本論文研究探討國內股票型基金與被動式基金(ETF)在多頭與空頭時期下，基金績效的差異性研究，研究範圍為2003/6/30到2014/4/30期間。主動式基金研究樣本為2013年理柏(Lipper)台灣台股基金獎最佳三年期、十年期基金得獎基金，1.德盛台灣大壩證券投資信託基金(三年期)、2.野村中小(原名：安泰ING中小)證券投資信託基金(三年期&十年期)、3.統一大滿貫證券投資信託基金(十年期)。被動式基金則是以台灣第一支ETF元大寶來台灣卓越50基金股票代號0050、元大寶來台灣中型100基金股票代號0051、永豐臺灣加權ETF證券投資信託基金股票代號006204為研究樣本。 根據國家發展委員會所公佈的景氣對策燈號，依高低點共切了九個景氣循環燈號區間來劃分多頭與空頭時期的研究期間，利用T檢定統計資料分析法來進行兩個不同基金的平均數差異值檢定。 實證結果發現： 一、在不同期間下主動式基金與被動式基金在市場多空頭時的績效差異顯著不盡相同，我們發現同時檢測單尾檢定或雙尾檢定，被動式投資策略(ETF)的投資績效均無法完全證明優於或劣於主動式基金的投資績效，但雖如此仍有一定程度的相關性。 二、部份研究樣本在同一段期間的表現並不符合高報酬高風險，而是一種高風險低報酬的基金表現，但大致上樣本期如能再加長期間基本統計比較符合意義。 This study is aiming to investigate the performance domestic equity funds and passive funds (ETF) in Bull and Bear Market, from 2003/6/30 to 2014/4/30 The study samples of 2013 active funds according to Lipper Taiwan TAIEX Foundation Prize for the best three-year, ten-year awarded fund, We selected 1. Dresdner Taiwan dam securities investment trust fund (three-year), 2. Nomura Small (formerly: ING Aetna Small) securities investment trust fund (triennial & decade), 3. unification major securities investment trust fund (the Decade) as the most representing active funds. Passive fund is based on Taiwan''s first ETF Yuan Polaris Taiwan Top 50 fund which has ticker symbol 0050, Yuan 100 medium-sized fund Polaris Taiwan stock with the code of 0051, Yongfeng Taiwan Weighted ETF Securities Investment Trust stock with the code of 006204 for the study samples. The National Committee for Depelopment has published the Prosperity, Baseing on high and low points, we have divided into nine cyclical indicators interval during the study period The average difference between two different funds were analyzed by. statistical data analysis and T- test. The empirical results show: 1. Comparing the performance differences between the 3 representing active funds and 3 passive funds in the market during the research period, we found that under the single-tailed or two-tailed test, passive investment strategies (ETF) investment performance are not fully proved superior or inferior to the performance of active investment funds, but there is still a certain degree of correlation. 2. The performance resulted from the majority of the study samples in the same period shows high-risk did not directly lead to higher return.On contrary low-risk funds had better performance in some ovserving periods.