Working Paper: CEPR ID: DP2166
Authors: Magnus Dahlquist; Stefan Engström; Paul Söderlind
Abstract: The performance, and its characteristics, of Swedish-based equity and bond mutual funds are studied in detail. Accounting for survivorship biases, regular equity funds have a slight overperformance, equity funds with certain tax advantages have a negative performance (before tax), and bond funds a clear underperformance. The performance is related to fund specificcharacteristics such as netflows of new money into funds, past performance, expense measures, commissions paid by the funds, turnover, and the size of funds. The economic importance of the cross-sectional differences is quantified by investigating various trading strategies.
Keywords: in and outflows; persistence; portfolio evaluation; survivorship bias; style analysis
JEL Codes: G11; G12; G23
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| regular equity funds (G23) | performance (D29) |
| equity funds with tax advantages (H23) | performance (D29) |
| bond funds (G12) | performance (D29) |
| net flows (F21) | performance (D29) |
| fund size (larger equity funds) (G23) | performance (D29) |
| fund size (smaller bond funds) (G23) | performance (D29) |
| trading activity (F19) | performance (equity funds) (G12) |
| trading activity (F19) | performance (bond funds) (G12) |
| performance (D29) | market timing ability (G14) |