Using monthly return data of more than 6,400 US equity mutual funds we investigate short-run performance persistence over the period 1984-2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios' out-of-sample performance. To cope with short ranking periods, we employ an empirical Bayes approach to measure past performance more efficiently. Our main finding is that when funds are ranked on 12-month previous performance, the top decile of funds earns a statistically significant, abnormal return of 0.26 percent in the subsequent month. This effect persists beyond sales loads, and is mainly concentrated in relatively young, small cap/growth funds.