Testing the Treynor and Mazuy Model with Daily data in Indian Context

Investors prefer to invest in the mutual funds as fund managers may augment the returns through their timing and selection skills. However, preponderance of mutual fund existing in the market leads to assess the fund managers timing and selection ability so as to choose the best fund managers among them. In this context, Treynor and Mazuy (1966) (TM) model was extensively used in the earlier academic literature, eventhough Jaganathan and Korjaczyk (1986) tested the TM model by using the cubic regression (JK Model). However, this study adopts both the models to assess the Fund of Mutual Funds (FoFs) manager's skill with daily data. The results of TM model showed that the fund managers have failed to time the market and registered negative selection ability. However, JK model leads to the conclusion that the results of TM model seem doubtful