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 regres- sion 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 rela- tion between performance and fund attributes such as past performance, ∞ows, 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,