Abstract

MUGA, Luis; RODRIGUEZ, Adriana  and  SANTAMARIA, Rafael. Performance-flow Relationship in Mexican Mutual Funds, 1992-2002. Inv. Econ [online]. 2006, vol.65, n.255, pp.91-126. ISSN 0185-1667.

This paper examines performance persistence, and the performance-flow relationship in Mexican Mutual Funds by testing the persistence hypothesis and the smart money hypothesis. The results indicate the presence of a significant positive relationship between fund returns over different time periods, both in the consecutive and multi-period framework. A significant positive correlation is also observed between past returns and variations in net new investment, though this is a convex relationship, which is weaker in the region of bad returns. Finally, no evidence is found to support the notion of a smart effect in the Mexican mutual fund market, since no significant relationship is observed between fund flows and future returns.

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