarket-only options in super have on average done only marginally better than a conservative balanced fund that includes bonds and cash over the past 10 years.
If there's no compensation for risk, why take it? You got it in one.
Mind you, when it comes to risk, we seem to go all peculiar. Studies have shown the pain of losing money is greater than the joy of making it. So when investing, we'll avoid a loss by pretending it isn't there because it's bound to come good one day.
That's why gamblers will take even bigger risks to get out of a loss. Unless you confront this subconscious bias head-on, you're more likely to sell an appreciating share too soon - in the unlikely event you bought it in the first place - or perhaps worse, not sell a falling one.
And you'll put too much store on how much you originally paid for an investment than on what it should be worth.
Because we ''overvalue the present over the future'', as Britain's Financial Conduct Authority (FCA) put it in a recent study, we will prefer a smaller return today over a bigger one some time in the future, thank you very much. Bet you can see where that's going - a disinclination to pay off the mortgage sooner or save for retirement.
In the same vein, we obsess about a small risk while ignoring a much bigger one, though speaking for myself I can accommodate both.
Did you know that on an investment returning 6 per cent annually, a 1 per cent management fee will reduce the account balance by half over 50 years?
As tipsheet The Motley Fool points out, those who'd shrink at a 50 per cent sharemarket crash, which would be temporary anyway, wouldn't ''bat an eye at a fee that will guarantee them the same result with no chance of recovery''.
I'm afraid the FCA lists lots of other human foibles that get in the way of good investing as well.
Foremost is ''self-attribution bias'', which it says is a ''tendency to ascribe successes to [your] own ability and blame failure on bad luck''. Sounds like a polite way of saying we're all delusional.
Another mistake is making sweeping generalisations, or what our FCA friend calls making ''predictions on the basis of only a few observations'', such as basing a future return on past performance and underestimating uncertainty.
But the costliest trait is what psychologists call confirmation bias. This is when you have a pre-conceived idea and subconsciously filter out any information that contradicts it.
So don't blame markets when we're our own worst enemies.
Read David Potts in Weekend Money, with The Sunday Age every Sunday.
Twitter: @money potts
