The thumb rule that we know higher expected returns are related to higher risk. There have been claims like risk is more than just volatility. Was going through a journal Journal of Portfolio Management, and realized arguing that risk is more than just risk. The term is unnecessarily narrow; securities offer returns for reasons other than risk, as the word conventionally is used.
The four sources of unattractiveness that I came across from the journal:
- Economic–The common notion of investment risk. The danger that a security might not be able to make required current payments, that these payments might not prove as valuable as expected (as caused, for example, by inflation), or that projected future payments might be less than anticipated. As Ibbotson and Idzorek write, people naturally do not seek these attributes and wish to be compensated for owning them.