Investments with a high standard deviation over one year have a lower standard deviation when measured over longer periods.

FORBES: The Efficient Frontier

Or there is no investment with a lower standard deviation for the same expected return.

FORBES: The Efficient Frontier

As you can see in the graph below, when combining such assets, returns generally shift to the lower right: higher return and lower risk (as measured by standard deviation).

FORBES: The Multiple Rewards of Multi-Asset-Class Investing