外幣存款投資組合之報酬和風險分析－以澳幣與美元為例
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2017
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Abstract
本研究目的為探討結合澳幣及美元之外幣投資組合，是否能有效規避匯率風險，並使投資人平均獲利穩定。本研究以澳幣定存、美元定存及不同比例澳幣美元定存等三種類型，依貨幣持有百分比共11組投資模式進行比較。
本研究歷史資料選取範圍定於2006年1月1日至2015年12月31日，每組投資模式共有10年120筆月報酬資料，透過實證分析比較澳幣、美元及雙元組合投資方式之報酬率及變異數，從研究結果得知不同比例投資組合間平均報酬率沒有發現顯著差異，而其風險程度有發現顯著差異，澳幣美元存款組合確能有效規避匯率風險，且美元70%或美元80%之投資組合為最適避險比率組合。
The aim of this study is to explore whether the portfolios of Australian dollar deposits and US dollar deposits can effectively eliminate foreign exchange (forex) risk, performing stable profits. This study compares different proportions of Australian dollar deposits and US dollar deposits to analyze which one is the optimal investment. Each portfolio applies the rates of USD/TWD and AUD/TWDfrom January 1, 2006 to December 31, 2015 to produce 120 monthly returns. by empirical analyzing and comparing different returns and their variants, the figures indicate that there is no significant difference between different portfolios. However, there is a significant difference in the degree of investment risk. The combined portfolio of Australian dollar deposits and US dollar deposits can effectively avoid the foreign exchange risk from investing in 100% US dollar deposits or 100% Australian dollar deposits. Furthermore, this study finds that portfolios of 70%/80% US dollar deposits combined with 30%/20% Australian dollar deposits are the best hedge ratio portfolios.
The aim of this study is to explore whether the portfolios of Australian dollar deposits and US dollar deposits can effectively eliminate foreign exchange (forex) risk, performing stable profits. This study compares different proportions of Australian dollar deposits and US dollar deposits to analyze which one is the optimal investment. Each portfolio applies the rates of USD/TWD and AUD/TWDfrom January 1, 2006 to December 31, 2015 to produce 120 monthly returns. by empirical analyzing and comparing different returns and their variants, the figures indicate that there is no significant difference between different portfolios. However, there is a significant difference in the degree of investment risk. The combined portfolio of Australian dollar deposits and US dollar deposits can effectively avoid the foreign exchange risk from investing in 100% US dollar deposits or 100% Australian dollar deposits. Furthermore, this study finds that portfolios of 70%/80% US dollar deposits combined with 30%/20% Australian dollar deposits are the best hedge ratio portfolios.
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匯率, 外幣存款, 自然避險, 投資組合, exchange rate, foreign currency deposits, naturally hedge, portfolio