本研究試圖找出影響基金報酬率的因子，用來解釋基金經理人在投資時可能會遭遇的風險。研究中除了使用Fama and French三因子模型與Elton and Gruber四因子模型來驗證台灣基金報酬率的情況外，更進一步使用因子分析的方式找出最能夠解釋基金報酬率殘差間的因子，並且找出可以替代此因子的替代因子『成交量因子』，加入模型中成為一五因子模型來解釋基金報酬率。
本研究最後還探討基金經理人的擇時能力，並且從擇時能力的情況來觀察基金經理人的對市場變化的敏感程度。

關鍵字：因子分析、因子模型

We try to find some factors that influence mutual fund returns, and using these factors construct a model to explain the risk of the mutual funds.
First, we use Fama and French three factos model and Elton and Gruber four factors model to interpret Taiwan mutual funds.

Second, we use factor analysis to find a most explainable factor and try to find the proxy factor that is related to this factor. Using the proxy factor, we construct a new five factors model to test Taiwan mutual funds retuens.

Last, using choosing time model to verify mutual fund managers’ ability. Find out whether mutual fund manager can change their invest strategy when the market changes.

Keywords：factor analysis、factor model

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