Mutual fund attributes and their relationship to risk-adjusted return: A study on the performance and characteristics on the Swedish fund market

Abstract: In this paper we study the relation between fund performance and a set of fund-specific attributes of Sweden funds in the period 2003-2007, extending the existing research on fund performance. The paper studies a sample of about 90 Sweden funds, performing a number of different statistical tests to verify the robustness of the results. We generate the risk-adjusted return of the funds, by regressing fund returns against appropriate benchmarks. We use these estimates as a measure of fund performance and then analyze the relation between fund performance and attributes such as fund size, flows, management fees, past performance and a proxy for trading activity. We find evidence of a significant, positive relationship between fund size and risk-adjusted return as well as a positive relation between the money flow to funds and risk-adjusted return, i.e. the existence of “smart money”. We also find some evidence of persistence in the sample.