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Performance and Characteristics of SwedishMutual 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 fundperformance and fund attributes in the Swedishmarket. Performance is measured as the alpha in alinear regression of fund returns on severalbenchmark assets, allowing for time-varying betas.The estimated performance is then used in across-sectinal analysis of the relation betweenperformance and fund attributes such as pastperformance, flow, size, turnover, and proxies forexpenses and trading activity. The results show thatgood performance occurs among small equity funds,low fee funds, funds whose trading activity is highand, in some cases, funds with good pastperformance.

Information

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 ofEconomics, and CEPR; Engström, Stockholm School ofEconomics, Box 6501, Stokholm, SE 113 83, Sweden.We have benefited from the comments andsuggestions of Stephen Brown (the editor), MartinEdström, Hans Fahlim, and Lu Zheng (the referee).We appreciate research assistance from IngelaRedelius and Pernilla Viottti.

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