在資本資產定價迴歸模型下，假設資料具有共同且未知的變異數，以具有共同且為非負值的相關係數。本研究的目的在於建立多重比較程序方法來比較各資產間的風險績效是否完全相同、與將市場走勢視為標準進行比較或找出最佳的資產風險績效。並建立聯合信賴區間用來進行比較並建立統計表。最後，將本研究中的方法應用於美國及台灣的大型共同基金上，提供給投資者另一種投資參考的準則。

Under the system of the capital asset pricing regression models, it is assumed that the common variance is unknown and the common correlation is a given non-negative value. The propose is to develop multiple comparison procedures to compare the performance with each other, to find assets which are better than the standard, or to identify the best of the rest. Simultaneous confidence intervals approach is used for each type of comparison and statistical tables to implement these procedures are given. These methods are applied to financial data on large mutual funds in U.S. and Taiwan stock markets, respectively.

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