This paper studies the relationship between portfolio diversification and fund performance, based on an unexplored, hand-collected dataset of buyout funds. The dataset comprises detailed information at the level of portfolio companies, which allows measuring the concentration of the fund...

We analyze Chicago based daily wheat price volatility over more than 140 years using a novel data set of daily high and low futures prices starting in 1877. We identify five long-run regimes and find that that volatility shifts between regimes are statistically more pronounced than fluctuations...