In this study we use a comprehensive database of mutual funds covering a broad range of asset classes and study performance persistence within the different asset classes. First, we find strong evidence of persistence in performance within all of the asset classes. Secondly, we also find that the persistence in performance differs from one asset class to the next. Interestingly, we find that the performance persistence is unrelated to market efficiency; opposing the widely held notion that the added value of active management is more pronounced in less efficient markets. Breadth within asset classes, on the other hand, is positively related to persistence in performance. This finding holds across asset classes as well as within asset classes over time.