Investors tend to behave a little like these extreme athletes, at least when they're starting out: They would much rather talk about the returns their funds generated than the risks they took to achieve those returns or the losses they've incurred. Take Janus investors. Many of that shop's funds, including Janus Venture JAVTX, enjoyed some heady years during the late 1990s. Venture shareholders were likely thrilled with their spectacular 141% return in 1999. But they probably weren't so thrilled when the fund lost 46% in 2000. Tremendous gains are won only through tremendous risk taking, which often means many ups and downs in short-term returns. That's called volatility.

While no single risk measure can predict with 100% accuracy how volatile a fund will be in the future, studies have shown that past risk is a pretty good indicator of future risk. In other words, if a fund has been volatile in the past, it's likely to be volatile in the future.