The extraordinary market volatility and poor equity returns of recent years — as well as fears about the macroeconomic outlook — have prompted many investors to contemplate de-risking their overall portfolios. Perhaps they should — but first, they should contemplate the return side of the equation.

De-risking almost always means putting a much larger share of an asset allocation in bonds. Historically low yields make bonds unusually unattractive at this time. At 1.9 percent, our current median projected return for global seven-year sovereign bonds is worse than 90 percent of the returns in our normal range of return projections. That is, we’d seldom expect to see bond yields this bad.....