Abstract
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 eleven models. The results show that linear factor models misrepresent best clientele alphas, with a disagreement that relates to fund characteristics. Consumption-based alphas are generally inadmissible. The manipulation-proof performance measure generates alphas that are sensitive to its risk aversion parameter and lack statistical precision. However, a reasonable parameter gives admissible values that reflect the alphas for the most favorable clienteles.
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