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 |
99.00% |
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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 |
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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 |
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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 |
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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% |
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=STDEVP(期間)*SQRT(営業日数) |
VaR |
-36.67% |
-36.79% |
-36.90% |
-37.35% |
-37.50% |
-37.60% |
-37.28% |
-36.81% |
-36.70% |
-36.95% |
-39.23% |
-39.80% |
-39.75% |
|
=NORMINV(1-信頼区間,HV) |
予想下落値幅 |
-6.10 |
-5.45 |
-5.24 |
-4.58 |
-5.16 |
-5.23 |
-5.03 |
-5.39 |
-5.22 |
-4.79 |
-3.94 |
-3.79 |
-3.81 |
|
=期間終値*VaR |
予想最低レート |
10.53 |
9.36 |
8.95 |
7.69 |
8.61 |
8.68 |
8.47 |
9.25 |
9.00 |
8.18 |
6.10 |
5.74 |
5.77 |
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=期間終値+予想下落値幅 |
予想上昇値幅 |
6.10 |
5.45 |
5.24 |
4.58 |
5.16 |
5.23 |
5.03 |
5.39 |
5.22 |
4.79 |
3.94 |
3.79 |
3.81 |
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=期間終値*ABS(VaR) |
予想最高レート |
22.73 |
20.25 |
19.43 |
16.85 |
18.94 |
19.14 |
18.53 |
20.03 |
19.44 |
17.76 |
13.98 |
13.32 |
13.39 |
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=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 |
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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 |
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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 |
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=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% |
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=STDEVP(期間)*SQRT(営業日数) |
VaR |
-26.18% |
-26.17% |
-26.24% |
-27.10% |
-27.31% |
-26.55% |
-26.30% |
-26.39% |
-26.36% |
-27.19% |
-32.07% |
-33.13% |
-32.90% |
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VaR |
-34.82% |
-34.75% |
-34.78% |
-35.59% |
-35.76% |
-34.95% |
-34.68% |
-34.76% |
-34.73% |
-35.58% |
-40.50% |
-41.62% |
-41.44% |
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=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 |
-5.79 |
-5.14 |
-4.94 |
-4.37 |
-4.93 |
-4.86 |
-4.68 |
-5.09 |
-4.94 |
-4.61 |
-4.07 |
-3.97 |
-3.97 |
|
=期間終値*VaR |
予想最低レート |
10.84 |
9.66 |
9.26 |
7.90 |
8.85 |
9.05 |
8.82 |
9.55 |
9.28 |
8.35 |
5.98 |
5.56 |
5.61 |
|
=期間終値+予想下落値幅 |
予想上昇値幅 |
5.79 |
5.14 |
4.94 |
4.37 |
4.93 |
4.86 |
4.68 |
5.09 |
4.94 |
4.61 |
4.07 |
3.97 |
3.97 |
|
=期間終値*ABS(VaR) |
予想最高レート |
22.42 |
19.95 |
19.13 |
16.63 |
18.70 |
18.77 |
18.18 |
19.73 |
19.16 |
17.58 |
14.11 |
13.49 |
13.55 |
|
=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 |
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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 |
-22.34% |
-22.44% |
-22.72% |
-24.08% |
-24.46% |
-24.39% |
-24.03% |
-23.84% |
-23.99% |
-25.75% |
-34.06% |
-35.79% |
-36.08% |
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VaR |
-30.25% |
-30.44% |
-30.80% |
-32.24% |
-32.72% |
-32.76% |
-32.52% |
-32.46% |
-32.74% |
-34.61% |
-43.06% |
-44.91% |
-45.33% |
|
=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 |
-5.03 |
-4.51 |
-4.37 |
-3.95 |
-4.51 |
-4.56 |
-4.39 |
-4.75 |
-4.66 |
-4.49 |
-4.32 |
-4.28 |
-4.34 |
|
=期間終値*VaR |
予想最低レート |
11.60 |
10.30 |
9.82 |
8.31 |
9.27 |
9.35 |
9.11 |
9.89 |
9.57 |
8.48 |
5.72 |
5.25 |
5.24 |
|
=期間終値+予想下落値幅 |
予想上昇値幅 |
5.03 |
4.51 |
4.37 |
3.95 |
4.51 |
4.56 |
4.39 |
4.75 |
4.66 |
4.49 |
4.32 |
4.28 |
4.34 |
|
=期間終値*ABS(VaR) |
予想最高レート |
21.66 |
19.31 |
18.56 |
16.22 |
18.28 |
18.47 |
17.89 |
19.40 |
18.88 |
17.46 |
14.37 |
13.81 |
13.93 |
|
=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 |
-25.83% |
-26.50% |
-27.22% |
-29.56% |
-30.80% |
-30.97% |
-30.34% |
-30.14% |
-27.83% |
-32.10% |
-50.14% |
-52.71% |
-53.54% |
|
|
VaR |
-34.91% |
-35.72% |
-36.58% |
-39.10% |
-40.53% |
-40.91% |
-40.47% |
-40.48% |
-38.37% |
-42.80% |
-61.01% |
-63.77% |
-64.69% |
|
=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% |
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|
予想下落値幅 |
-5.81 |
-5.29 |
-5.19 |
-4.80 |
-5.58 |
-5.69 |
-5.46 |
-5.93 |
-5.46 |
-5.55 |
-6.13 |
-6.08 |
-6.20 |
|
=期間終値*VaR |
予想最低レート |
10.83 |
9.52 |
9.00 |
7.47 |
8.19 |
8.22 |
8.04 |
8.72 |
8.76 |
7.42 |
3.92 |
3.45 |
3.38 |
|
=期間終値+予想下落値幅 |
予想上昇値幅 |
5.81 |
5.29 |
5.19 |
4.80 |
5.58 |
5.69 |
5.46 |
5.93 |
5.46 |
5.55 |
6.13 |
6.08 |
6.20 |
|
=期間終値*ABS(VaR) |
予想最高レート |
22.44 |
20.09 |
19.38 |
17.06 |
19.36 |
19.60 |
18.96 |
20.57 |
19.68 |
18.52 |
16.17 |
15.61 |
15.78 |
|
=期間終値+予想上昇値幅 |
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