Swedish Equity Mutual Funds: Performance, Persistence and Presence of Skill
35 Pages Posted: 25 Mar 2014 Last revised: 26 Mar 2014
Date Written: February 1, 2014
Actively managed Swedish equity mutual funds generated an average positive 4-factor alpha of 0.9 per cent per year before expenses and a negative alpha of -0.5 per cent after expenses in 1999-2009. There is practically no persistence in returns. When funds are ranked on past performance, their returns converge to the mean in about two years. There is furthermore practically no evidence of true management skill. The actual 4-factor alphas of most funds before and after expenses, including those with the highest alphas, do not differ significantly from bootstrapped alphas constructed under the null hypothesis that alpha is zero for all funds.
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