The primary focus of this paper is to investigate whether the introduction of investor risk classes to the fund performance model affects relative performance rankings. In other words, are investor risk classes relevant? This analysis is conducted in an Extended Mean Gini (EMG) CAPM f ramework. Our results support the conclusion that investor risk class is not relevant to the performance ranking of a fund. Thus, it would seem that fund managers are not developing portfolios which are suited to a particular class of risk averse investors. Furthermore, based on our results, equity fund managers are unable to outperform the market portfolio. Finally, we find no relationship between performance and perceived level of activity — thus suggesting the irrelevance of perceived management style.