Thus, even though this investor disregards any possibility of active management skills, she holds actively managed funds to capitalize on predictability in benchmark returns and fund risk loadings in a way that cannot be accomplished via long-only index fund positions. Next, consider an investor who allows for predictability in active management skills. At the end of 2002, this investor optimally selects actively managed precious metals funds. Moreover, this investor would suffer a 1% per-month utility loss if forced to hold the mutual funds that are optimally selected by an investor who allows for active management skills, but not predictability in such skills. It is also worth noting that.
