Performance and Characteristics of Swedish Mutual Funds

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 ana...

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Bibliographic Details
Published inJournal of financial and quantitative analysis Vol. 35; no. 3; pp. 409 - 423
Main Authors Dahlquist, Magnus, Engström, Stefan, Söderlind, Paul
Format Journal Article
LanguageEnglish
Published New York, USA Cambridge University Press 01.09.2000
University of Washington School of Business Administration and New York University Leonard N. Stern School of Business
Subjects
Actively managed funds
Annual reports
Assets
Bank deposits
Bond funds
Bond markets
Capital gains
Capital market
Cross-sectional studies
Equity
Equity funds
Fees
Fees & charges
Financial analysis
Financial investments
Investment
Investment policy
Investments
Money market mutual funds
Money markets
Mutual funds
Net assets
Passively managed funds
Portfolio performance
Regression analysis
Scandals
Securities analysis
Studies
Sweden
Tax regulations
Trade
Sweden
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Summary: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.
Bibliography:PII:S002210900000925X
ArticleID:00925
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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ark:/67375/6GQ-3T1HMG0V-9
ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0022-1090
1756-6916
DOI:10.2307/2676211