This paper studies the relation between fund
performance and fund attributes in the Swedish
market. Performance is measured as the alpha in a
linear regression of fund returns on several
benchmark assets, allowing for time-varying betas.
The estimated performance is then used in a
cross-sectinal analysis of the relation between
performance and fund attributes such as past
performance, flow, size, turnover, and proxies for
expenses and trading activity. The results show that
good performance occurs among small equity funds,
low fee funds, funds whose trading activity is high
and, in some cases, funds with good past
performance.