Mutual Fund Performance Evaluation and Best Clienteles

Posted: 16 Dec 2015 Last revised: 6 Sep 2017

See all articles by Stéphane Chrétien

Stéphane Chrétien

Université Laval

Manel Kammoun

Université du Quebec en Outaouais (UQO)

Date Written: November 11, 2015


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.

Keywords: Portfolio Performance Measurement, Clientele, Investor Disagreement, No-Good-Deal Bound

JEL Classification: G12, G23

Suggested Citation

Chrétien, Stéphane and Kammoun, Manel, Mutual Fund Performance Evaluation and Best Clienteles (November 11, 2015). Journal of Financial and Quantitative Analysis (JFQA), Vol 52, No 4, August 2017, p. 1577-1604. (DOI: 10.1017/S002210901700045X), Available at SSRN:

Stéphane Chrétien (Contact Author)

Université Laval ( email )

Pavillon Palasis-Prince
2325, rue de la Terrasse
Quebec City, Quebec G1V 0A6
418-656-2131 x3380 (Phone)

Manel Kammoun

Université du Quebec en Outaouais (UQO) ( email )

Case postale 1250
succursale Hull
Gatineau, Québec J8X 3X7

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