https://uwmil.instructure.com/courses/371766/files/28822459/download?download_frd=1

Use the above link(data in excel) to answer question

Six mutual funds:

-Vanguard S&P 500 Index Fund

-Legg Mason Value Trust

-Fidelity Magellan Fund

-Janus Fund

-Fidelity Low-Priced Fund

-Nicholas Fund

3-month T-bill (RF)

Stock market index (MKT)

Three zero-investment (long-short) portfolio returns:

-Small minus large stock returns (SMB)

-High book-to-market (value) minus low book-to-market (growth) returns(HML)

-Past winner stock returns minus past loser stock returns (UMD)

Question:

Use the Treynor and Mazuy market timing model to examine the market timing ability of the mutual funds.

,,=^+(,,)+(,,)^2+,

a. Do mutual funds show market timing ability? Should we expect mutual funds to show market timing ability?

b. Is the alpha in this model different from alpha in the standard CAPM model? What do the differences suggest?

Show all work thoroughly please.