| 1000通貨単位の南アフリカランド投資でFX資産運用 |
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HV |
260 |
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| OANDA
ランド円分析（1ヶ月毎の推移） |
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VaR |
90.00% |
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| 10年 |
1998/1/1 |
1998/2/1 |
1998/3/1 |
1998/4/1 |
1998/5/1 |
1998/6/1 |
1998/7/1 |
1998/8/1 |
1998/9/1 |
1998/10/1 |
1998/11/1 |
1998/12/1 |
1999/1/1 |
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| 2007/12/31 |
2008/1/31 |
2008/2/29 |
2008/3/31 |
2008/4/30 |
2008/5/31 |
2008/6/30 |
2008/7/31 |
2008/8/31 |
2008/9/30 |
2008/10/31 |
2008/11/30 |
2008/12/31 |
|
備考 |
| 期間終値 |
16.63 |
14.80 |
14.19 |
12.27 |
13.77 |
13.91 |
13.50 |
14.64 |
14.22 |
12.97 |
10.04 |
9.53 |
9.58 |
|
期間最終日のOANDA終値 |
| 平均値 |
16.82 |
16.73 |
16.64 |
16.53 |
16.42 |
16.31 |
16.21 |
16.14 |
16.06 |
15.99 |
15.91 |
15.81 |
15.72 |
|
OANDA終値ベース |
| 最高値 |
27.43 |
27.43 |
27.43 |
27.43 |
27.43 |
27.43 |
23.72 |
23.72 |
23.56 |
22.56 |
21.83 |
21.65 |
20.41 |
|
OANDA終値ベース |
| 最安値 |
9.64 |
9.64 |
9.64 |
9.64 |
9.64 |
9.64 |
9.64 |
9.64 |
9.64 |
9.64 |
8.40 |
8.40 |
8.40 |
|
OANDA終値ベース |
| 変動率 |
64.85% |
64.85% |
64.85% |
64.85% |
64.85% |
64.85% |
59.35% |
59.35% |
59.09% |
57.26% |
61.53% |
61.22% |
58.86% |
|
=(最高値−最安値)/最高値 |
| HV |
15.76% |
15.82% |
15.86% |
16.06% |
16.12% |
16.16% |
16.03% |
15.82% |
15.78% |
15.88% |
16.86% |
17.11% |
17.09% |
|
=STDEVP(期間)*SQRT(営業日数) |
| VaR |
-20.20% |
-20.27% |
-20.33% |
-20.58% |
-20.66% |
-20.71% |
-20.54% |
-20.28% |
-20.22% |
-20.36% |
-21.61% |
-21.92% |
-21.90% |
|
=NORMINV(1-信頼区間,HV) |
| 予想下落値幅 |
-3.36 |
-3.00 |
-2.88 |
-2.52 |
-2.84 |
-2.88 |
-2.77 |
-2.97 |
-2.88 |
-2.64 |
-2.17 |
-2.09 |
-2.10 |
|
=期間終値*VaR |
| 予想最低レート |
13.27 |
11.80 |
11.31 |
9.74 |
10.93 |
11.03 |
10.73 |
11.67 |
11.35 |
10.33 |
7.87 |
7.44 |
7.48 |
|
=期間終値+予想下落値幅 |
| 予想上昇値幅 |
3.36 |
3.00 |
2.88 |
2.52 |
2.84 |
2.88 |
2.77 |
2.97 |
2.88 |
2.64 |
2.17 |
2.09 |
2.10 |
|
=期間終値*ABS(VaR) |
| 予想最高レート |
19.99 |
17.80 |
17.08 |
14.79 |
16.62 |
16.79 |
16.27 |
17.61 |
17.10 |
15.61 |
12.21 |
11.62 |
11.68 |
|
=期間終値+予想上昇値幅 |
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| 5年 |
2003/1/1 |
2003/2/1 |
2003/3/1 |
2003/4/1 |
2003/5/1 |
2003/6/1 |
2003/7/1 |
2003/8/1 |
2003/9/1 |
2003/10/1 |
2003/11/1 |
2003/12/1 |
2004/1/1 |
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| 2007/12/31 |
2008/1/31 |
2008/2/29 |
2008/3/31 |
2008/4/30 |
2008/5/31 |
2008/6/30 |
2008/7/31 |
2008/8/31 |
2008/9/30 |
2008/10/31 |
2008/11/30 |
2008/12/31 |
