Can Mutual Funds Outguess the Market?: A Report on the Performance of 57 Funds and their Sensitivity to Market Fluctuations
By Jack L. Treynor. 2012
285 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/b5b002a6d60194cd6ac339e7cc1a0bab3cca590f
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Citations in the corpus
- Can Hedge Funds Time Market Liquidity (2012, unknown): “Our liquidity-timing model builds on the pioneering work of Treynor and Mazuy (1966). In general, a timing model can be understood based on the capital asset pricing model (CAPM), by assuming that a fund manager generates portfolio returns according to the process”
- Faith-Based Ethical Investing: The Case of Dow Jones Islamic Indexes (2011, unknown): “Further, they use Treynor and Mazuy (1966) measure for market timing and conditional CAPM for negative movements.”
- Risk Shifting and Mutual Fund Performance (2010, unknown): “We group fund holdings according to their size, book-to-market, and momentum characteristics as proposed by Daniel, Grinblatt, Titman, and Wermers (1997) and Wermers (2003).”
- On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, unknown): “A frequently employed approach (see Treynor and Mazuy (1966), Lehmann and Modest (1987) for mutual funds, and Chen and Liang (2007) for hedge funds) is to extend the single factor market model by including quadratic terms, or, as in Henriksson and Merton (1981), by interacting the market return…”
- Measuring Investor Sentiment with Mutual Fund Flows (2012, unknown): “10 Warther (1995) includes international and global equity categories.”
- An Examination of Mutual Fund Timing Ability Using Monthly Holdings Data (2012, unknown): “This literature started with the work of Treynor and Mazuy (1966), who explore whether there was a nonlinear relationship between the market beta with the market and the return on the market.”
- A Bibliometric and Visualization Analysis of Socially Responsible Funds (2019, methodology): “Most of the studies used Jensen’s alpha [62], t e Sharp ratio [63] or the Treyn ratio [64] as performance measures.”
- Islamic Versus Conventional Mutual Funds Performance in Saudi Arabia: A Case Study أداء الصناديق الاستثمارية الإسلامية مقارنة بأداء الصناديق الاستثمارية التقليدية في المملكة العربية السعودية: دراسة عملية (2010, unknown): “Further, they used Treynor & Mazuy (1966) measure for market timing.”