壽險公司投資新興市場當地貨幣債之總收益率研究

Abstract

壽險業國外投資總額至2018年已高達16.3兆台幣，主要原因在於自1999年以來，台灣公債殖利率逐年走低，在國內利率走低且投資機會不足情況下，為維持整體資產收益率，故將資金投資至國外，尋求比國內收益率更高的投資標的。然而天下沒有白吃午餐，投資國外享有較高的收益率，同時必須承擔相對應的匯率風險與避險成本。目前壽險業界常用的降低避險成本的方式主要有避險比率的調控、一籃子避險與投資新興市場當地貨幣債的方式來降低避險成本。本論文探討以投資新興市場當地貨幣債的方式，是否真的可以提高收益率並降低避險成本，提高總收益率。 本研究分析投資南非、墨西哥、俄羅斯、印尼、巴西、土耳其與印度等六個國家的當地貨幣債的主權債，其持有期間為1、3與5年，本研究的投資建議與結論如下：以主要壽險公司平均負債成本3.68%作為篩選的標準下，投資標的為巴西、印尼、墨西哥與印度。巴西與印尼持有期間以一年為主，避險後的總收益率分別為4.33%與4.24%；墨西哥與印度持有期間三年，避險後的年化總收益率分別為5.73%與5.17%，持有期間五年，避險後的年化總收益率分別為6.27%與5.98%。

The total foreign investment in the life insurance industry has reached as high as 16.3 trillion New Taiwan dollars in 2018. The main reason is that, since 1999, the yield of Taiwan Government Bond has been decreasing year by year. With the falling domestic interest rates and insufficient investment opportunities, to maintain the overall rate of return on assets, the life insurance company invests abroad in order to seek investment targets better than domestic opportunities. However, there is no free lunch. While investing abroad has better rate of return, investors have to bear the currency risk and the hedging cost. In the life insurance industry, the main approaches to reduce hedging costs are the change of the hedging ratio, a basket of hedging, and investing in local currency bond in emerging markets to reduce hedging cost. This dissertation explores whether investing in local currency bond in emerging markets can really increase the rate of return and reduce the hedging cost, thus increasing the total rate of return. This study analyzes the local currency sovereign bond in six countries, including South Africa, Mexico, Russia, Indonesia, Brazil, Turkey and India. The final conclusion is based on the average liability cost of major life insurance companies, 3.68%. The investment target including Brazil, Indonesia, Mexico and India, with mainly 1-year holding period for Brazil and Indonesia, and 3- to 5- year holding period for Mexico and India. By hedging USD against those four local currency, the total yield can be higher than 3.68%.