This paper establishes a robust relation between the deviations from benchmarks by actively managed mutual funds and future stock returns. We show that a stock-level measure that aggregates the over- and underweighting decisions of active fund managers strongly and positively predicts future stock returns. The return premium on stocks heavily overweighted by mutual funds, relative to their underweighted counterparts, reaches more than 7% per year even after adjustments for their loadings on the market, size, value, momentum, and liquidity factors. A significant portion of this premium occurs around corporate earnings announcements. These results point to an informational link between active mutual fund investing and asset prices.