Question
Use the Treynor and Mazuy market timing model to examine the market timing ability of the mutual funds.,,=+,,+,,2+,a.Do mutual funds show market timing ability? Should
Use the Treynor and Mazuy market timing model to examine the market timing ability of the mutual funds.,,=+,,+,,2+,a.Do mutual funds show market timing ability? Should we expect mutual funds to show market timing ability?b.Is the alpha in this model different from alpha in the standard CAPM model? What do the differences suggest? Fund Legg Mason Value Trust Fidelity Magellan Fund Janus Fund Fidelity Low-Priced Nicholas Fund -6.7% -7.4% -6.4% -8.0% -1.2% -6.6% 1.3% 2.6% 2.1% 0.2% 1.9% 1.4% 2.6% 1.7% 2.6% 4.3% 1.0% 3.2% -2.5% -3.5% -2.5% -1.6% -3.8% -2.2% 9.7% 6.8% 8.9% 12.7% 7.9% 9.2% -0.7% 0.2% 0.4% 1.4% 2.8% 0.6% -0.3% -1.7% -1.1% -2.5% -0.6% -2.4% -9.0% -11.0% -9.8% -10.1% -10.0% -10.2% -4.9% -10.1% -6.3% -1.7% -4.4% -6.2% -0.4% -1.2% -1.2% 0.1% -1.7% -4.1% 6.4% 3.8% 7.6% 4.2% 5.4% 9.1% 2.7% 3.1% 3.1% 2.1% 3.2% 5.3% 4.3% 4.9% 7.0% 6.2% 9.2% 5.6% 7.1% 6.0% 8.7% 6.6% 8.9% 9.5% 2.4% 1.6% 3.4% 5.2% 6.7% 4.0% 0.2% 1.2% 0.4% -0.1% 3.8% 2.7% 4.3% 4.0% 5.7% 2.5% 1.5% 4.4% -4.6% -4.1% -5.9% -3.9% -6.0% -4.3% 4.6% 6.1% 6.2% 7.0% 6.1% 3.6% 2.3% 3.6% 3.1% 4.1% 2.8% 3.1%
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