Hybrid Mutual Funds and Market Timi

Hybrid Mutual Funds and Market Timing Performance Abstract
I examine the stock market timing ability of two samples of hybrid mutual funds. I find that the inclusion of bond indices and a bond timing variable in a multi-factor Treynor and Mazuy model framework leads to substantially different conclusions concerning the stock market timing performance of these funds relative to the traditional Treynor Mazuy model. Coefficients from the traditional model are biased due to a strong correlation between various bond indices and the quadratic term used to measure timing ability in the model. Results from the multi-factor Treynor Mazuy model find less stock timing ability over the 1981-1991 time period than the Treynor Mazuy model and provide evidence of significant stock timing ability across the fund sample covering the 1992-2000 time period. A test designed to estimate stock portfolio changes during up and down stock markets provides some evidence that the results from the multi-factor Treynor Mazuy model are not spurious.

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Mutual Funds and Market Timing Performance hybrid Abstract
I examine the ability of Stock Market Timing Two samples of hybrid Mutual Funds. I find that the inclusion of bond indices and a bond timing variable in a multi-factor Treynor and Mazuy model framework leads to substantially different conclusions concerning the stock market timing performance of these funds relative to the traditional Treynor Mazuy model. Coefficients from the traditional model are biased due to a strong correlation between various bond indices and the quadratic term used to measure timing ability in the model. Results from the multi-factor Treynor Mazuy model find less stock timing ability over the 1981-1991 time period than the Treynor Mazuy model and provide evidence of significant stock timing ability across the fund sample covering the 1992-2000 time period. A test designed to estimate stock portfolio changes during up and down stock markets provides some evidence that the results from the multi-factor Treynor Mazuy model are not spurious.