Swedish Equity Mutual Funds 1993-2013: Performance, Persistence and Presence of Skill

27 Pages Posted: 5 Dec 2017

See all articles by Harry Flam

Harry Flam

Stockholm University - Institute for International Economic Studies (IIES); CESifo (Center for Economic Studies and Ifo Institute)

Roine Vestman

Stockholm University - Department of Economics; Swedish House of Finance

Date Written: October 30, 2017

Abstract

Actively managed Swedish equity mutual funds outperform the market in 1993‐2001 but have negative gross and net excess returns of ‐0.18 and ‐1.47 per cent per year in 2002‐2013. Across funds, there is no correlation between activism and return in the later period. Returns show little or no persistence: When funds are ranked on past performance, their returns converge to the cross‐sectional mean in about two years and stay close to that subsequently. There is practically no evidence of stock‐picking skills: Actual gross excess returns do not differ significantly from bootstrapped excess returns under the hypothesis of no skill in the population.

Keywords: mutual funds, index funds, fund performance, fund return persistence, management skill, luck

JEL Classification: G230

Suggested Citation

Flam, Harry and Vestman, Roine, Swedish Equity Mutual Funds 1993-2013: Performance, Persistence and Presence of Skill (October 30, 2017). CESifo Working Paper Series No. 6713. Available at SSRN: https://ssrn.com/abstract=3082073

Harry Flam (Contact Author)

Stockholm University - Institute for International Economic Studies (IIES) ( email )

Stockholm, SE-10691
Sweden

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Roine Vestman

Stockholm University - Department of Economics ( email )

Universitetsvägen 10 A
House A, floor 4 and 7
Frescati, Stockholm
Sweden

HOME PAGE: http://www.ne.su.se/

Swedish House of Finance ( email )

Drottninggatan 98
111 60 Stockholm
Sweden

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
114
Abstract Views
487
rank
259,380
PlumX Metrics