Performance Persistence in the Swedish Fund Market

Abstract: In this study, the performance persistence in the Swedish mutual fund market is investigated. The performance is measured by two different ratios. The ratios that we use are the Sharpe Ratio and the Reward-to-VaR ratio which are both measuring risk-adjusted returns. When the performance persistence is tested there are several periods of significant performance persistence. The proportion of periods that show significant performance persistence varies depending on the performance measure and what time period that is studied.