The Study on the Contribution of Foreign-Exchange-Option-Linked Dual Currency Structure Notes for Wealth Management Portfolio

在全球股市呈現不穩的情勢下，雙元外匯存款產品成為財富管理業務所發展的熱門產品。雙元外匯存款產品結構包括外匯選擇權與定期外幣存款。然外匯選擇權的操作過程所隱含的風險必須加以探討，因此本研究以美國那斯達克股市報酬率與美國國庫券與十年期公債利差等資訊，試著藉由集群分析，探討美元兌澳幣(USD/AUD)、美元兌英鎊(USD/GBP)、歐元兌澳幣(EUR/AUD)等元存款產品之報酬率與風險。 本研究實證結果為: 一、不同市場狀態的操作策略不同 從各集群的涵義來看，當市場狀態屬於集群1時，此時Nasdaq指數日報酬率處於高檔但已有長期成長疑慮下，則「短期看多澳幣，看空美元」為一正確的外匯策略判斷基礎。當市場處於集群2的經濟成長性與股市報酬率處於較樂觀的狀態下，「短期看多英鎊，看空美元」與「短期看空美元，看多澳幣」是較適合的判斷。當市場處於集群3的股市低檔與債券市場反映經濟成長訊息的狀態下，則「看多澳幣，看空歐元」與「短期看空澳幣，看多美元」等為較佳的策略思維。 二、雙元存款產品的現金流量補償機制必須依據不同市場狀態 本研究發現雙元外匯存款產品在不同匯率與不同集群下，會有不同的Mean/StDev值，代表投資者與財富管理業者必須面對外匯市場進行利益的分配問題。目前雙元外匯存款產品都有設定不同匯率下的保本機制，故對於財富管理業者而言，雙元外匯存款產品屬於資金短期配置的選項之一，因此，針對不同的總體經濟或市場環境，業者必須快速調整，創造投資者與業者雙贏的局面。With the global stock markets unstable, foreign-exchange-option-linked dual currency structure notes have become the popular products for wealth management. Foreign-exchange-option-linked dual currency structure notes have been involved with foreign exchange option and currency deposit. Nonetheless, the risks inherent in the currency option should be discussed . Therefore, this study uses cluster analysis to explore the information in Nasdaq index returns and interest spreads , to discover the returns and risks in foreign exchange rates in term of “USD/AUD”, “USD/GBP”, and “EUR/AUD”. After the analysis in this study, the conclusions of this study could be summarized as following: Firstly , the proposals and strategies for the dual currency structure notes should be based on the statuses of markets. With market status showing higher stock returns but concerns for future economic growth, the appropriate strategies should be built up on the concept of “short USD, long AUD in near term”. When market status showing positive stock returns and positive future economic growth, the appropriate strategies should be built up on the concept of “short USD, long AUD in near term” or “short USD, long GBP in near term”. With market status reflecting lower stock returns but positive perspectives for future economic growth, the appropriate strategies should be built up on the concept of “short EURO, long AUD in near term”, or “short AUD, long USD in near term”. Based on the Mean/StDev , this study suggests the wealth managers should design different portfolios under different scenarios in foreign exchange rates, to generate best payoffs between the investors and wealth managers