本研究運用三種不同的擇時與選股能力模型研究三檔成立超過十年且規模超過百億的股票型基金，以及一檔規模超過百億的指數型基金，來探討基金經理人績效；並利用Copula函數配適共同基金與股票市場之間的關聯性結構，以透過最佳配適的Copula函數求出兩市場間的條件蔓延機率以解釋兩市場間的關係。實證結果獲得以下幾點結論： 一、針對成立超過十年且基金規模超過百億以上的（主動式）股票型基金和（被動式）指數型基金，進行投資策略不同之基金擇時能力與擇股能力的比較。實證結果發現馬拉松基金確實績效較佳。 二、針對兩種類型不同，但是投資標的皆為台灣股票市場的基金，研究兩種類型基金與台灣股票市場之間的關聯性。發現二者確實存在動態相關性，但其相關程度會隨時間而改變。 三、藉由蔓延機率對極端事件的評估，可提供投資人中長期投資與避險的參考。 The study applies different timing and selective ability model to evaluate the performance of fund manager via stock fund and index fund which fund size beyond billion dollars and has established for 10 years or more. On the other hand, the study applies Copula functions to find the best dependence of mutual fund and stock market through the optimization of Copula functions that could calculate the contagion probabilities and their correlation of the two markets. The empirical results are as following: First, compare timing ability and selective ability with different fund which used different investing strategy based on fund size beyond billions dollars and has established for 10 years or more. The result exhibits Marathon fund can outperform other funds. Second, research the relation between Taiwan stock market and different fund’s style based on investing object both are Taiwan stock market. The result appears the dynamic relationship exist exactly, but the degree of correlation are time varying. Third, the study provide investors with recommendations for long-term investment and hedging by estimate extreme events through contagion probabilities.