Defaults and Returns on High Yield Bonds: Analysis Through 1995

Abstract

Nineteen-ninety five was an excellent year for the high yield market with relatively low defaults combined with returns of almost 20%, the highest since 1991. When viewed in comparative terms with other fixed income securities markets, however, the high yield debt market’s performance in 1995 was not exceptional. This report documents the high yield debt market’s risk and return performance by presenting default and mortality statistics and providing a matrix of average returns and other performance statistics over the relevant periods of the market’s evolution. Our analysis covers the period 1971-1995 for defaults and 1978-1995 for returns.