Using data on security holdings of 10,771 institutional investors from 72 different countries, we test whether concentrated investment strategies result in excess risk-adjusted returns to institutional investors. We examine three measures of portfolio concentration: home country, foreign...

This article provides global evidence supporting the Low Volatility Anomaly: that low risk stocks consistently provide higher returns than high risk stocks. This study covers 33 different markets during the time period from 1990-2011. (Two previous studies by Haugen & Heins (1972) and Haugen &...