The concept of “risk adjusted returns” are nonsense since “risk” is not defined as one might ordinarily think.  What investors should care about is maximizing total long term returns.  Volatility adjusted returns aren’t relevant to most long term investors.  Obviously this is different for short term investments that you might need in the next few (2-10) years.  The goal should be to invest in low cost stock indexes (e.g. mutual funds [edit: or now ETFs] from low cost providers such as Vanguard or Schwab) and letting your money compound over decades.  For someone in their 20s, 30s, 40s (or arguably even in their 50s) the optimal long term percentage for their investment portfolio is a 100% in stock mix. At those ages you have decades of compounded investment returns.   For people with larger portfolios in their 60s and up who can withstand volatility and not have it impact their lifestyle, a high (90+) percentage is also reasonable: if you are only withdrawing income from your portfolio, that will be much less volatile than prices.  Not completely non-volatile of course, just less.

When your time horizon is decades, you shouldn’t care about short term volatility.  For example, t-bills might be less volatile than stocks, but over any reasonable time period the total return of stocks has been much higher.

Obviously you should talk to a financial advisor about your specific scenario, but for people in the younger age range, time and compounding at the highest rate possible is critical.