以資產面的視角看匯率避險策略

本文研究臺灣大型投資組合國外投資之較佳匯率避險策略。根據Campbell et al.（2010）投資組合風險極小化模型以檢視共20年（2003～2022）數據。由於持有美元匯率報酬率與國內外股市報酬率及國外債券報酬率呈負相關，資產類別的持有權重會影響該投資組合的較佳匯率避險策略，當持有越高比重的臺灣股票、世界股票、世界債券，持有美元反而有助消減整體投資組合風險。本研究雖然只從資產面分析，但是對退休基金及保險公司的滙率避險策略提供很有價值的思考方向。退休基金及保險公司可以在我們的分析架構上結合自身狀況（包括會計處理及資產負債管理的考量）以發展最適合自己的滙率避險策略。

We applied the model developed by Campbell et al. (2010) to find appropriate currency hedge ratios for large portfolios of foreign investments in Taiwan over a 20-year data span (2003 to 2022). We demonstrated that the optimal hedging ratio of a portfolio is primarily determined by its asset allocation. When a portfolio contained more Taiwan equities, global stocks, or global bonds, a greater US dollar exposure reduced portfolio volatility. Despite the fact that our research focused on the asset side, pension funds and insurance firms can nevertheless gain significant currency hedging insights from it. On the basis of our approach, together with unique considerations for accounting number representation and asset-liability matching, portfolio managers will be able to build prudent currency hedging strategies.