"On the Performance of Emerging Market Equity Mutual Funds"



We document persistence in the performance of emerging market equity funds and find some notable differences compared to US 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, while US winner funds have been documented to underperform benchmark factors correcting for size, value and momentum effects by the magnitude of their expenses, 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.

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Sebastian Gryglewicz