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| 平均値 |
16.77 |
16.80 |
16.79 |
16.76 |
16.71 |
16.68 |
16.66 |
16.63 |
16.60 |
16.56 |
16.47 |
16.36 |
16.24 |
|
OANDA終値ベース |
| 最高値 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
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OANDA終値ベース |
| 最安値 |
13.09 |
14.13 |
13.77 |
12.02 |
12.02 |
12.02 |
12.02 |
12.02 |
12.02 |
12.02 |
8.40 |
8.40 |
8.40 |
|
OANDA終値ベース |
| 変動率 |
33.79% |
28.50% |
30.33% |
39.17% |
39.17% |
39.17% |
39.17% |
39.17% |
39.17% |
39.17% |
57.51% |
57.51% |
57.51% |
|
=(最高値−最安値)/最高値 |
| 平均金利差 |
8.64% |
8.58% |
8.54% |
8.49% |
8.45% |
8.40% |
8.38% |
8.37% |
8.37% |
8.39% |
8.43% |
8.48% |
8.54% |
|
=南ア政策金利−日本政策金利の期間平均値 |
| 平均スワップ |
\39.27 |
\39.17 |
\38.97 |
\38.66 |
\38.35 |
\38.08 |
\37.91 |
\37.78 |
\37.69 |
\37.65 |
\37.53 |
\37.41 |
\37.27 |
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=(終値*金利差*10000)/365の期間平均値 |
| 合計スワップ |
\71,699 |
\71,516 |
\71,196 |
\70,632 |
\70,063 |
\69,570 |
\69,262 |
\69,022 |
\68,854 |
\68,783 |
\68,570 |
\68,357 |
\68,099 |
|
=スワップの期間合計値 |
| HV |
14.97% |
14.94% |
14.95% |
15.30% |
15.37% |
15.02% |
14.91% |
14.94% |
14.93% |
15.30% |
17.41% |
17.89% |
17.81% |
|
=STDEVP(期間)*SQRT(営業日数) |
| VaR |
-10.54% |
-10.56% |
-10.62% |
-11.12% |
-11.25% |
-10.85% |
-10.72% |
-10.78% |
-10.76% |
-11.21% |
-13.88% |
-14.44% |
-14.29% |
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| VaR |
-19.18% |
-19.14% |
-19.16% |
-19.61% |
-19.70% |
-19.25% |
-19.11% |
-19.15% |
-19.13% |
-19.60% |
-22.31% |
-22.93% |
-22.83% |
|
=NORMINV(1-信頼区間,HV) |
| SF確率（0%） |
28.20% |
28.27% |
28.39% |
28.95% |
29.14% |
28.80% |
28.70% |
28.76% |
28.74% |
29.16% |
31.41% |
31.77% |
31.59% |
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| 予想下落値幅 |
-3.19 |
-2.83 |
-2.72 |
-2.41 |
-2.71 |
-2.68 |
-2.58 |
-2.80 |
-2.72 |
-2.54 |
-2.24 |
-2.18 |
-2.19 |
|
=期間終値*VaR |
| 予想最低レート |
13.44 |
11.97 |
11.47 |
9.86 |
11.06 |
11.23 |
10.92 |
11.84 |
11.50 |
10.43 |
7.80 |
7.34 |
7.39 |
|
=期間終値+予想下落値幅 |
| 予想上昇値幅 |
3.19 |
2.83 |
2.72 |
2.41 |
2.71 |
2.68 |
2.58 |
2.80 |
2.72 |
2.54 |
2.24 |
2.18 |
2.19 |
|
=期間終値*ABS(VaR) |
| 予想最高レート |
19.82 |
17.64 |
16.91 |
14.67 |
16.49 |
16.59 |
16.08 |
17.45 |
16.94 |
15.51 |
12.28 |
11.71 |
11.77 |
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=期間終値+予想上昇値幅 |
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| 3年 |
2005/1/1 |
2005/2/1 |
2005/3/1 |
2005/4/1 |
2005/5/1 |
2005/6/1 |
2005/7/1 |
2005/8/1 |
2005/9/1 |
2005/10/1 |
2005/11/1 |
2005/12/1 |
2006/1/1 |
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| 2007/12/31 |
