This study evaluates the performance of fixed-income mutual funds in Indonesia 2015-2017 using 123 research samples. Mutual fund evaluation is done through three measurement models: Sharpe, Treynor, and Jensen's Alpha. compared to market (Indonesia Composite Bond Index/ICBI) assess whether better (outperforming), same as market, or worse (underperforming). The test results show that models cons...

this study is an attempt to apply the market timing andsecurity selection models to evaluate the performance of iranianmutual funds. the research shed light on the questions of ‘howsuccessful are mutual funds in earning excess returns over those of themarket?’ ‘do the excess returns during research period have anymeaningful trend for these financial intermediaries or is it the result ofthe abil...

This research aims to analyze the differences in performance of Islamic stock mutual funds and conventional forming an optimal portfolio using Sharpe Treynor models. Purposive sampling was used determining data sample which then analyzed descriptive method with a comparative study during period January 2018 December 2019. Hypothesis testing different test determine difference between two SPSS A...

Reported portfolio data indicate that bond fund managers engage in sector timing behavior. I use simulation procedures to examine the ability of various versions of the Treynor and Mazuy (1966) timing specification to detect positive sector timing skill. Results indicate that the models are unable to detect timing ability at reasonable skill levels for the majority of managers. Alternative meas...

Portfolio managers claim to be able to generate abnormal returns through either superior asset selection or market timing. The Treynor and Mazuy (TM) model is the mostly used return-based approach to isolate market timing skills, but all existing corrections of the regression intercept can be manipulated by a manager who can trade derivatives. We revisit the TM model by applying the original op...

Two different methods utilizing geographical information systems (GIS) and digital elevation models (DEMs) are described and evaluated for applying the Water Erosion Prediction Project (WEPP) model to assess water erosion and runoff in small watersheds. The first approach, called the Hillslope method, presents an automated method for the application of WEPP through the extraction of hillslopes ...

Considerable attention has recently been given to general equilibrium models of the pricing of capital assets. Of these, perhaps the best known is the mean-variance formulation originally developed by Sharpe (1964) and Treynor (1961), and extended and clarified by Lintner (1965a; 1965b), Mossin (1966), Fama (1968a; 1968b), and Long (1972). In addition Treynor (1965), Sharpe (1966), and Jensen (...