台灣退休基金國際資產配置與匯率避險效果–以台灣勞退新制為例

Taiwan Pension Global Asset Allocation and Exchange Rate Hedge Effect – Example of the Taiwan Labor Pension Fund (Defined Contribution Plan)

10.6342/NTU.2013.02096

呂凡

退休金 ； 避險 ； 資產配置 ； 匯率風險 ； Pension fund ； Hedging ； Asset allocation ； Currency risk

國立臺灣大學財務金融學系學位論文

2013年

碩士

邱顯比

繁體中文

投資國際資產時會有匯率風險，本文使用不同的匯率避險策略，同時考量避險成本，研究最佳避險方式。本研究以台灣勞退新制退休基金的資產配置為參考，代入2007至2013年的數據。本研究結果，將勞退新制歷年資產配置比例代入五種避險策略的結果顯示，25% Hedge為優勢策略。以10 年未來預期報酬代入五種避險策略結果顯示，No Hedge也為優勢策略。希望此研究可以做為本國人投資外幣資產時需不需要避險之參考。

International investments involve currency exchange. Exchange rate uncertainty is a risk which affecting performance of international portfolios. In order to reduce this risk, we introduce five different currency hedge strategies (100%, 75%, 50%, 25% and 0% hedge) and consider hedge cost in our study. We try to find the most efficient currency hedge strategy for international portfolios and to give suggestions for Taiwan investors. In our study, we simplify the Taiwan Labor Pension Fund (DC Plan) asset allocation as our international portfolio. Select the time period from 2007 to 2013. We find that 25% hedge is the dominate strategy for existing asset allocations weight in the Taiwan Labor Pension Fund (DC Plan). By using 10 years forward looking return, we find that no hedge is the dominate strategy.

1. Andrew Ang and Geert Bekaert, 2002 , International Asset Allocation With Regime Shifts, The Review of Financial Studies, Volume 15, No.4
   連結：
2. Black Fischer, 1990, Equilibrium Exchange Rate Hedging, Journal of Finance, Volume 45, No. 3, Pages 899-908.
   連結：
3. Campbell, John Y., Luis M. Viceira, and Joshua S. White, 2003, Foreign Currency for Long-term Investors, Economic Journal, Volume 113(486,Mar), C1-C25.
   連結：
4. CalPERS 2012 annual report， http://www.calpers.ca.gov/
   連結：
5. Cheols S. Eun and Bruce G. Resnick, 1988, Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection, The Journal of Finance, Volume 43, Issue 1, Pages 197–215
   連結：
6. Glen, J., and Philippe Jorion, 1993, Currency Hedging for International Portfolios, Journal of Finance , Volume 48, 1865–1886.
   連結：
7. Jochen M. Schmittmann, 2010 , Currency Hedging for International Portfolios, Working paper, IMF Finance department
   連結：
8. Universities
   連結：
9. Pennacchi, George, Rastad, Mahdi, 2011, Portfolio allocation for public pension funds, Journal of Pension Economics and Finance, vol. 10(02), pages 221-245
   連結：
10. Solnik, Bruno H., 1974, An equilibrium model of the international capital market, Journal of Economic Theory, Volume 8, 500–524.
    連結：
11. Walker, Eduardo, 2008, Strategic currency hedging and global portfolio investments upside down, Journal of Business Research 61, 657–668.
    連結：
12. Wenling Lin, Lisa Kopp, Phillip Hoffman and Mark Thurston, 2004, Changing risks in global equity portfolios, Financial Analysts Journal, Volume 60, No. 1, pp. 87-99
    連結：
13. 繆震宇 (2007)，勞退新制的最適資產配置、所得替代率與保證成本，台大管理論叢， 第17卷第2期
    連結：
14. 參考文獻
15. Alain B., Praveen S., Roland K., Arthur V. , and Phillippe F., 2013, Risk Premium in Pictures, Societe Generale
16. Bureau of Labor Insurance, 2013, http://www.bli.gov.tw/default.aspx
17. Campbell John Y., Karine Serfaty-De Medeiros, Luis M. Viceira, 2010, Global Currency Hedging, The Journal of Finance, Volume 65, Issue 1, pages 87–121
18. De Roon, Frans A., Eiling, Esther, Gerard, Bruno and Hillion, Pierre, 2012, Currency Risk Hedging: No Free Lunch, INSEAD Working Papers Collection; Issue 87, Pages 1
19. Froot, Kenneth A., 1993, Currency Hedging Over Long Horizons, NBER Working Paper No. 4355.
20. John Y. Campbell, Karine Serfaty-De Medeiros, and Luis M. Viceira, 2010, Global Currency Hedging, The Journal of Finance, Volume Lxv, No. 1
21. Labor Pension Fund Supervisory Committee, 2013, Annual Report 2012, http://www.lpsc.gov.tw
22. Li, Yi-Wen, 2006, Global Asset Allocation and Currency Hedging Strategies for Taiwan’s Pension Funds, Department of Finance, National Taiwan University, Master Thesis
23. Lin, Yen-Chun, 2009, Can Currency- Trading Strategies Hedge Currency Risk? , Department of Finance, National Taiwan University, Master Thesis
24. Markowitz, Harry M., 1952, Portfolio Selection, The Journal of Finance, Volume 7, No. 1, pp. 77-91
25. Lucas, D. and S. Zeldes, 2006, Valuing and Hedging Defined Benefit Pension Obligations – The Role of Stocks Revisited, working paper Northwestern and Columbia
26. MSCI Barra, 2009, MSCI Index Calculation Methodology, available at
27. http://www.mscibarra.com
28. Pavlova, Anna, and Roberto Rigobon, 2007, Asset prices and exchange rates, Review of Financial Studies, Volume 20, 1139–1181
29. Towers Watson, 2012, http:// towerswatson.com
30. Wang, Shaio-Tien, 2007, Optimal currency hedging overlay strategies for Taiwan’s Pension Fund, Department of Finance, National Taiwan University, Master Thesis
31. 日本年金積立金管理運用獨立行政法人，2012年第三季投資報告，網站 http://www.gpif.go.jp
32. 王儷玲 (2011)，我國退休基金管理制度之研究，行政院研究發展考核委員會委託研究報告
33. 邱顯比 (1998)，台灣退休基金資產分配之試評，證券市場發展季刊，9(2)，29-57
34. 蘇嘉華、林亞倩、邱南源 (2012)，全球退休基金資產配置趨勢與運用情形，台灣勞工季刊，32期，92-103頁