本文从一种新的角度分析中国股市中基金经理对战略性市场时机的把握能力。基金经理可以根据对市场在一段时期内波动方向的预测 ,购买低或高值的资产来调整其资产组合值 ,以便更好把握市场时机。本文运用 Andrew的偏广义矩方法 ( Partial- GMM method)检测在市场有大的转折前后基金相对市场值变动的显著性。本文对深沪两市样本基金的分析结果 ,与大部分采用Treynor- Mazuy时机调整系数方法等传统研究方法得出的结论相反。我们发现 ,大部分的中国基金经理在大势反转的关键时期均能很好地把握时机调整组合值 ,而且使用这个方法 ,还能找到判断基金是否对市场的反转提前反应的信息。通过分析传统方法所具有的缺陷 ,我们得出了导致两种方法结论差异的主要原因 :传统的检测基金经理时机把握能力的方法是以数据周期为基础的时机把握能力 ,而我们认为应该考虑基金的战略性时机把握能力 This article analyzes the fund managers’ ability to grasp the strategic market opportunity from a new perspective in China. The fund manager can adjust its portfolio value by buying low or high value assets based on a forecast of the market’s volatility over a period of time in order to better capture market timing. In this paper, we use Andrew’s Partial-GMM method to test the significance of the changes of the relative market value of the fund before and after the market has a big transition. This article analyzes the results of the sample funds in Shenzhen and Shanghai stock markets, contrary to most of the traditional research methods such as Treynor-Mazuy’s timing adjustment coefficient method. We find that most Chinese fund managers are well positioned to adjust the portfolio at the critical juncture of the uptrend and that this information can be used to find out if the fund is reacting to the market reversal in advance. By analyzing the shortcomings of the traditional methods, we draw the main reasons leading to the difference between the two methods: the traditional method of testing the timing of the fund manager’s ability to grasp the timing is to grasp the timing based on the data cycle, and we think that the fund should be considered The strategic timing to grasp the ability