We develop a new methodology that allows conditional performance to be a function of information available at the start of the performance period but does not make assumptions about the behaviour of the conditional betas. We use econometric techniques developed by Lynch and Wachter (2011) that use all available factor return, instrument, and mutual fund data, and so allow us to produce more precise parameter estimates than those obtained from the usual GMM estimation. We use our SDF-based method to assess the conditional performance of fund styles in the CRSP mutual fund data set, and are careful to condition only on information available to investors, and to control for any cyclical performance by the underlying stocks held by the various fund styles. Moskowitz (2000) suggests that mutual funds may add value by performing well during economic downturns, but we find that not all funds styles produce counter-cyclical performance when using dividend yield or term spread as the instrument: instead, many fund styles exhibit pro-cyclical or noncyclical performance, especially after controlling for any cyclicality in the performance of the underlying stocks. For many fund styles, conditional performance switches from counter-cyclical to pro- or non-cyclical depending on the instrument or pricing model used. Moreover, we find very little evidence of any business cycle variation in conditional performance for the 4 oldest fund styles (growth and income, growth, maximum capital gains and income) using dividend yield or term spread as the instrument, despite estimating the cyclicality parameter using the GMM method of Lynch and Wachter (2011) that produces more precise parameter estimates than the usual GMM estimation. Our results are important because they call into question the accepted wisdom and Moskowitz’s conjecture that the typical mutual fund improves investor utility by producing counter-cyclical abnormal performance.