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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 312:
Performance and Characteristics of Swedish Mutual Funds

Magnus Dahlquist (), Stefan Engström () and Paul Söderlind ()

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; (follow links to similar papers)

JEL-Codes: G11; G12; G23; (follow links to similar papers)

21 pages, February 28, 1999, Revised May 10, 2000

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This paper is published as:
Dahlquist, Magnus, Stefan Engström and Paul Söderlind, (2000), 'Performance and Characteristics of Swedish Mutual Funds', Journal of Financial and Quantitative Analysis, Vol. 35, September, No. 3, pages 15



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