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In this section, we analyze the value of active management and the overall economic significance of predictability in mutual fund returns from an ex ante perspective. In particular, Table 3 provides optimal portfolio weights across equity mutual funds for each of the 13 investors described in Table 1. Optimal weights obtain, assuming these investors use the market benchmark to form moments for asset allocation. That is, f t in Eq. (2) represents the excess return on the value-weighted CRSP index. Weights are shown for the end of December 2002; at this date, the investment universe consists of 890 no-load, open- end equity mutual funds with at least four years of return history.Weights not reported are zero for all investor types. In unreported results (available upon request), we confirm that qualitatively identical findings obtain using the three Fama-French benchmarks as well as the four Carhart benchmarks.