The use of predetermined variables to represent public information and time-variation has produced new insights about asset pricing models, but the literature on mutual fund performance has not exploited these insights. This paper advocates conditional performance evaluation, in which the...

This paper employs a multivariate time series approach to study long-horizon predictability of equity and currency market returns in the US, Great Britain, Japan and Germany. Following Bekaert and Hodrick (1992) we examine the predictability of returns by estimating VARs for pairs of countries....