Hostname: page-component-848d4c4894-jbqgn Total loading time: 0 Render date: 2024-06-15T17:07:47.558Z Has data issue: false hasContentIssue false
  • English
  • Français

Performance and Characteristics of Swedish Mutual Funds

Published online by Cambridge University Press:  06 April 2009

Magnus Dahlquist ,
Stefan Engström  and
Paul Söderlind
Get access Rights & Permissions [Opens in a new window]

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

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.

References

Blake, C. R.; Elton, E. J.; and Gruber, M. J.. “Survivorship Bias and Mutual Fund Performance.” Review of Financial Studies, 9 (1996), 1097–1120.10.1093/rfs/9.4.1097Google Scholar
Brown, S. J., and Goetzmann, W. N.. “Attrition and Mutual Fund Performance.” Journal of Finance, 50 (1995), 679–698.10.2307/2329424CrossRefGoogle Scholar
Brown, S. J.; Goetzmann, W. N.; Ibbotson, R. G.; and Ross, S. A.. “Survivorship Bias in performance Studies.” Review of Financial studies, 5 (1992), 553–580.10.1093/rfs/5.4.553CrossRefGoogle Scholar
Carhart, M. M. “On the Persistence of Mutual Fund Performance.” Journal of Finance, 52 (1997), 57–82.10.2307/2329556CrossRefGoogle Scholar
Carhart, M. M. “Mutual Fund Survivorship.” Working Paper, Goldman Sachs Asset Management (1998).Google Scholar
Christopherson, J. A.; Ferson, W. E.; and Glassman, D. A.. “Conditining Manager Alphas on Economic Information: Another Look at the Persistence of Performance.” Review of Financial Studies, 11 (1998), 111–142.10.1093/rfs/11.1.111CrossRefGoogle Scholar
Dahlquist, M., and Söderlind, P.. “Evaluating Portfolio Performance with Stochastic Discount Factors.” Journal of Business, 72 (1999), 347–383.10.1086/209618CrossRefGoogle Scholar
Daniel, K.; Grinblatt, M.; Titman, S.; and Wermers, R.. “Measuring Mutual Fund Performance with Characteristic Based benchmarks.” Journal of Finance, 85 (1997), 1088–1105.Google Scholar
Elton, E. J.; Gruber, M. J.; Das, S.; and Hlavka, M.. “Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios.” Review of Financial studies, 6 (1993), 1–22.10.1093/rfs/6.1.1CrossRefGoogle Scholar
Ferson, W. E., and Schadt, R.. “Measuring Fund Strategy and Performance in Changing Economic Conditions.” Journal of Finance, 51 (1996), 425–461.10.2307/2329367CrossRefGoogle Scholar
Goetzmann, W. N., and Ibbotson, R. G.. “Do Winners Repeat Patterns in Mutual Fund performance.” Journal of Portfolio Management, 20 (1994), 9–18.10.3905/jpm.1994.409486CrossRefGoogle Scholar
Griliches, Z. “Economic Data Issues.” In Handbooks in Econometrics, Vol. III, Griliches, Z. and Intriligator, M. D., eds. Amsterdam: North-Holland (1986).Google Scholar
Grinblatt, M. and Titman, S.. “Portfolio Performance Evaluation: Old Issues and New Insights.” Review of Financial Studies, 2 (1989), 393–421.10.1093/rfs/2.3.393CrossRefGoogle Scholar
Grinblatt, M. and Titman, S.. “Performance Persistence in Mutual Funds.” Journal of Finance, 47 (1992), 1977–1984.10.2307/2329005CrossRefGoogle Scholar
Grinblatt, M.; Titman, S.; and Wermers, R.. “Momentum Investment Strategies, portfolio Performance, and Herding: A Study of Mutual Fund Behavior.” American Economic Review, 85 (1995), 1088–1105.Google Scholar
Gruber, M. J. “Another Puzzle: The Growth in Actively Managed Mutual Funds.” Journal of Finance 51 (1996), 783–810.10.2307/2329222CrossRefGoogle Scholar
Hendricks, D.; patel, J.; and Zeckhauser, R.. “Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974–1988.” Journal of Finance, 48 (1993), 93–130.10.2307/2328883Google Scholar
Henriksson, R. D., and Merton, R. C.. “On Market Timing and Investment Performance II: Statistical Procedures for Evaluating Forecasting Skills.” Journal of Business, 54 (1981), 513–534.10.1086/296144CrossRefGoogle Scholar
Ippolito, R. A. “Efficiency with Costly Information: A Study of Mutual Fund Performance.” Quarterly Journal of Economics, 104 (1989), 1–24.10.2307/2937832CrossRefGoogle Scholar
Ippolito, R. A. “Consumer Reaction to Measures of Poor Quality: Evidience from the Mutual Fund Industry.” Journal of Law and Economics, 35 (1992), 45–70.10.1086/467244CrossRefGoogle Scholar
Malkiel, B. G. “Returns from Investing in Equity Mutual Funds 1971–1991.” Journal of Finance, 50 (1995), 549–572.10.2307/2329419CrossRefGoogle Scholar
Newey, W. K., and West, K. D.. “A Simple Positive Semi-Definite Heteroskedasticity and Autocorrelation Consistent Convariance Matrix.” Econometrica, 55 (1987), 703–708.10.2307/1913610CrossRefGoogle Scholar
Pozen, R. C. The Mutual Fund Business. Cambridge, MA: MIT Press (1998).Google Scholar
Rouwenhorst, K. “Internatinal Momentum Strategies.” Journal of Finance, 53 (1998), 267–284.10.1111/0022-1082.95722CrossRefGoogle Scholar
Sirri, E. R., and Tufano, P.. “Costly search and Mutual Fund Flows.” Journal of Finance, 53 (1997), 1589–1622.10.1111/0022-1082.00066CrossRefGoogle Scholar
Treynor, J. L., and Mazuy, K.. “Can Mutual Funds Outguess the Market” Harvard Business Review, 44 (1966), 131–136.Google Scholar
White, H. L. “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Directy Test for Heteroskedasticity.” Economietrica, 48 (1980), 817–838.10.2307/1912934CrossRefGoogle Scholar
Zheng, L. “Is Money Smart? A Study of Mutual Fund Investors' Fund Selectin Ability.” Journal of Finance, 54 (1999), 901–933.10.1111/0022-1082.00131CrossRefGoogle Scholar