台灣退休基金之最適外匯避險策略研究

Abstract

本論文旨在探討台灣退休基金的最適外匯避險策略。研究架構可分為投資組合建構及外匯避險兩部分，投資組合部份利用馬可維茲的平均數—變異數模型及最大機率法建構出國際投資組合；外匯避險部份利用一元及多元避險策略規避該投資組合之外匯風險。本研究採用傳統Hedging Effectiveness及Sharpe Ratio衡量不同策略下的避險績效。研究結果發現，在minimum-variance model下採取動態避險會有最佳的避險效果（HE），若加入避險後報酬的考量，則二元避險及三元避險會有較高的Sharpe Ratio。另外，避險期間越長，避險效果越佳，六個月避險之績效顯著優於一個月及三個月避險。

In this paper, we are trying to determine the optimal currency hedging overlay strategies for Taiwanese pension funds. Markowitz Mean-Variance model and Williams Maximum Probability Approach are used to construct a spot position as the hedging subject. Then, we apply the conventional hedging effectiveness as well as Sharpe ratio to analyze the efficiency of single contract and multiple contracts overlay strategies. We discover that dynamic hedge under minimum-variance model is the most efficient based on risk reduction. Secondly, the hedging effectiveness of dual and triple overlay strategies are greater than the other strategies based on risk-adjusted performance. Finally, the hedging effectiveness for a longer duration is found to be more efficient than a shorter one.