Mutual Fund Performance Evaluation and Best Clienteles
提出一种考虑最佳客户群的绩效衡量方法，在非完全市场下找到最有利的阿尔法上限，发现投资者分歧足以将基金平均评价从负转正。
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.