A Reexamination of the Market-Timing and Security-Selection Performance of Mutual Funds
An extended and correctly specified version of the Treynor-Mazuy (TM) model is used to examine the market-timing and stock-selection abilities of domestic equity mutual funds. This extended model controls for the inclusion of non-S&P 500 assets in mutual fund portfolios. We document positive and...
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| Veröffentlicht in: | Financial analysts journal 1997-09, Vol.53 (5), p.24-30 |
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| container_title | Financial analysts journal |
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| creator | Zakri Y. Bello Janjigian, Vahan |
| description | An extended and correctly specified version of the Treynor-Mazuy (TM) model is used to examine the market-timing and stock-selection abilities of domestic equity mutual funds. This extended model controls for the inclusion of non-S&P 500 assets in mutual fund portfolios. We document positive and significant market-timing abilities for 633 mutual funds during the 1984-94 period. This finding is in sharp contrast to the negative market-timing abilities found when using the original TM model, which does not control for non-S&P 500 assets. Security-selection abilities are significantly positive, and cross-sectional correlations between market timing and selectivity are significantly negative. The monotonic correlation between turnover and market timing is positive, and that between turnover and selectivity is negative. Neither of these findings is evident with the original TM model or with traditional linear parametric measures of correlation. |
| doi_str_mv | 10.2469/faj.v53.n5.2114 |
| format | Article |
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The monotonic correlation between turnover and market timing is positive, and that between turnover and selectivity is negative. 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Bello</au><au>Janjigian, Vahan</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A Reexamination of the Market-Timing and Security-Selection Performance of Mutual Funds</atitle><jtitle>Financial analysts journal</jtitle><date>1997-09-01</date><risdate>1997</risdate><volume>53</volume><issue>5</issue><spage>24</spage><epage>30</epage><pages>24-30</pages><issn>0015-198X</issn><eissn>1938-3312</eissn><coden>FIAJA4</coden><abstract>An extended and correctly specified version of the Treynor-Mazuy (TM) model is used to examine the market-timing and stock-selection abilities of domestic equity mutual funds. This extended model controls for the inclusion of non-S&P 500 assets in mutual fund portfolios. We document positive and significant market-timing abilities for 633 mutual funds during the 1984-94 period. This finding is in sharp contrast to the negative market-timing abilities found when using the original TM model, which does not control for non-S&P 500 assets. Security-selection abilities are significantly positive, and cross-sectional correlations between market timing and selectivity are significantly negative. The monotonic correlation between turnover and market timing is positive, and that between turnover and selectivity is negative. Neither of these findings is evident with the original TM model or with traditional linear parametric measures of correlation.</abstract><cop>Charlottesville</cop><pub>The Association for Investment Management and Research</pub><doi>10.2469/faj.v53.n5.2114</doi><tpages>7</tpages></addata></record> |
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| source | EBSCOhost Business Source Complete; Jstor Complete Legacy |
| subjects | Correlation analysis Efficient markets Equity Equity funds Financial investments Financial management Financial securities Index funds Investment advisors Investment funds Investment strategies Market timing Modeling Money management Mutual funds Parametric models Portfolio investments Portfolio management Regression analysis Scandals Securities analysis Securities markets Selection Stock exchange Stock exchanges Stock market indices Studies |
| title | A Reexamination of the Market-Timing and Security-Selection Performance of Mutual Funds |
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