共同基金的擇時能力分析――以中國股票型基金為例

Analysis of the Timing Ability of Mutual Funds --Take China's Stock Fund as an Example

使用2017年至2019年中國LOF股票型基金為樣本，本文以CPAM模型為基礎，引入波動擇時因子與收益擇時因子，並控制規模效應與價值效應，建立一個衡量中國基金波動擇時能力的模型。實證結果顯示，無論在上漲期、下跌期還是全時期，市場上都僅有極少數基金具有波動擇時能力，進一步觀察發現，這些基金並非來自具有擇股能力的基金。此結果意味著，可能是在樣本期間內中國市場做空機制尚不夠完善，或者對於市場趨勢的預測能力，中國基金經理人有待提高。依此，建議投資者於中國基金市場交易時，可直接從基金的擇股能力入手，選擇績效超越市場且具有持續性的基金。 Utilizing the 2017 China LOF stock fund from 2017 to 2019 as samples, this study bases on the CPAM model, incorporates volatility timing factor and income timing factor into the model, and controls the scale effect and the value effect, so as to build a model by which we can evaluate the volatility timing ability of China funds. The empirical results suggest that, whenever in the rising period, the dumping period or the whole period, there are very few funds that are equipped with the volatility timing ability; with further observation, we could find that these funds are not come from the funds with stock selection ability, the outcome which could mean that the short-selling mechanism in the Chinese market is not enough satisfying in the sample period, or that the Chinese fund managers' ability to predict market trends needs to be enhanced. As a conclusion, this study suggests that when trading funds in Chinese market, investors could start from the stock selection ability, choosing funds that both outperform the market and do that persistently.