Following the development and popularity of mutual funds among Swedish investors, the question of active fund management and return has become a central issue for private investors. 99 percent of the Swedish population invests in mutual funds, comprising a total net fund value of almost 2,000 billion SEK. The idea behind active management is for a charged fee, to generate a return higher than the return of the market. But statistics indicate a low level of competition between the largest providers and only one out of ten funds performs better than its index. Financial instability due to the last decade’s two recessions has indeed caused fluctuating performance of actively managed Swedish mutual funds. It has also spurred academics to investigate the role and effect of active management and attached management fees. The main purpose of this research is to investigate if there exist differences between the performance of benchmark indices and the performance of actively managed equity funds, balanced funds and money market funds provided by seven Swedish banks; Folksam, Länsförsäkringar, Handelsbanken, Nordea, SEB, Skandia and Swedbank. We also seek to investigate if the level of fee and total risk affect the fund performance. The research was deductively conducted with a quantitative method of inquiry. The ontological and epistemological positions are objectivism and positivism. Our sample of 21 Swedish mutual funds, with daily price observations was investigated between 2004 and 2011, with a division of four subperiods. To answer our research question and sub-questions, ten fictive portfolios were created and five hypotheses were formulated based on previous research and theories within the field. The data was analyzed with paired samples T-tests and multiple linear regression analyses. The portfolios included three risk-adjusted fund performance measures and Value at Risk.     We have concluded that on average both balanced funds and money market funds have performed worse than their benchmark indices in the period 2004 to 2011. The equity funds have also performed worse than their benchmark index but the difference is not statistically significant. The balanced funds had the highest return, the money market funds second highest return and equity funds the lowest return. Supported by the multiple regression analyses, we have concluded that fund performance is negatively related to the level of total risk in the period 2004 to 2011. There is no statistical relationship between fund performance and fund provider. We finally conclude that fund return during the entire investigation period, is negatively related to management fees.

Submitted by Vítor Uchôa Nunes (vitor.nunes@btgpactual.com) on 2011-07-12T19:23:36Z No. of bitstreams: 1 Tese (homolog - final) - Estudo da Sensibilidade do Fluxo de Investimento em Fundos Multimercado.pdf: 274894 bytes, checksum: 644c7fc5c8fd9522e335233e9cdab021 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2011-07-12T19:25:22Z (GMT) No. of bitstreams: 1 Tese (homolog - final) - Estudo da Sensibilidade do Fluxo de Investimento em Fundos Multimercado.pdf: 274894 bytes, checksum: 644c7fc5c8fd9522e335233e9cdab021 (MD5) / Made available in DSpace on 2011-08-03T18:32:48Z (GMT). No. of bitstreams: 1 Tese (homolog - final) - Estudo da Sensibilidade do Fluxo de Investimento em Fundos Multimercado.pdf: 274894 bytes, checksum: 644c7fc5c8fd9522e335233e9cdab021 (MD5) Previous issue date: 2011-04-18 / Este trabalho estuda o impacto causado no fluxo de investimento em fundos multimercado por variáveis como o retorno dos fundos, o retorno do benchmark, a volatilidade de mercado, o fluxo de investimento de estrangeiros na Bolsa de Valores do Estado de São Paulo e o desempenho dos fundos ajustados pelo risco. / This paper studies the impact caused on the investment flow of mutual funds by variables such as the return of funds, the benchmark return, the market volatility, the foreigner investment flow on the São Paulo Stock Exchange and the risk-adjusted performance of the funds.

Previous research has analyzed the relationship of several fund characteristics to fund return, whether a higher fund fee results in a higher fund and if fund characteristics such as active management style, fund risk and fund size are contributing factors to a higher fund return. As previous empirical research has reported mixed results and has mainly studied the American fund market. Therefore, this study aimed to investigate whether there was a statical and significant relationship between the fund's return, annual fee, risk, size and management style for equity funds in Sweden, Norway, Finland, and Denmark over a five and ten-year period. The study is based on a quantitative method with a deductive approach which involves the collection of numeric and secondary data from Morningstar's database. The data has then been processed in a correlation- and regression analysis to analyze the relationship between fund return and the fund characteristics. Based on the results the study found a statistically significant relationship between the fund's return and funds risk for five years, the fund's size,the annual fee for five and ten years. The fund's risk for five years was insignificant as was the management style for five and ten years.

We investigate the activity and performance of 64 Swedish registered mutual equity funds available in the Swedish Premium Pension System from October 2002 to December 2011. Fund activity is measured by applying the holdings based analysis Active Share combined with Tracking Error Volatility (TEV). Active Share is a relatively new measure that compares a fund’s holdings with its benchmark index constituents (Cremers & Petajisto, 2009; Petajisto, 2013). This is used as a proxy for the fund’s stock selection strategy. As a complement, TEV is used as a proxy for the factor timing strategy. Performance are measured by using Jensen’s (1968) model, Fama and French’s (1993) model and Carhart’s (1997) model. We document that Swedish funds in the Premium Pension System are relatively passive in term of Active Share compared to US funds. We attribute this finding to the relative number of stocks held by a fund compared to the market. Swedish equity funds hold a relatively larger share of the number of stocks in the Swedish market while US funds hold a relatively smaller share of the stocks in the US market. We run a panel regression analysis to test the relation between Active Share and various variables. We find that funds with higher TER fees and fewer stocks on average have higher Active Share. There are also indications that TEV is positively related to Active Share. However, the overall explanatory power of the variables is low. We attribute this as evidence that Active Share is an independent measure of fund activity. Overall, we find neutral performance for an equally weighted portfolio of all funds in the PPS. To examine the performance differences between different levels of activity, we sort funds into five portfolios based on Active Share and TEV. The results show that, given a medium-to-low TEV, funds with high Active Share significantly outperform funds with low Active Share. Furthermore, it appears that the fee rebate in the Premium Pension System is important especially for the passive funds. Without the rebate, the passive funds underperform significantly. We run a panel regression analysis on the future fund performance to test the predictive abilities of Active Share and TEV. The results indicate that Active Share does not explain future performance differences. Conversely, TEV is negatively related to future performance which can be explained by fund managers being overconfident

The fund market has grown substantially during the past decades and the majority of Swedish citizens are invested in funds directly or through pension savings. There is mixed evidence on the performance of Swedish equity funds depending on the method employed and the time period studied. In this study, we set out to estimate abnormal performance using acknowledged methods during a time-period that is both longer and more recent than previous studies. Our sample is survivorship-free and consists of 150 mutual equity funds during January 1993 to December 2011. We use a four-factor model to estimate abnormal performance compared to an index and additional risk factors. We find that the average performance is neutral net of costs and that funds outperform with 1.7 percent before costs, the difference is approximately the average management fee. Over time, we find that the average abnormal performance and the share of funds that have significant outperformance have decreased while the share of significant underperformance has increased. Since the study of fund performance started in the 1960's the twin questions has been; does funds outperform the market and is this a result of pure chance or are managers skilled? Since we observe funds with significant positive and negative abnormal performance, we want to know if the results can attributed to luck or skill. We employ the latest technique, a bootstrap simulation, to test for skill or luck. This is the first study to employ the bootstrap to distinguish skill from luck in sample of Swedish funds. By ranking funds on performance after costs, we find that the performance of the majority of funds can be attributed to skill or "bad skill". The evidence is strongest in the top 95th percentile and above, and from the bottom 50th percentile and below.