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...

A diverse set of measures allows investors to evaluate hedge fund portfolio managers' performance across different dimensions. The various measures quantify the effectiveness of security selection, account for investor flows, operating risk, and worst-case investment scenarios, net out benchmark...

According to the costly arbitrage theory, stocks with high idiosyncratic volatility deter arbitrageurs from trading against the temporal mispricing to gain profits. Hence, long equity holders, such as equity mutual funds, would not take on too much 'idiosyncratic risk' in their portfolios,...