本文以國內股票型基金為研究標的，觀察1994-2010年景氣衰退期間基金經理人在選股時所參考的指標，讓投資大眾在面臨衰退時有參考的依據。研究中運用基金的日報酬率扣除無風險利率對五因子進行迴歸，以取得風險調整後報酬率，再將其進行排序以取得各期之贏家及輸家組合，觀察前一期所選變數之變動率對贏家及輸家經理人持股變動率的影響，並且運用Fama-MacBeth模型驗證變數在橫斷面及經長時間的顯著性。根據結果發現，股價淨值比是相對其他變數表現較為良好的指標，而輸家的基金經理人會透過營業毛利增加而提高持股比例，但因總體模型解釋力不高的結果，我們認為基金經理人在衰退時期並非有固定的決策準則。

The purpose of this research is to discover the defensive strategy of Taiwanese mutual fund managers during market downturns from 1994 to 2010. Hoping to provide the result as suggestion to investors when they confront recession. In the research, in order to obtain risk-adjusted rate of return, the daily rate of return of funds is used to deduct risk-free rate to regress five factors, then ranking risk-adjusted rate of return in each period to get winner and loser funds. Observe the impact of the rate of change of variables in the last period on the shareholding change rate of winners and losers. Fama-MacBeth model is used to examine the cross-section and over time significant level of variables. Overall, during market downturns, price to book ratio is a good indicator compare to other variables. Moreover, fund managers of the losers will increase the shareholding ratio because of increasing gross profit. However, due to the phenomenon of lower adjusted R square of whole model, the result revealed that the managers do not use the fixed strategy criteria during market downturns.

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