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Next, we examine predictability in both benchmark returns and fund risk loadings. Consider the dogmatist who believes in such a predictability structure (PD-2). This investor would experience a nontrivial utility loss of 15.1 basis points per month (1.8%/ year) in December 2002 if forced to hold the optimal portfolio of the ND. The utility loss is even larger over the course of all 276 monthly investments. This loss averages 21.1 (39) basis points per month over expansions (recessions). Moreover, the optimal portfolio of the PD-2 investor consists of very different mutual funds, relative to those optimally selected by investors who disallow predictability or who allow predictability only in fund risk loadings. To illustrate, consider the ND. This investor primarily holds index funds, such as the Vanguard Institutional Index fund and the Vanguard Total Stock Market Index fund. When fund risk loading predictability is allowed (see PD-1), the same index funds are still optimally selected, albeit with slightly different weights. However, when predictability in both fund risk loadings and benchmark returns is allowed (see PD-2), the optimal portfolio consists of no index funds. Instead, a large allocation is made to growth, communication, and technology funds, such as the White Oak Growth fund and the T. Rowe Price Science & Technology fund.