This paper evaluates fund manager's forecating ability. It uses a very simple regression technique to separate fund manager's forecasting ability into market timing ability and selectivity. Based on the method first suggested by Treynor and Mauzy and developed by Jensen, this new method dualizes market into up market and down market to eliminate the discrepancy of a quadratic term measuring market timing ability. The empirical results indicate that at individual fund level there is some evidence of superior market timing ability and selectivity in the down market. And the results show that at investment trust company level fund is managed by buy and hold strategy in the up market and is managed carefully and skillfully in the down market.
