Standard deviation captures total volatility, but it hides the sources of risk. Two portfolios can share the same σ yet behave very differently in a crisis. Advanced investors decompose risk into distinct types:

Systematic (market) risk — non-diversifiable; driven by macro factors like rates, inflation, recessions.
Unsystematic (idiosyncratic) risk — firm-specific; diversifiable by holding many names.
Credit & default risk — a bond issuer fails to pay.
Liquidity risk — you can't sell at a fair price when you need cash.
Inflation & interest-rate risk — purchasing power and bond-price erosion.
Currency & geopolitical risk — cross-border exposures.

Risk Type	Diversifiable?	Typical Asset
Idiosyncratic	Yes	Single stock
Systematic	No	Broad index
Credit	Partly	Corporate bond
Liquidity	Partly	Small-cap / REIT

Only systematic risk is compensated with higher expected returns — that's the core of CAPM.