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Performance and Characteristics of Swedish Mutual Funds

Published online by Cambridge University Press:  06 April 2009

Magnus Dahlquist ,
Stefan Engström  and
Paul Söderlind
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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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 35 , Issue 3 , September 2000 , pp. 409 - 423
Copyright
Copyright © School of Business Administration, University of Washington 2000

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Footnotes

*

Dahlquist and Söderlind, Stockholm School of Economics, and CEPR; Engström, Stockholm School of Economics, Box 6501, Stokholm, SE 113 83, Sweden. We have benefited from the comments and suggestions of Stephen Brown (the editor), Martin Edström, Hans Fahlim, and Lu Zheng (the referee). We appreciate research assistance from Ingela Redelius and Pernilla Viottti.

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