In this paper, the hot hand effect is analyzed with respect to mutual fund performance in Poland. We show that investors are not able to generate “extra returns” by taking into account past performance of mutual funds, and the hot hand effect in particular. It is a heuristic that may be popular and useful when it comes to basketball, but risky in use when taking real investment decisions. An interesting result of the paper is the bi-period and multi-period persistence analysis; we find an absence of evidence of the hot hand effect on returns and risk-adjusted returns at three-month intervals. The chi-square and cross product ratio statistics were carried out. The implications of the work affect the mutual fund market and its efficiency.