According to the studies about testing the timing abilities of funds, they used only one kind of index as a benchmark to test the timing abilities of funds, but it’s not fair. Each kind of funds form its owned portfolio based on its unique goals. So if we test the timing abilities of funds by using the same benchmark, we will neglect the difference between different kinds of funds. Therefore, I use three rate of return of indices (index of price of small corporations, index of price of electron industry and Y9999) as benchmarks for three kinds of funds (funds investing in small corporations, funds investing in tech-related industries, funds investing other industries). I find that testing the timing abilities of funds by using suitable index as benchmark for different funds can get more funds with significant timing abilities.
Since the funds are managed by professional fund-managers, they must know how to analysis macro-information well known in public and get some helpful information to decide when to invest. In this study, I test the timing abilities of funds under macro-information facts, and find that some macro-information facts will significantly affect the performance of funds and the model will be more significant.
The timing ability of each fund is different, and there must be something making it different. According to the past studies, there were several characters of funds significantly affecting the performance of the funds. That means the characters of funds may affect the strategies of investments, so they may also affect the timing abilities of funds. In this study, I find that the scale of fund and the age of the fund can affect the timing ability of a fund significantly.