Is There a Local Advantage for Mutual Funds That Invest in Eastern Europe?

We investigate the performance and time-varying risk behavior of open-end mutual funds that invest in Central and Eastern European equities. We classify the funds on the basis of the location of their management companies to examine whether fund managers located and operating in the region have an advantage over others that results in excess returns to investors. We cannot detect a local advantage for funds managed from the CEE region as compared to funds managed from other developed European countries, but if we compare the European and non-European managed funds, there are substantial differences both in performance and risk factors.