This thesis uses “Modern Portfolio Theory” concept, with three-and five-year period of the Stock Mutual Fund, Bond Mutual Fund, Balanced Mutual Fund, adopt the rule of 4433 to do samples of sub-fund selection rules, and randomly select a group of five mutual funds investment portfolio, Analysis with the same period fund of funds; and benchmark with Taiwan weighted index for fund of funds. Experimental results show that in the short-term or investment environment has changed dramatically, the Stock funds of funds and balanced funds of funds has an efficient frontier performance; Overall, funds of funds compared to the same type of fund portfolio or the weighted index, the performance of the efficient frontier is not ideal; Also used to measure the coefficient of variation point of view the risk reward fund of funds unit, funds of funds compared to Taiwan's weighted index, the results are consistent with risk reduction; However, the average coefficient of variation of the independent samples T test, we do not have sufficient evidence to justify the risk tolerance in the unit have a better performance.