影響境外高收益債券基金績效之探討

Investigating the Performance of Offshore High Yield Bond Funds

方英哲(Ying-Che Fang)

指導教授 ： 倪衍森

淡江大學/商管學院/管理科學學系企業經營碩士在職專班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.01089

摘要

基金投資是國內目前最普遍且經常被使用的投資工具，但基金商品類別繁多且複雜，且各自面臨著不同的投資報酬與風險，因此投資人進行投資時必須審慎評估與考量，以求立於不敗之地，然由於國內金融機構為突破存、放款利差縮小所造成經營上的瓶頸，紛紛將財富管理業務列為重要發展業務項目之一，惟國內金融機構過度競爭(Overbanking)現象依舊存在，爰金融機構為提高經營績效，經由其通路銷售基金已為競逐的兵家必爭之地。準此，金融機構通路所提供的投資建議是否為最適投資選擇與資產配置，仍尚存諸多討論空間，因此投資人若要規避潛在投資風險並獲取較高投資報酬，在基金標的選擇，必須多下工夫，以做出適合其本身投資屬性與預期報酬率之投資決策。
本研究係以境外高收益債券基金為研究主體，經實證分析，本研究發現境外高收益債券基金似乎較適合短期投資，亦即基金短期績效優於長期績效，此外，標準差較大的基金，因標準差存有非系統風險，而此風險並非投資人可以掌握，故當境外高收益債券基金波動性大增時，反而不是可以介入的投資標的，此與貝他係數較高的基金有較高的報酬有所差異。再則，晨星評級越高、基金成立時間愈久、基金經理費收取越高的境外高收益債券基金會有不錯的績效表現，投資人未來申購是類基金時，可納入這些指標作為投資考量。

關鍵字

財富管理 ； 高收益債券基金 ； 資產配置 ； 基金績效

並列摘要

Mutual fund investment is one of the most common financial instruments for investors; however, there are various mutual fund categories accompanied with expected returns and risks sold in the markets. Therefore, investors should assesse with care in order to make profits even avoid losses while investing mutual funds. Nowadays, the financial institutions face the bottleneck resulting from the overbanking, which lowers down the spread between the deposits and loans. Thus, the sales of mutual funds are more and more paid attention by these institutions. However, whether the funds suggested by these institutions would be beneficial for asset allocations seem not to reach the consistent conclusion. Therefore, investors had better endeavor to find the funds with the higher rewards and lower risks according to investors’ preference.
In this study, we selects the high-yield bond funds as our samples, The results reveal that investors had better select bond funds as short-term investments instead of long-term investments. In addition, the funds with higher standard deviation might not perform well resulting from unsystematic risks occurred in these bond funds. However, the bond funds with higher betas have the better performance, since these funds with the higher systematic risks might enhance the expected returns of these fund funds. Furthermore, investors might take the funds with higher Morningstar rating and the time lasted in the markets into accounts, since these funds exhibit the superior performance. Thus, market participants might take the evidences revealed in this study into accounts while investing high-yield bond funds.

並列關鍵字

Wealth Management ； High-Yield Bond Funds ； Asset Allocation ； Mutual Fund Performance

參考文獻

1.Altman,Edward I.(1998)The Importance and Subtlety of Credit Rating Migration, Journal of Banking & Finance 22(10–11):1231–1247.

2.An,Heng,Zhaodan Huang and Ting Zhang(2012)What Determines Corporate Pension Fund Risk-taking Strategy? Journal of Banking & Finance 37(2):597–613.

3.Asquith,Paul,David W.Mullins Jr.,and Eric D.Wolff(1989)Original Issue High Yield Bonds: Aging Analyses of Defaults, Exchanges and Calls, Journal of Finance 44(4): 923–952.

4.Badrinath,S.G.and S.Gubellini(2011)On the Characteristics and Performance of Long-short, Market-neutral and Bear Mutual Funds, Journal of Banking & Finance 35(7):1762–1776.

5.Baker,H.Kent and Sattar A.Mansi(2002)Assessing Credit Rating Agencies by Bond Issuers and Institutional Investors, Journal of Business Finance & Accounting 29(9-10):1367–1398.