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We consider two types of dogmatists. The first is a ‘‘no-predictability dogmatist (ND),’’ who rules out predictability, additionally setting the parameters bi1 and Af in Eqs. (1) and (2) equal to zero. The second is a ‘‘predictability dogmatist (PD),’’ who believes that mutual fund returns are predictable based on observable business cycle variables. We further partition our PD investor into two types: PD-1, who believes that fund risk loadings are predictable (i.e., bi1 is potentially nonzero), and PD-2, who believes that both risk loadings and benchmark returns are predictable (i.e., bi1 and Af are both allowed to be nonzero). Note that our PD investors believe that asset allocation decisions can be improved by exploiting predictability in mutual fund returns based on public information, but cannot be improved through seeking managers with private skills.