Mutual fund flows are negatively related to fund performance more than about five years prior. This finding holds for both institutional and retail share classes, and across fund style categories. We develop and test the investor disappointment hypothesis, which holds that those who forecast future returns by extrapolating from recent high returns are subsequently disappointed on average. Consistent with this hypothesis, the negative net flow coefficients estimated for longer return lags are mainly attributable to outflows rather than inflows. Further, these outflow coefficients are not only largest when recent returns are the most disappointing but are significant even when recent returns are normal.