国际股票投资组合动态外汇对冲比率研究

A Currency Dynamic Hedge Model for Global Equity Investors

对于国际股票投资者而言,决定是否和如何对冲外汇将显著影响投资组合风险和回报。最优的外汇对冲比例与汇率的预期变动、汇率之间或外汇与股票之间的相关性有关。除了根据对外汇影响较大的因素对汇率实际价格进行估计外,股票投资者还需要综合考虑外汇动态对冲对组合风险和收益的影响,因此将外汇对冲后的国际股票投资组合风险调整后收益最大化作为目标函数,试图优化组合的外汇对冲策略。着眼于10个市值加权的发达和新兴股票市场投资组合,在未抛补利率平价定理的假设下,构建了一个考虑各国实际利差水平、风险偏好、大宗商品价格以及趋势性因素的动态对冲模型。以美国投资者为例,相比于其他10个静态对冲策略,此外汇动态对冲模型将显著提升组合的风险调整后收益,并基于规则判断为投资者提供每种外汇资产的对冲信号。

For global equity investors, deciding whether and how to hedge foreign exchange will significantly affect portfolio risks and returns, and the optimal ratio of currency hedge is related to expected changes in exchange rates and correlations within the currencies themselves and with stocks. The risk-adjusted return of the global stock portfolio after currency hedging was used as an objective function to try to optimize the currency hedging strategy. Focusing on the ten market-cap weighted developed and emerging stock market investment portfolios and under the assumption that the uncovered interest rate parity, this paper constructs a dynamic hedging strategy that considers actual interest rate spread, risk appetite, commodity prices, and momentum factors. In the case of U.S. investors, compared to the other 10 static hedging strategies, this dynamic hedging strategy will significantly increase the portfolio′s risk-adjusted return, and provide investors with a “hedging signal” for each type of foreign currency asset based on the rules.