1000通貨単位の南アフリカランド投資でFX資産運用 | HV | 260 | |||||||||||||
外為どっとコム ランド円分析(1ヶ月毎の推移) | VaR | 90.0% | |||||||||||||
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 | ||
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 | 16.28 | 14.21 | 13.24 | 12.28 | 13.69 | 13.81 | 13.49 | 14.69 | 14.10 | 12.79 | 10.07 | 9.41 | 9.55 | 期間最終日の外為どっとコム終値 | |
平均値 | 17.06 | 17.01 | 16.92 | 16.79 | 16.67 | 16.58 | 16.51 | 16.43 | 16.35 | 16.23 | 16.03 | 15.81 | 15.54 | 外為どっとコム終値ベース | |
最高値 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 19.74 | 外為どっとコム高値ベース | |
最安値 | 14.69 | 13.93 | 13.15 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 7.66 | 7.66 | 7.66 | 外為どっとコム安値ベース | |
変動率 | 25.58% | 29.43% | 33.38% | 41.39% | 41.39% | 41.39% | 41.39% | 41.39% | 41.39% | 41.39% | 61.20% | 61.20% | 61.20% | =(最高値−最安値)/最高値 | |
HV | 17.20% | 17.54% | 17.95% | 18.87% | 19.11% | 19.10% | 19.09% | 19.12% | 19.23% | 20.25% | 25.73% | 26.95% | 27.28% | =STDEVP(期間)*SQRT(営業日数) | |
VaR | -22.05% | -22.48% | -23.01% | -24.18% | -24.48% | -24.48% | -24.46% | -24.50% | -24.65% | -25.95% | -32.97% | -34.53% | -34.97% | =NORMINV(1-信頼区間,HV) | |
予想下落値幅 | -3.59 | -3.20 | -3.05 | -2.97 | -3.35 | -3.38 | -3.30 | -3.60 | -3.48 | -3.32 | -3.32 | -3.25 | -3.34 | =期間終値*VaR | |
予想最低レート | 12.69 | 11.01 | 10.19 | 9.31 | 10.34 | 10.43 | 10.19 | 11.09 | 10.62 | 9.47 | 6.75 | 6.16 | 6.21 | =期間終値+予想下落値幅 | |
予想上昇値幅 | 3.59 | 3.20 | 3.05 | 2.97 | 3.35 | 3.38 | 3.30 | 3.60 | 3.48 | 3.32 | 3.32 | 3.25 | 3.34 | =期間終値*ABS(VaR) | |
予想最高レート | 19.87 | 17.41 | 16.29 | 15.25 | 17.04 | 17.19 | 16.79 | 18.29 | 17.58 | 16.11 | 13.39 | 12.66 | 12.89 | =期間終値+予想上昇値幅 | |
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 | ||
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 | |||
平均値 | 16.67 | 16.56 | 16.33 | 16.06 | 15.77 | 15.47 | 15.17 | 14.88 | 14.72 | 14.48 | 13.87 | 13.32 | 12.70 | 外為どっとコム終値ベース | |
最高値 | 17.80 | 17.80 | 17.80 | 17.80 | 17.80 | 17.80 | 17.80 | 17.73 | 17.73 | 17.73 | 17.73 | 16.81 | 16.39 | 外為どっとコム高値ベース | |
最安値 | 14.69 | 13.93 | 13.15 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 11.57 | 7.66 | 7.66 | 7.66 | 外為どっとコム安値ベース | |
変動率 | 17.47% | 21.74% | 26.12% | 35.00% | 35.00% | 35.00% | 35.00% | 34.74% | 34.74% | 34.74% | 56.80% | 54.43% | 53.26% | =(最高値−最安値)/最高値 | |
年利 | 9.33% | 9.39% | 9.49% | 9.61% | 9.80% | 9.88% | 9.99% | =((合計スワップ*365)/データ数)/(平均値*10000) | |||||||
平均スワップ | \38.79 | \38.28 | \38.28 | \38.13 | \37.25 | \36.03 | \34.77 | =スワップの期間平均値 | |||||||
合計スワップ | \14,198 | \14,011 | \14,009 | \13,956 | \13,632 | \13,186 | \12,727 | =スワップの期間合計値 | |||||||
HV | 20.98% | 21.91% | 22.44% | 23.74% | 24.33% | 24.59% | 24.66% | 24.62% | 23.73% | 25.82% | 37.41% | 38.67% | 39.14% | =STDEVP(期間)*SQRT(営業日数) | |
VaR | -26.88% | -28.08% | -28.76% | -30.43% | -31.19% | -31.51% | -31.60% | -31.56% | -30.41% | -33.10% | -47.94% | -49.56% | -50.15% | =NORMINV(1-信頼区間,HV) | |
予想下落値幅 | -4.38 | -3.99 | -3.81 | -3.74 | -4.27 | -4.35 | -4.26 | -4.64 | -4.29 | -4.23 | -4.83 | -4.66 | -4.79 | =期間終値*VaR | |
予想最低レート | 11.90 | 10.22 | 9.43 | 8.54 | 9.42 | 9.46 | 9.23 | 10.05 | 9.81 | 8.56 | 5.24 | 4.75 | 4.76 | =期間終値+予想下落値幅 | |
予想上昇値幅 | 4.38 | 3.99 | 3.81 | 3.74 | 4.27 | 4.35 | 4.26 | 4.64 | 4.29 | 4.23 | 4.83 | 4.66 | 4.79 | =期間終値*ABS(VaR) | |
予想最高レート | 20.66 | 18.20 | 17.05 | 16.02 | 17.96 | 18.16 | 17.75 | 19.33 | 18.39 | 17.02 | 14.90 | 14.07 | 14.34 | =期間終値+予想上昇値幅 |