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Mutual Fund Performance Evaluation and Best Clienteles

  • Stéphane Chrétien and Manel Kammoun


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 (LOP) 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.


Corresponding author

* Chrétien (corresponding author),, Faculty of Business Administration, Laval University; Kammoun,, Department of Administrative Sciences, Université du Québec en Outaouais.


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We thank Vikas Agarwal, Laurent Barras, Marie-Claude Beaulieu, Stephen Brown (the editor), Frank Coggins, Wayne Ferson, Juha Joenväärä, Laurenz Klipper, Jerchern Lin (the referee), Gabriel Power, and participants at the 2014 Mathematical Finance Days, the 2014 European Financial Management Association Annual Conference, the 2014 World Finance Conference, the 2014 Financial Management Association Annual Meeting, and seminars at Laval University, Ryerson University, University of Quebec at Montreal, and Université du Québec en Outaouais for helpful comments. We gratefully acknowledge financial support from the Faculty of Business Administration and Investors Group Chair in Financial Planning at Laval University and the Institut de Finance Mathématique de Montréal.



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