隨著21世紀的到來，全球的金融市場均呈現出嶄新的風貌，金融商品不斷地創新，投資人面對這麼多樣的選擇，往往沉浮於市場中，專業理財已經形成一股趨勢。隨著理財觀念的改變及金融商品的多元化，國人已逐漸重視專業理財的重要性，慢慢將資金委託專業機構管理，其中又以共同基金最受歡迎。近年來由於投資人理財觀念逐漸建立，加上專業資產管理的積極推動，使得國內共同基金的資產規模與數量不斷地以驚人的速度成長，面對種類繁多的共同基金，投資人不免眼花撩亂與無所適從選擇何種基金投資。

　　本研究根據TEJ台灣經濟新報資料庫，整理各家投信投顧公司所發行的基金，希望透過較佳的多重比較程序（Multiple Comparison Procedures），結合一階段抽樣法（One-Stage Sampling Procedure），利用基金淨值報酬率，篩選出績效比台灣股價加權指數報酬率優秀的基金，進而提供給投資大眾作為投資的參考。

　　研究結果顯示，不論是在科技類股票型基金、中小型股票型基金、上櫃股票型基金、跨國投資型基金、債券股票平衡型基金與價值型與特殊類股票型基金中，各基金的表現皆比台灣股票市場的加權指數報酬率優秀，因為近年來，股市的波動劇烈，導致報酬率的表現比較差，而由於共同基金是一種投資組合，可以分散各股票的風險，所以波動較股市來的小，表現相對的就比較穩定也比較好。所以若是比較保守型的投資者，可以考慮從基金方面著手，風險也較買賣股票小，投資者可以參考中華信評所公佈，過去績效排名較好的基金，再依照自己的喜好或觀察，做妥善的投資。

　With the twenty first century coming, the global financial market is facing a brand-new style and features. Nowadays, financial commodities are innovated frequently. Individual investors are more and more carefully and seriously investing their hard-making money in the financial market. Mutual funds investing may be the way for individual investors.

　Based on the information of Taiwan Economic Journal（2005）, we collate mutual funds published by each securities investment trust and consulting association. The return of net asset value of each fund is our concern, we wish to identify better performance funds than the Taiwan Stock Market Index by statistical selection procedures. Traditional and new methods are used for such purpose.

　In this study, we discovered that all kinds of mutual funds have better performance than the Taiwan Stock Market Index. Because, in recent years, the stock market is very unstable and the interest rate drops to a lowest level, the performance of return is poor. Mutual fund is collection of investment combination, it can disperse the risk of individual stocks, so it is less risky. The investors can choose some suitable funds to invest by their preference or risk-taking ability.

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