Mutual fund performance evaluation and best clienteles

Authors: Chrétien, StéphaneKammoun, Manel
Abstract: This paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price and no-good-deal conditions, we obtain an upper bound on admissible performance measures that identifies the most favorable alpha. Empirically, we find that a reasonable investor disagreement leads to generally positive performance for the best clienteles. Performance disagreement by investors can be significant enough to change the average evaluation of mutual funds from negative to positive, depending on the clienteles.
Document Type: Article de recherche
Open Access Date: 5 May 2017
Document version: AM
Permalink: http://hdl.handle.net/20.500.11794/13927
This document was published in: Journal of financial and quantitative analysis, (2015)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2704031
Cambridge University Press
Collection:Articles publiés dans des revues avec comité de lecture

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