On the Performance of Emerging Market Equity Mutual Funds

35 Pages Posted: 17 Aug 2008 Last revised: 29 Mar 2011

See all articles by Joop Huij

Joop Huij

Erasmus University - Rotterdam School of Management; Robeco; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

Thierry Post

Graduate School of Business of Nazarbayev University

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Date Written: August 14, 2008

Abstract

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.

Keywords: mutual funds, emerging markets, performance persistence, momentum

Suggested Citation

Huij, Joop and Post, Thierry, On the Performance of Emerging Market Equity Mutual Funds (August 14, 2008). Available at SSRN: https://ssrn.com/abstract=1225670 or http://dx.doi.org/10.2139/ssrn.1225670

Joop Huij (Contact Author)

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

HOME PAGE: http://www.rsm.nl/jhuij

Robeco

Rotterdam, 3014DA
Netherlands

HOME PAGE: http://www.robeco.com/

Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

Thierry Post

Graduate School of Business of Nazarbayev University ( email )

53 Kabanbay Batyra Avenue
Astana, 010000
Kazakhstan

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