We document persistence in the performance of emerging market equity funds and find several notable differences compared to US equity funds. First, the contribution of winner funds to the return spread between winner and losers is substantially larger for emerging market funds. Second, only a small portion of the return spread between winners and losers can be attributed to momentum effects in emerging markets. Third, winner funds in emerging markets generate returns that are sufficiently large enough to cover their expenses. Overall, our findings suggest that emerging market funds generally display better performance than US funds.

Additional Metadata
Keywords emerging markets, equity mutual funds, momentum, performance persistence, size effect, value effect
Persistent URL dx.doi.org/10.1016/j.ememar.2011.03.001, hdl.handle.net/1765/23497
Citation
Huij, J.J., & Post, G.T.. (2011). On the performance of emerging market equity mutual funds. Emerging Markets Review, 12(3), 238–249. doi:10.1016/j.ememar.2011.03.001