台灣退休基金國際資產配置與匯率避險效果–以台灣勞退新制為例

Taiwan Pension Global Asset Allocation and Exchange Rate Hedge Effect – Example of the Taiwan Labor Pension Fund (Defined Contribution Plan)

呂凡(Fan Lu)

指導教授 ： 邱顯比

國立臺灣大學/管理學院/財務金融學研究所/碩士(2013年)

https://doi.org/10.6342/NTU.2013.02096

摘要

投資國際資產時會有匯率風險，本文使用不同的匯率避險策略，同時考量避險成本，研究最佳避險方式。本研究以台灣勞退新制退休基金的資產配置為參考，代入2007至2013年的數據。本研究結果，將勞退新制歷年資產配置比例代入五種避險策略的結果顯示，25% Hedge為優勢策略。以10 年未來預期報酬代入五種避險策略結果顯示，No Hedge也為優勢策略。希望此研究可以做為本國人投資外幣資產時需不需要避險之參考。

關鍵字

退休金 ； 避險 ； 資產配置 ； 匯率風險

並列摘要

International investments involve currency exchange. Exchange rate uncertainty is a risk which affecting performance of international portfolios. In order to reduce this risk, we introduce five different currency hedge strategies (100%, 75%, 50%, 25% and 0% hedge) and consider hedge cost in our study. We try to find the most efficient currency hedge strategy for international portfolios and to give suggestions for Taiwan investors. In our study, we simplify the Taiwan Labor Pension Fund (DC Plan) asset allocation as our international portfolio. Select the time period from 2007 to 2013. We find that 25% hedge is the dominate strategy for existing asset allocations weight in the Taiwan Labor Pension Fund (DC Plan). By using 10 years forward looking return, we find that no hedge is the dominate strategy.

並列關鍵字

Pension fund ； Hedging ； Asset allocation ； Currency risk

參考文獻

繆震宇 (2007)，勞退新制的最適資產配置、所得替代率與保證成本，台大管理論叢， 第17卷第2期

Andrew Ang and Geert Bekaert, 2002 , International Asset Allocation With Regime Shifts, The Review of Financial Studies, Volume 15, No.4

Black Fischer, 1990, Equilibrium Exchange Rate Hedging, Journal of Finance, Volume 45, No. 3, Pages 899-908.

Campbell, John Y., Luis M. Viceira, and Joshua S. White, 2003, Foreign Currency for Long-term Investors, Economic Journal, Volume 113(486,Mar), C1-C25.

CalPERS 2012 annual report， http://www.calpers.ca.gov/