自2000年網路科技泡沫起，全球利率開始下降。緊接而來的2008年金融海嘯，利率更持續了五年的低水準。進而分析美國債券市場也可以發現從2008年以來高收益債券出現爆發型成長。正因如此，投資者開始轉向以債券為主的共同基金為投資目標。本論文以此為背景探討美國高收益債券型基金之風險管理與擇時能力。首先，本文使用Copula函數檢驗高收益債券基金對於股票市場的風險與收益以及短期利率之影響。接著使用古典擇時模型以及ARMAX-GARCH模型檢驗高收益債券市場的系統性風險和基金擇時能力。 實證結果顯示，高收益債券型基金與股票市場之超額報酬存在正相關，而與短期利率之相關性受到股票市場之影響有輕微正相關。擇時能力的部分我們發現多數高收益債券型基金經理人沒有擇時能力，而不論使用Copula函數還是擇時模型皆出現顯著正向的系統性風險。 由於美國高收益債券市場完整且不缺乏流動性，高收益債券型基金經理可以靈活的調整自己的投資組合配置和系統性風險，但實證卻無法檢定出基金經理人有擇時能力。換句話說，美國的高收益債券市場雖然有足夠的規模和流動性，但本文仍然建議投資人在選擇美國高收益債券基金商品時要更注意系統性風險。 Since 2000, dot-com bubble, global interest rates began to decline. Immediately came the 2008 financial crisis, more sustained low level of interest rates for five years. Further analysis of the U.S. bond market can also be found explosive type growth since 2008 high yield bond. For this reason, investors are turning to the bond-based mutual funds as an investment target. In this paper, in order to investigate the background of risk management and timing ability of U.S. high yield bond funds. Firstly, we apply Copula function test the high yield bond funds for the equity markets affect the risk and benefit, and short-term interest rates affect. Then using timing ability classical model and ARMAX-GARCH model test high yield bond market systemic risk and fund timing ability. The empirical results show that high yield bond funds and stock market that excess returns there is a positive correlation, and short-term interest rates with a slight positive correlation by stock market the impact. As to the timing ability, we found that most high yield bond fund managers do not have the ability, and regardless of the model using Copula functions or market timing are still significantly positive systemic risk. Because the robustand without lack of liquidity of the U.S. high yield bond market, fund managers have the flexibility to adjust their portfolio allocation and systemic risk, but did not test fund managers have the timing ability. In other words, the U.S. high yield bond market there is sufficient size and liquidity, but this paper is still the proposed investment choice of the high yield bond fund goods in U.S. should pay more attention to systemic risk.