外匯交易策略之外匯避險效益探討

本人的論文探討對台灣投資人來說，在傳統國際投資組合中，加入外匯交易策略組成的商品時，是否在提升投資組合的超額報酬的同時，也能降低整體投資組合的外匯曝險。對於外匯的研究，過去有一派的學術研究認為，在購買力平價說成立的前提下，外匯的預期報酬為零，因此發展出各種外匯避險策略。然而，也有另一派的學者認為在實證上，外匯的預期報酬並不為零，進而驗證各種外匯交易策略是可以獲得正的報酬率。受到後者的影響，自1990年代開始，將外匯視為一種資產類別的主張開始受到重視，投資人也在傳統投資工具(股票與債券)的長期報酬率不如從前的情況下，逐漸提高對外匯商品的接受度，再加上外匯與傳統投資工具的相關係數低，可為投資組合提供分散風險的效果。另一方面，如果這些外匯交易策略與台幣兌美元的相關性數高，則投資人還可以利用外匯交易策略的投資來降低整體外匯避險的需求。在本人論文中，先依國內外投資比重，與股債的資產配置，建構出典型的投資組合，接著運用Mean-Variance Model來檢視投資在四種常用的外匯交易策略，是否可以較避險後的典型投資組合，提供更高的Sharpe ratio以及避險效果。期望本人的研究，能為國內各類投資法人提供一些同時兼顧收益與避險考量的投資建議。

關鍵字

超額報酬外匯分離管理；夏普比率；避險效果

並列摘要

Currency-trading strategies can provide investors with an alternative of reducing portfolio currency risks. The notion of currency as an asset class ahs gained a wider following since the 1990s, particularly when traditional assets (i.e., equity and bond) returns dragged the overall investment performance. Recent studies have examined the profitability of various currency-trading strategies, yet seldom have they examined currency hedging abilities of these strategies. In my study, four typical currency-trading strategies are simulated in a well-diversified traditional international portfolio with a local currency in Taiwanese dollars. The Markowitz’s Mean-Variance optimization model (1952, 1959) is used to compare portfolios with currency-trading strategies and hedged traditional international portfolios in the aspects of risk-adjusted returns and hedging effectiveness. The results indicate that a currency-trading strategy having a favorable correlation with Taiwanese dollars lessens currency volatilities without losing risk-adjusted returns. We also found that the portfolio with a mixed currency-trading strategy delivers a superior performance compared to any other hedged traditional portfolio in our study period of 2002~2008. The results demonstrate that Taiwanese investors can benefit from investing in a mixed currency-trading strategy along with their international portfolios.

並列關鍵字

pure-alpha overlay ； Sharpe ratio ； hedging effectiveness

參考文獻

王曉恬，2007，”台灣退休基金之最適外匯避險策略研究”，國立台灣大學，財務金融研究所碩士論文

Binny, J., 2005, ”Currency Management through the Ages”, Journal of Alternative Investments, vol.8, no. 3, 52-59

Briere, M., A. Burgues and O. Signori, 2009, “Volatility Exposure for Strategic Asset Allocation”, Working paper CAAM Strategy

Gardner, G. and T. Wuilloud, 1995, "Currency Risk in International Portfolios: How Satisfying is Optimal Hedging?" Journal of Portfolio Management, vol.21, no. 3

Gorman, S. and E. Qian, 2000, "International Benchmarks: In Support of a 50% Hedge Ratio", Journal of Investing, Vol. 9, No. 2

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外匯交易策略之外匯避險效益探討

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