Why not 100% equities

An article in this Journal has presented evidence documenting the historical superiority of investing in 100% equities over investing in a blend of equities and fixed-income securities. The author argues here that an investor willing to bear the risk of 100% equities can do even better with a diversified portfolio. Historically, a diversified portfolio delivers more return while not increasing risk (measuring risk along several different dimensions). Even without leverage, the author argues that 100% equities would rarely be optimal. Whichever portfolio is chosen, the author notes that choosing the amount of risk to bear and constructing a set of portfolios with the most expected return for a given amount of risk are separate tasks. Choosing a portfolio of 100% equities based on historical returns misses this separation.