外匯利差交易策略：遠期匯率偏誤交易動能之運用

Abstract

自2003年起前美國聯邦儲備委員會(FED)主席葛林斯潘採低利率政策，美元成為國際上常拿來融資用的貨幣， 也興起了以美元做為融資貨幣(Funding Currency)的利差交易(Carry Trade)，美元有兩個符合利差交易的條件：低利率、匯率波動小。 然而，本研究也注意到，在利差交易中，標的貨幣(Target Currency)的選取，往往是決定報酬的關鍵。在金融海嘯中，許多在以往表現良好的標的貨幣，例如高利率的澳幣、紐西蘭幣，進行利差交易所帶來的報酬不盡理想。以澳幣為例，在金融海嘯前，逐月進行利差交易的夏普指數(Sharp Ratio)是1.05，但在金融海嘯爆發後大幅降為0.56。 本研究力求在眾多可能的標的貨幣裡面，挑選出最適合當月進行的利差交易貨幣，使用的方法為利用歷史資料所顯現出來的關於每個貨幣遠期匯率偏誤交易(Forward Rate Bias Trading)的動能。實證結果發現，根據本研究在金融海嘯前期間，即發生金融海嘯前所找到的最佳交易策略，逐月進行利差交易的夏普指數是1.03，將這樣的交易策略應用在金融海嘯爆發後的金融海嘯後期間，逐月進行利差交易的夏普指數高達1.17。這結果也顯示了此最佳交易策略的穩定性，可做為國際利差交易投資者的參考。

In recent years, the USD has been widely used as the funding currency due to its low interest and low volatility in currency rates. Especially the low interest rate policy that Greenspan, the former chairman of Federal Reserve, kept since 2003 opened a window of great opportunity of international FX carry trades. Meanwhile, the choose of target currency is also the key to a higher return rate. We found that ever since the financial tsunami broke out, FX carry trades have confronted huge losses. Even those high-interest currencies such as AUD and NZD, performed much worse than they did before. Take AUD for example, just before financial tsunami, we conducted carry trades on monthly basis, focusing on the pair of USD as the funding currency and AUD as the target currency. The sharp ratio was 1.05, while after financial tsunami it plummeted to 0.56. The carry trade strategy in this research is dedicated to finding out the finest choose every month among the currencies. Basically we leverage the momentum which we can watch on historical performances of “Forward Rate Bias Trading” in each target currency. According to the empirical result, in the period of pre-financial crisis, which is years before the financial tsunami, the sharp ratio of the best trading strategy that we find is 1.03, while we have 1.17 during the period of post-financial crisis. This result shed light on the stability and the feasibility of this best trading strategy for investors’ reference.