臺灣退休基金之國際投資與匯率避險策略

Major Taiwanese Pension Funds’ International Investments and Currency Hedging Strategies

臺灣主要退休基金有超過40%資產投資於國外，而匯率變動將影響其國際投資之損益，此對基金短期報酬率往往有很大的影響。臺灣退休基金的經理人基本上運用他們過去的經驗與直覺去決定是否從事匯率避險以及避險比率。本文結合Campbell et al. （2010）的架構，各投資商品及匯率歷史資料，與臺灣主要基金的資產配置，計算各基金在極小化季報酬率波動性下的外匯避險比率。國外債券投資之極小化季報酬率波動性的避險策略是完全避險。國外股票投資之極小化季報酬率波動性的避險比率則依各國股市及幣別而有所不同。投資於美國及日本股市不應做外匯避險，而投資澳洲及加拿大股市應超額避險。運用各基金2016年1月的資產配置，我們發現國際投資不需要對美元進行避險。這個結果與目前各基金經理人的直覺和外匯避險實務有較大差距。本研究替實務界演示一套系統方法以決定外匯曝險（避險），此可能節省鉅額的避險成本，並降低基金報酬率的波動性。

International investments constitute morethan 40% of the assets of major pension funds in Taiwan. However, exchange rate fluctuations also affect funds’ short-term returns significantly. Taiwanese pension funds’ managers use their experience and intuition to determine whether to and how much to hedge currency risks. In this paper,we follow the framework of Campbell etal. (2010)and combine information on international financial markets and major Taiwanese pensionfunds’asset allocation to produce the currency hedge ratios which minimize the variance of quarterly returns of each fund. For foreign bond investment, the risk-minimizing strategy is basically 100% hedge. The risk-minimizing hedge ratios of foreign stock portfolios depend on the respective stock markets and currencies. Exposures on the US and Japan stock markets should not be hedged, while exposures on Australia and Canada should be over-hedged. Using actual asset allocations of pension funds in January 2016, we suggest that managers do not need to hedge USD exposure. These results are striking, as they differ signiifcantly from managers’ intuition and current practice. We demonstrate a model to determine currency hedging strategies for pension funds. We shed light on potentially huge hedging cost savings as well as portfolio risk reductions.