Abstract
In this study we use a comprehensive database of mutual funds and study performance persistence across different styles, regions, and asset classes. While we find strong evidence of performance persistence for some markets, there is weak or no evidence for other markets. Contrary to popular belief, we find no relation between performance persistence and market efficiency. Performance persistence appears to be positively related to market breadth. Our results are inconsistent with anecdotal evidence that the added value of active management is concentrated in less efficient markets. Instead, our results indicate that managerial skill is more pronounced in markets that offer more investment opportunities.
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