本研究實證資料主要收集自台灣經濟新報資料庫(TEJ)中債券型共同基金，特別針對投資在不同地區與高收益為投資目的為主；樣本期間2011〜2015年，投資報酬率自成立以來平均為6.828%，且具統計上的顯著性，顯示樣本高收益債基金的投資報酬率都相當好。整體而言，分別從不同的投資期間來看，月、季、半年、一年、兩年、三年則呈現顯著上升的情形，表示投資期間愈久報酬率愈高。不同績效指標下高收益債報酬率，首先以投資期間為12月來看，年化標準差為5.415、Beta風險為0.338，Sharpe指數為0.222、Jensen指數為0.158、Treynor指數為2.662，皆具有統計的顯著性。其次，年化標準差為5.320、Beta風險為1.276、Sharpe指數為0.317、Jensen指數為0.259、Treynor指數為1.861，皆具有統計的顯著性。不同投資地區下高收益債報酬率，自成立以來全球表現最佳(9.335%)，其次依序為亞洲(6.900%)、新興市場(4.951%)、中國(3.351%)；全球高收益債基金的表現最好，一年為3.527%、二年為9.310%、三年為16.958%、以及五年高達26.082%。 Using the TEJ database of monthly data on global mutual fund with the investment in high yield bond from 2011 to 2015, this thesis empirically evaluates performance of high yield bond funds by focusing on different investment periods and regions. The empirical findings indicate that average returns are 6.828% and shows significant in better performance. Based on the different investment horizons with month, quarter, semi-annual, one year, two year, and three year, the performance is getting better and better with increasing the investment periods. Regarding the investment regions, global finds show best performance with returns of 9.335%, Asian region of 6.900%, emerging region of 4.951%, and Chinese region of 3.351%.
