Performance and Characteristics of Swedish Mutual Funds

21 Pages Posted: 2 Jun 2009 Last revised: 11 Jun 2013

See all articles by Magnus Dahlquist

Magnus Dahlquist

Stockholm School of Economics; Swedish House of Finance

Stefan Engstrom

Stockholm School of Economics, Department of Finance; Agenta

Paul Söderlind

University of St. Gallen; Centre for Economic Policy Research (CEPR); University of St. Gallen - School of Finance

Date Written: May 10, 2000

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

JEL Classification: G11, G12, G23

Suggested Citation

Dahlquist, Magnus and Engstrom, Stefan and Söderlind, Paul, Performance and Characteristics of Swedish Mutual Funds (May 10, 2000). Journal of Financial and Quantitative Analysis, Vol. 35, pp. 409-423, 2000, Available at SSRN: https://ssrn.com/abstract=1413216

Magnus Dahlquist

Stockholm School of Economics ( email )

Drottninggatan 98
Stockholm, SE-111 60
Sweden

Swedish House of Finance ( email )

Drottninggatan 98
111 60 Stockholm
Sweden

Stefan Engstrom

Stockholm School of Economics, Department of Finance ( email )

P.O. Box 6501
Stockholm 113 83
Sweden
+46 8 402 16 82 (Phone)

Agenta ( email )

Vasagatan 15-17
Stockholm, 11120
Sweden
+ 46 8 402 16 82 (Phone)

Paul Söderlind (Contact Author)

University of St. Gallen ( email )

Rosenbergstrasse 52
St. Gallen, 9000
Switzerland
+41 71 224 7064 (Phone)
+41 71 224 7088 (Fax)

HOME PAGE: http://https://sites.google.com/site/paulsoderlindecon/home

Centre for Economic Policy Research (CEPR)

London
United Kingdom

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

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