Mutual fund returns strongly persist over multi-year periods-that is the central finding of this paper. Further, consumer and fund manager behavior both play a large role in explaining these long-term continuation patterns-consumers invest heavily in last-year's winning funds, and managers of these winners invest these inflows in momentum stocks to continue to outperform other funds for at least two years following the ranking year. By contrast, managers of losing funds appear reluctant to sell their losing stocks to finance the purchase of new momentum stocks, perhaps due to a disposition effect. Thus, momentum continues to separate winning from losing managers for a much longer period than indicated by prior studies.