Neither source of performance is particularly correlated with the four Fama-French benchmarks, indicating that the private skills identified by these predictability-based strategies are based on characteristics of funds that are heretofore undocumented by the mutual fund literature. The remainder of this paper proceeds as follows. Section 2 sets forth an econometric framework for studying investments in mutual funds when business cycle variables may predict future returns. Section 3 describes the data used in the empirical analysis, and Section 4 presents the findings. Conclusions and avenues for future research are offered in Section 5. Unless otherwise noted, all derivations are presented in the appendix
