Research On Chinese Funds' Securities-selectivity Ability And Market-timing Ability

The fund is one of the important financial investment approaches. When people make investment decision, they will consider return and risk of the fund. The securities-selectivity ability and market-timing ability of fund managers is the source of excess return of funds. The article tries to measure the ability of our funds and give some advices for the investor.On the base of the capital asset pricing model(CAPM) and the three factor model(FF3), we use the mature model TM and HM, different frequency data , different benchmarks, different periods and inspect the securities-selectivity and market-timing ability of whole fund industry of our country. Because the model is not sensitive to inspect the market-timing ability, we use the investment portfolio of funds to verify this ability.The article finds that the evaluation result of TM model is superior to HM model, because the form of HM model has some defect. The correlation of the independent variables causes the strong negative correlation of the measure parameters. The use of monthly data can't improve the model result, but also lower the significance of the parameter. The choice of benchmark has a great impact on the evaluation result. So does the choice of investigation period. The long period approve the result.The article finds that the fund industry of our country has stronger ability of securities-selectivity wholly, but does not have market-timing ability. As to fund management companies, Yifangda, Huaan, Penghua, Guotai and Huaxia have stronger ability of securities selectivity. According to the holding structure of portfolio, Jiashi, Zhongrong, Huaan, Baoying and Boshi have good market-timing ability. Especially Boshi has stronger prediction function to the whole market.