中文摘要：

本文利用小波变换对基金收益率及其方差进行多尺度分解，并将小波分析引人资本资产定价模型，计算小波多尺度卢。进一步地将小波分析引人到传统的H—M模型中，利用小波函数的多尺度与不同的投资期限对应，对模型进行多期改造，从而获得择时能力的多期评价模型。以我国经济背景为依托，选择14只开放式基金进行实证研究，结果表明，利用小波分析可以有效的对基金的择时能力进行多期评价。

英文摘要：

This paper calculates the scale mean and wavelet variance by using wavelet transformation to returns series of funds. Also multi-scale is calculated by introducing wavelet analysis method to Capital Asset Pricing Model. Further, Multi-horizon H-M model is acquired by introducing wavelet analysis to the traditional H-M model, using multi-scale of wavelet function to match the multi-horizon. Then multi-horizon evaluation model of market timing ability is created. Based on the background of domestic economy, fourteen open-ended funds are chosen to do the empirical study. The empirical result shows that the introduction of wavelet analysis can be effective in evaluating multi-horizon market timing ability of open-ended funds.