匯率分離管理─利用總體經濟趨勢建立交易訊號之外匯交易模型

Currency Overlay-Using Macro Trend to trade FX

柯子介(Tze-Jieh Ko)

指導教授 ： 李賢源

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.03068

摘要

由於外匯市場之價格通常由國際貿易、資本市場流動等總體經濟因子決定，因此為一落後指標。而且近年來由於技術分析之大量使用，已經很難透過技術分析獲取超額報酬，因此本研究希望能找到一個簡單且符合經濟直覺之外匯操作方法以獲得不錯之報酬。
本研究採用Lehman Brothers於2007年發表之報告為主要架構，以純粹報酬型匯率分離管理模式為主軸，考慮三種外匯交易模型，分別利用股票市場、利率市場以及商品市場上的指數來尋找交易訊號以建立外匯投資組合，此外並希望透過本研究之外匯模型組成一籃子貨幣基金，對主要國際通用貨幣G10以及亞洲新興市場貨幣進行實證，並利用三種外匯投資組合建立一個綜合的投資組合以分散風險，希望藉此投資組合獲取絕對報酬。
實證結果發現三種外匯交易模型獲利表現皆不錯，且加入亞洲貨幣之投資組合績效比純粹G10組合表現更好。綜合投資組合(Alpha Currency Overlay portfolio)可分散三種市場之風險，有效降低波動度，提高夏普比例，且加入亞洲新興國家貨幣組合後績效表現也提高。樣本外期間實證部分由於2008年石油、黃金大幅上漲，美元走弱，市場表現不佳，但外匯綜合投資組合還是能穩定獲利。

關鍵字

匯率分離管理 ； 積極型匯率分離管理 ； 純粹報酬型匯率分離管理

並列摘要

The equilibrium prices of foreign exchange markets are always determined by macro factors such as international trade, the flow of capital markets and etc. In recent years, the technical analyses of FX trading have been used widely; therefore it is very hard to earn excess return from technical analysis. Consequently, we want to find some FX trading rules that are easy and intuitional to get excess return.
This paper is based on the technical report of Lehman Brothers (2007) and the manage style is alpha currency overlay. We consider three FX trading models which are equity sector model, commodity sector model and interest rate sector model; our purpose is to find the trading signals from the markets. We use G10 and Asia currencies as the assets of three different portfolios and construct a mixed portfolio called alpha currency overlay portfolio to diversify risk; finally we hope to get the absolute returns from this portfolio.
By theoretical test of three FX trading models, we find these models can get excess return absolutely. Besides, the result is better by adding Asia currencies to original Lehman Brothers case. Moreover, the alpha currency overlay portfolio can effectively reduce the market risk and increase the Sharp ratio. Besides, in out-sample period, the result of back test displayed that the alpha currency overlay model can still earn the excess return despite the weak economy during 2008.

並列關鍵字

Currency Overlay ； Active Overlay ； Pure Alpha Overlay

參考文獻

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