根據實證結果顯示，不論是何種類型的基金，有將近一半的樣本基金經理人有較差的或不具備選股能力與擇時能力，而一部分基金經理人僅具備其中一種，最後只有極少數基金經理人同時具備二種能力。而透過本研究的實證結果亦發現，在市場下跌時普遍基金承擔一單位的系統風險無法獲得相對的異常報酬，因此可能導致平均而言基金經理人沒有擇時能力之原因。 ;Since the establishment of the domestic mutual fund in 1985, it has become an important investment tool for domestic investors. Therefore, the ability of fund managers,whether investors or scholars, are very concerned, and the ability of fund managers includes stock selection and Market timing ability, this study took the monthly return of funds invested in stocks listed on the Taiwan Stock Exchange as a research sample from January 1, 2015 to December 31, 2019, and divided it into three This type is evaluated through the Jensen index and the addition of dummy variables to explore whether there is a significant difference between the stock picking ability and timing ability of Taiwan fund managers at different points in the market.
According to the empirical results, no matter what type of fund, nearly half of the sample fund managers have poor or lack of stock selection and timing ability, and some fund managers only have one of them, and finally only a few funds A manager possesses two abilities at the same time. And through the empirical results of this research, it is also found that when the market declines, the general fund can not obtain relative abnormal returns when taking one unit of systemic risk, which may lead to the reason that fund managers have no timing ability on average.
