Do Winners Keep Winning? A Study of the Performance Persistence in Swedish Mutual Funds

Abstract

We investigate whether performance persistence exists on the Swedish market for equity based mutual funds for the years 1992 – 2011. We test for one-year persistence for the risk-neutral returns for eight fund categories. The method includes both an autoregression of present returns on past returns and a cross product ratio test. The results suggest that performance persistent exists on the Swedish market. The main significant evidence is found for funds investing in Sweden, Europe and globally. The persistency found is most prevalent for the period spanning from 2000 to 2010.