In this paper we analyse whether investors are smart ex-ante, in that they can forecast mutual fund perfomance. We do not find any evidence in favour of the smart effect in the Spanish mutual fund market. This result is not consistent with previous empirical evidence for the American mutual fund market. In this paper we explore the different reasons that can explain these results. In addition, we study the persistence hypothesis, in that they use past fund performance to forecast mutual fund performance. We find some evidence in favour of this hypothesis.

Key words: mutual fund, performance, smart effect, taxes.
JEL classification: G23, G14.