高收益債券型基金績效分析;The Performance of High-Yield Bond Fund

NCU Institutional Repository > 管理學院 > 財務金融學系碩士在職專班 > 博碩士論文 > Item 987654321/71770

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题名:	高收益債券型基金績效分析;The Performance of High-Yield Bond Fund
作者:	陳淑芬;Chen,Shy-Fen
贡献者:	財務金融學系在職專班
关键词:	高收益債券型基金績效;資產配置;夏普指數;High-Yield Bond Fund Performance;Asset Allocation;Sharpe Ratio
日期:	2016-07-25
上传时间:	2016-10-13 13:51:37 (UTC+8)
出版者:	國立中央大學
摘要:	實務上，一般共同基金以採用夏普指標Sharpe Ratio為基金投資組合績效評估指標。Sharpe(1966)同時考慮報酬與風險來評估共同基金績效，後續在學術界引發廣乏討論與運用評估基金績效蔚為風潮。美國進入升息軌道，歷史數據顯示，高收益債券對於利率的敏感度較低，即使面對升息，績效仍舊相對穩定同；還有在低利率環境中，高收益債券提供較佳的票息，在所有債種中相對具有吸引力，可長線持有，並納入核心配置中。然是否高收益債券型基金是否為投資人最適配置標的，本文研究發現高收益債長期績效表現較S&P500指數績效表現不佳。以夏普指標評估高收益債券型基金與S&P500指數來分析，高收益債券型基金夏普指標優於S&P500指數夏普指標者，其平均報酬績效表現優於同類型基金且優於Ｓ&Ｐ500指數平均報酬表現。 ;Sharpe Ratio is the evaluation index of fund portfolio performance for general fund. Since Sharpe (1966) adopted the evaluations of remuneration and risk to estimate the performances of mutual fund, this approach has been broadly discussed and popularly applied to the evaluation of fund performance. Within the trajectory of raising interest rates in US., in the light of the statistics, high-yield bonds were low sensitive to interest rates, the performance would still be relevant stable albeit the interest rates were raising; moreover, as the most attractive bond of all, high-yield bonds were able to render better coupon to investors and make themselves bring into the core investment configuration for long term. The purpose of the research is to examine whether the high-yield bond funds are the optimal subjects for investors. The results ascertain the long-term performances of high-yield bond are worse than the performances of S&P 500 index. To analyze high-yield bond funds and S&P 500 index with Sharpe ratio, the Sharpe ratio of high-yield bond funds is better than the Sharpe ratio of S&P 500 index, and the average remuneration performances of high-yield bond funds are better than the average remuneration performances of the same type of funds and S&P 500 index.
显示于类别:	[財務金融學系碩士在職專班] 博碩士論文

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