Performance and Characteristics of Swedish Mutual Funds
Journal
Journal of Financial and Quantitative Analysis
ISSN
0022-1090
Type
journal article
Date Issued
2000-09-01
Author(s)
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.
Language
English
Keywords
Flows
persistence
portfolio evaluation
survivorship bias
style analysis
HSG Classification
not classified
Refereed
No
Publisher
Graduate School of Business Administration
Publisher place
Seattle, Wash.
Volume
35
Number
3
Start page
409
End page
423
Pages
15
Subject(s)
Division(s)
Eprints ID
8742
File(s)![Thumbnail Image]()
Name
FundSwe200005.pdf
Size
164.11 KB
Format
HTML
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