The short-term persistence of international mutual fund performance

This paper examines the short-term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample of 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods. We rank countries by abnormal return and estimate the performance of each country for the following quarter. We find statistically and economically significant performance persistence that is more pronounced for the top and bottom countries. The post-ranking abnormal return disappears when performance is examined over longer time periods. Thus, our results confirm that superior performance is a short-lived phenomenon.