券商理财和公募基金均为国内重要的投资途径，二者本质上均为受托管理投资人的资金，开展权益类、固收类等投资活动以获取收益。投资者在选择理财产品时最主要的目的是获取收益，而影响理财产品业绩表现的因素除了市场行情、市场系统性风险、运气成分等不可控因素外，管理人的选股能力和择时能力亦为关键因素，因此本文将重点对比研究券商理财和公募基金的选股择时能力。选股能力指的是管理人挖掘出被错误定价的股票并基于此进行低买高卖操作的能力，择时能力指的是管理人根据市场大盘走势预期调整投资组合中股票仓位的能力。 本文首先运用T-M模型、H-M模型、TM-FF5模型、HM-FF5模型对券商理财和公募基金的选股和择时能力进行量化，再通过比例对比和分布均值检验的方法研究发现公募基金的选股能力优于券商理财。在此基础上本文进一步通过Bootstrap方法将选股能力中的“实力”和“运气”成分分离，研究发现公募基金的选股“实力”也优于券商理财。可能的原因包括公募基金公司有着更全面的行业覆盖、更完善的投研体系和人才培养制度，基金经理有着更深厚的行业和公司研究能力和更丰富的信息获取渠道。此外，行业内普遍和更新较快的业绩排名激励、券商内部存在业务间利益输送等道德风险问题也是可能的原因。在择时能力方面，非限制性券商理财择时能力优于限制性券商理财和公募基金，主要原因为后二者均有一定的股票持仓规定，从规则上对管理人的择时能力有所限制。 除了横向对比，本文借助于2018年资管新规落地催化的公募化转型浪潮，通过DID方法研究券商理财在公募化转型前后的选股和择时能力的纵向时间变化。本文研究发现，在选股能力方面，公募化转型带来了一定的正面影响但不显著，可能的原因为公司投研体系的完善和管理人投研能力的提升并非一蹴而就，而有近80%的券商理财公募化转型完成时间集中于近两年内，未来随着时间增加，公募化转型带来的正向影响可能会逐步凸显。在择时能力方面，公募化转型则带来了显著的负面影响，主要原因为公募基金的股票仓位规定限制了择时能力。也正因为如此，参与公募化转型的券商理财应更注重提升选股能力，挖掘出那些可以穿越牛熊的优质股和被高估的股票，把握住更多市场机会，在公募基金市场中保持一定竞争力。

Both broker wealth management and mutual fund are important financial products, and manager’s stock selection and timing abilities are crucial factors that affect performances. Stock selection ability refers to manager’s ability to find mispriced stocks as well as buy low and sell high accordingly. Timing ability refers to manager’s ability to adjust the stock position in the portfolio according to the expectation of market trend. This research first uses the T-M model, H-M model, TM-FF5 model, and HM-FF5 model to quantify stock selection and timing abilities. Then, through proportion comparison and distribution mean test methods, mutual fund’s stock selection ability is found to be better than that of broker wealth management. Besides, through bootstrap method, mutual fund’s stock selection strength is also found to be better than that of broker wealth management. Possible reasons include that mutual fund has more comprehensive industry coverage, more complete investment research system and talent training system, and thus mutual fund managers have deeper industry and company research capabilities. Furthermore, non-restricted brokerage wealth management’s timing ability is found to be better than that of restricted ones and mutual fund, mainly because the latter two have certain regulations related to stock position. Due to new regulations on asset management implemented in 2018, some broker wealth management started transforming to mutual fund. Through DID method, this research finds that the transformation has brought positive but not significant impact on stock selection ability and significant negative impact on timing ability. Since most broker wealth management completed transformation in the past two years, the positive impact of transformation on stock selection ability may gradually become prominent in the future as managers gradually achieve the improvement of investment research capabilities.