Performance and Characteristics of Swedish Mutual Funds

Magnus Dahlquist, Stefan Engström and Paul Söderlind

Journal of Financial and Quantitative Analysis, 2000, vol. 35, issue 3, 409-423

Abstract: This paper studies the relation between fund performance and fund attributes in the Swedish market. Performance is measured as the alpha in a linear regression of fund returns on several benchmark assets, allowing for time-varying betas. The estimated performance is then used in a cross-sectinal analysis of the relation between performance and fund attributes such as past performance, flow, size, turnover, and proxies for expenses and trading activity. The results show that good performance occurs among small equity funds, low fee funds, funds whose trading activity is high and, in some cases, funds with good past performance.

Date: 2000
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