As conventional asset pricing models have been proven inappropriate to adequately explain hedge fund performance, this study proposes an innovative, flexible and efficient hedge fund multifactor model to explain dynamic risk and return properties of core hedge fund strategies. The proposed model...

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...

This paper develops a diagnostic tool for candidate performance measures that accounts for investor disagreement in mutual funds. We compare the evaluation for best clienteles, specified by an upper admissible performance bound, to the one for representative investors implicit in twelve models....

In this paper an attempt is made to evaluate the performance of six growth-oriented equity schemes of Mutual Funds (HDFC, Morgan Stanley, Principal, LIC, Sundaram and SBI) on the basis of monthly returns compared to the benchmark returns (Sensex and Nifty). For this purpose, risk adjusted...