2008/1/31 |
2008/2/29 |
2008/3/31 |
2008/4/30 |
2008/5/31 |
2008/6/30 |
2008/7/31 |
2008/8/31 |
2008/9/30 |
2008/10/31 |
2008/11/30 |
2008/12/31 |
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| 平均値 |
17.16 |
17.11 |
17.02 |
16.88 |
16.77 |
16.67 |
16.60 |
16.52 |
16.44 |
16.33 |
16.13 |
15.91 |
15.64 |
|
OANDA終値ベース |
| 最高値 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
|
OANDA終値ベース |
| 最安値 |
14.95
|
14.74
|
13.77 |
12.02 |
12.02 |
12.02 |
12.02 |
12.02 |
12.02 |
12.02 |
8.40 |
8.40 |
8.40 |
|
OANDA終値ベース |
| 変動率 |
24.38% |
25.40% |
30.33% |
39.17% |
39.17% |
39.17% |
39.17% |
39.17% |
39.17% |
39.17% |
57.51% |
57.51% |
57.51% |
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=(最高値−最安値)/最高値 |
| 平均金利差 |
7.91% |
8.00% |
8.07% |
8.16% |
8.26% |
8.37% |
8.49% |
8.62% |
8.74% |
8.87% |
8.99% |
9.12% |
9.25% |
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=南ア政策金利−日本政策金利の期間平均値 |
| 平均スワップ |
\37.08 |
\37.34 |
\37.45 |
\37.47 |
\37.59 |
\37.84 |
\38.14 |
\38.48 |
\38.82 |
\39.06 |
\39.05 |
\38.95 |
\38.76 |
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=(終値*金利差*10000)/365の期間平均値 |
| 合計スワップ |
\40,600 |
\40,884 |
\41,050 |
\41,063 |
\41,201 |
\41,474 |
\41,799 |
\42,169 |
\42,551 |
\42,808 |
\42,794 |
\42,694 |
\42,478 |
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=スワップの期間合計値 |
| HV |
13.00% |
13.08% |
13.24% |
13.86% |
14.06% |
14.08% |
13.98% |
13.95% |
14.07% |
14.88% |
18.51% |
19.30% |
19.49% |
|
=STDEVP(期間)*SQRT(営業日数) |
| VaR |
-8.75% |
-8.77% |
-8.89% |
-9.60% |
-9.77% |
-9.68% |
-9.43% |
-9.26% |
-9.29% |
-10.20% |
-14.72% |
-15.62% |
-15.72% |
|
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| VaR |
-16.66% |
-16.77% |
-16.97% |
-17.76% |
-18.02% |
-18.05% |
-17.91% |
-17.88% |
-18.03% |
-19.07% |
-23.72% |
-24.74% |
-24.97% |
|
=NORMINV(1-信頼区間,HV) |
| SF確率（0%） |
27.15% |
27.06% |
27.10% |
27.80% |
27.85% |
27.61% |
27.18% |
26.84% |
26.72% |
27.56% |
31.35% |
31.83% |
31.75% |
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| 予想下落値幅 |
-2.77 |
-2.48 |
-2.41 |
-2.18 |
-2.48 |
-2.51 |
-2.42 |
-2.62 |
-2.56 |
-2.47 |
-2.38 |
-2.36 |
-2.39 |
|
=期間終値*VaR |
| 予想最低レート |
13.86 |
12.32 |
11.78 |
10.09 |
11.29 |
11.40 |
11.08 |
12.03 |
11.66 |
10.49 |
7.66 |
7.17 |
7.19 |
|
=期間終値+予想下落値幅 |
| 予想上昇値幅 |
2.77 |
2.48 |
2.41 |
2.18 |
2.48 |
2.51 |
2.42 |
2.62 |
2.56 |
2.47 |
2.38 |
2.36 |
2.39 |
|
=期間終値*ABS(VaR) |
| 予想最高レート |
19.40 |
17.29 |
16.60 |
14.45 |
16.26 |
16.42 |
15.92 |
17.26 |
16.79 |
15.44 |
12.42 |
11.89 |
11.97 |
|
=期間終値+予想上昇値幅 |
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| 1年 |
