Abstract
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