Actively managed Swedish equity mutual funds outperform the market in 1993‐2001 but have negative gross and net excess returns of ‐0.18 and ‐1.47 per cent per year in 2002‐2013. Across funds, there is no correlation between activism and return in the later period. Returns show little or no persistence: When funds are ranked on past performance, their returns converge to the cross‐sectional mean in about two years and stay close to that subsequently. There is practically no evidence of stock‐picking skills: Actual gross excess returns do not differ significantly from bootstrapped excess returns under the hypothesis of no skill in the population.
mutual funds index funds fund performance fund return persistence management skill luck