2007/1/1 |
2007/2/1 |
2007/3/1 |
2007/4/1 |
2007/5/1 |
2007/6/1 |
2007/7/1 |
2007/8/1 |
2007/9/1 |
2007/10/1 |
2007/11/1 |
2007/12/1 |
2008/1/1 |
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| 2007/12/31 |
2008/1/31 |
2008/2/29 |
2008/3/31 |
2008/4/30 |
2008/5/31 |
2008/6/30 |
2008/7/31 |
2008/8/31 |
2008/9/30 |
2008/10/31 |
2008/11/30 |
2008/12/31 |
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| 平均値 |
16.77 |
16.66 |
16.44 |
16.16 |
15.87 |
15.56 |
15.26 |
14.97 |
14.81 |
14.57 |
14.01 |
13.43 |
12.82 |
|
OANDA終値ベース |
| 最高値 |
17.79 |
17.79 |
17.79 |
17.79 |
17.79 |
17.79 |
17.79 |
17.68 |
17.68 |
17.68 |
17.65 |
16.78 |
16.50 |
|
OANDA終値ベース |
| 最安値 |
15.25
|
14.74
|
13.77 |
12.02 |
12.02 |
12.02 |
12.02 |
12.02 |
12.02 |
12.02 |
8.40 |
8.40 |
8.40 |
|
OANDA終値ベース |
| 変動率 |
14.28% |
17.13% |
22.60% |
32.43% |
32.43% |
32.43% |
32.43% |
31.99% |
31.99% |
31.99% |
52.42% |
49.96% |
49.10% |
|
=(最高値−最安値)/最高値 |
| 平均金利差 |
9.07% |
9.22% |
9.37% |
9.54% |
9.73% |
9.94% |
10.14% |
10.35% |
10.54% |
10.70% |
10.87% |
11.05% |
11.15% |
|
=南ア政策金利−日本政策金利の期間平均値 |
| 平均スワップ |
\41.67 |
\42.06 |
\42.08 |
\42.01 |
\42.02 |
\42.11 |
\42.11 |
\42.19 |
\42.54 |
\42.54 |
\41.57 |
\40.54 |
\39.04 |
|
=(終値*金利差*10000)/365の期間平均値 |
| 合計スワップ |
\15,209 |
\15,351 |
\15,401 |
\15,376 |
\15,379 |
\15,413 |
\15,414 |
\15,442 |
\15,571 |
\15,570 |
\15,213 |
\14,837 |
\14,287 |
|
=スワップの期間合計値 |
| HV |
15.01% |
15.35% |
15.73% |
16.81% |
17.42% |
17.58% |
17.40% |
17.40% |
16.50% |
18.40% |
26.23% |
27.41% |
27.81% |
|
=STDEVP(期間)*SQRT(営業日数) |
| VaR |
-10.16% |
-10.45% |
-10.79% |
-12.00% |
-12.60% |
-12.60% |
-12.16% |
-11.95% |
-10.60% |
-12.87% |
-22.74% |
-24.08% |
-24.49% |
|
|
| VaR |
-19.23% |
-19.68% |
-20.15% |
-21.54% |
-22.33% |
-22.53% |
-22.30% |
-22.30% |
-21.14% |
-23.58% |
-33.61% |
-35.13% |
-35.64% |
|
=NORMINV(1-信頼区間,HV) |
| SF確率（0%） |
27.27% |
27.40% |
27.57% |
28.52% |
28.83% |
28.60% |
28.01% |
27.60% |
26.14% |
28.04% |
33.92% |
34.34% |
34.42% |
|
|
| 予想下落値幅 |
-3.20 |
-2.91 |
-2.86 |
-2.64 |
-3.08 |
-3.13 |
-3.01 |
-3.27 |
-3.01 |
-3.06 |
-3.38 |
-3.35 |
-3.41 |
|
=期間終値*VaR |
| 予想最低レート |
13.43 |
11.89 |
11.33 |
9.63 |
10.70 |
10.78 |
10.49 |
11.38 |
11.22 |
9.91 |
6.67 |
6.18 |
6.17 |
|
=期間終値+予想下落値幅 |
| 予想上昇値幅 |
3.20 |
2.91 |
2.86 |
2.64 |
3.08 |
3.13 |
3.01 |
3.27 |
3.01 |
3.06 |
3.38 |
3.35 |
3.41 |
|
=期間終値*ABS(VaR) |
| 予想最高レート |
19.83 |
17.72 |
17.05 |
14.91 |
16.85 |
17.05 |
16.51 |
17.91 |
17.23 |
16.03 |
13.42 |
12.88 |
13.00 |
|
=期間終値+予想上昇値幅 |
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