Stock picking often is carried out with stock screens that reduce the set of eligible stocks. Such screens usually are assessed through the level and volatility of the resultant returns, mostly with associated statistics such as information ratio or Sharpe ratio. This evaluation, however, often...

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...

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent...