将基金类型与规模、市场行情、风格飘移、管理费率及流量波动性等条件因素引入TM模型,构建了条件TM模型,并采用卡尔曼滤波对我国2005～2010年间部分基金的选股能力和择时能力进行了检验,实证结果表明,基于卡尔曼滤波的TM模型较条件TM模型有更好的解释能力。研究发现,基金的选股能力与择时能力在不同的市场行情下不尽一致,这种差异受基金类型、风格飘移和流量波动性等因素的影响。 This paper introduces the TM model into the TM model based on the factors such as fund type and size, market conditions, style drift, management fee rate and traffic volatility, constructs the conditional TM model and uses Kalman filter to analyze the stock selection ability and The test of timing ability shows that the TM model based on Kalman filter has a better ability to explain than the conditional TM model. The study found that the fund’s stock picking ability and timing ability in different market conditions are not consistent, this difference is affected by the type of fund, style drift and flow fluctuations and other factors.