Performance and Characteristics of Swedish Mutual Funds

Magnus Dahlquist (), Stefan Engstrom and Paul Söderlind
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Magnus Dahlquist: Dept. of Finance, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden

No 312, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

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-sectional analysis of the relation between performance and fund attributes such as past performance, flows, size, turnover, and proxies for expenses and trading activity. The results show, among other things, that good performance is to be found among small equity funds, low-fee funds, funds whose trading activity is high, and in some cases, funds with good past performance.

Keywords: Flows; persistence; portfolio evaluation; survivorship bias; style analysis (search for similar items in EconPapers)
JEL-codes: G11 G12 G23 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1999-02-28, Revised 2000-05-10
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Citations: View citations in EconPapers (25)

Published in Journal of Financial and Quantitative Analysis, 2000, pages 15.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0312

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