Investors’ Direct Stock Holdings and Performance Evaluation for Mutual Funds

Investors need performance measures particularly as a means for funds selection in the process of exanteportfolio optimization. Unfortunately, there are various performance measures recommended for differentdecision situations. Since an investor may be uncertain which kind of decision problem is best apt to describe hispersonal situation the question arises up to which extent funds rankings react sensitive with respect to changes inperformance measurement. To be more precise, an investor with mean-variance preferences is considered whois trying to identify the best fund f* out of a set consisting of F funds and to combine this one optimally with thedirect holding of a broadly diversified (reference) portfolio P of stocks as well as riskless lending or borrowing. Foran investor just starting to acquire risky securities all three fractions of the various assets in question as part of hisoverall portfolio can be considered..