用簡易及可得的資料以基金的選股和擇時能力來衡量績效，以從報酬回歸式中取得的R2來衡量基金的選股能力；回歸式中的R2為基金報酬總變異中可解釋的部分，因此R2越低代表基金中的股票分散效果佳，與大盤的差異性高，在此表示績效越好。1-R2為基金的特有風險或追蹤誤差，而基金經理人的選股能力以1-R2衡量，若基金經理人的選股能力能增加基金報酬，則R2應和其衡量超額報酬的alpha呈現負相關，從實證結果得知衡量超額報酬的alpha和R2呈負相關，較低的R2預測出高alpha。另外，以共同基金持有部位資料來處理擇時能力取代傳統用模型分析的方式，將股票型基金扣除持有股票部位，分析擇時能力是否顯著，其超額報酬alpha是否依舊和R2呈現負相關。

This study uses an easy and accessible method which is termed selectivity to predict the active management in a mutual fund’s performance. Selectivity that is R2 obtained from the regression of fund’s return. This study defines R2 is the proportion of the fund return variance that is explained by the variation in these factors; thus, lower R2 means that the fund tracks them less closely. Selectivity is thus measured by 1−R2, the proportion of the fund’s variance that is due to idiosyncratic risk or multifactor tracking error performance. If selectivity enhances mutual fund performance, it should be negatively related to R2. Empirical studies identify an R2-based strategy that earns a significantly positive risk-adjusted excess return. Also existing studies of mutual fund market timing use model analyzing monthly returns and find little evidence of timing ability. This study processes the data of mutual fund’s composition to analyze whether market timing of mutual fund is significant or not, and test the correlation of alpha and R2.

1.Introduction………………………………………......1
2.Methodology……………………………………….......4
Model……………………………………………………………..4
Definition of Selectivity………..6
3.Data and Sample selection………………………7
4.Empirical Results…………………………………...10
5.Conclusion………………………………………….......17
6.Reference…………………………………………........18

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