Next, we analyze the stockholdings implied by the strategies examined here. The evidence shows that predictability-based strategies hold mutual funds with similar size, book-to-market, and momentum characteristics as their no-predictability counterparts. Predictability-based strategies also hold stocks with characteristics similar to those of the holdings of the three previously studied strategies noted earlier. Indeed, the overall attributes of the funds selected by strategies that account for predictable manager skills are quite normal—it is their level of performance that is remarkable
