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 |
90.0% |
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10年 |
1998/9/1 |
1998/10/1 |
1998/11/1 |
1998/12/1 |
1999/1/1 |
1999/2/1 |
1999/3/1 |
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2008/8/31 |
2008/9/30 |
2008/10/31 |
2008/11/30 |
2008/12/31 |
2009/1/31 |
2009/2/28 |
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備考 |
期間終値 |
14.22 |
12.97 |
10.04 |
9.53 |
9.58 |
8.87 |
9.81 |
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期間最終日のOANDA終値 |
平均値 |
16.06 |
15.99 |
15.91 |
15.81 |
15.72 |
15.64 |
15.56 |
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OANDA終値ベース |
最高値 |
23.56 |
22.56 |
21.83 |
21.65 |
20.41 |
20.41 |
20.41 |
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OANDA終値ベース |
最安値 |
9.64 |
9.64 |
8.40 |
8.40 |
8.40 |
8.40 |
8.40 |
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OANDA終値ベース |
変動率 |
59.09% |
57.26% |
61.53% |
61.22% |
58.86% |
58.86% |
58.86% |
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=(最高値−最安値)/最高値 |
HV |
15.78% |
15.88% |
16.86% |
17.11% |
17.09% |
17.08% |
17.17% |
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=STDEVP(期間)*SQRT(営業日数) |
VaR |
-20.22% |
-20.36% |
-21.61% |
-21.92% |
-21.90% |
-21.89% |
-22.01% |
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=NORMINV(1-信頼区間,HV) |
予想下落値幅 |
-2.88 |
-2.64 |
-2.17 |
-2.09 |
-2.10 |
-1.94 |
-2.16 |
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=期間終値*VaR |
予想最低レート |
11.35 |
10.33 |
7.87 |
7.44 |
7.48 |
6.93 |
7.65 |
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=期間終値+予想下落値幅 |
予想上昇値幅 |
2.88 |
2.64 |
2.17 |
2.09 |
2.10 |
1.94 |
2.16 |
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=期間終値*ABS(VaR) |
予想最高レート |
17.10 |
15.61 |
12.21 |
11.62 |
11.68 |
10.82 |
11.96 |
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=期間終値+予想上昇値幅 |
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5年 |
2003/9/1 |
2003/10/1 |
2003/11/1 |
2003/12/1 |
2004/1/1 |
2004/2/1 |
2004/3/1 |
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2008/8/31 |
2008/9/30 |
2008/10/31 |
2008/11/30 |
2008/12/31 |
2009/1/31 |
2009/2/28 |
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平均値 |
16.60 |
16.56 |
16.47 |
16.36 |
16.24 |
16.13 |
16.03 |
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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 |
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OANDA終値ベース |
最安値 |
12.02 |
12.02 |
8.40 |
8.40 |
8.40 |
8.40 |
8.40 |
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OANDA終値ベース |
変動率 |
39.17% |
39.17% |
57.51% |
57.51% |
57.51% |
57.51% |
57.51% |
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=(最高値−最安値)/最高値 |
平均金利差 |
8.37% |
8.39% |
8.43% |
8.48% |
8.54% |
8.60% |
8.64% |
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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 |
\37.69 |
\37.65 |
\37.53 |
\37.41 |
\37.27 |
\37.19 |
\37.07 |
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=(終値*金利差*10000)/365の期間平均値 |
合計スワップ |
\68,854 |
\68,783 |
\68,570 |
\68,357 |
\68,099 |
\67,937 |
\67,682 |
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=スワップの期間合計値 |
HV |
14.93% |
15.30% |
17.41% |
17.89% |
17.81% |
17.79% |
17.93% |
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=STDEVP(期間)*SQRT(営業日数) |
VaR |
-10.76% |
-11.21% |
-13.88% |
-14.44% |
-14.29% |
-14.21% |
-14.35% |
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VaR |
-19.13% |
-19.60% |
-22.31% |
-22.93% |
-22.83% |
-22.80% |
-22.98% |
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=NORMINV(1-信頼区間,HV) |
SF確率(0%) |
28.74% |
29.16% |
31.41% |
31.77% |
31.59% |
31.45% |
31.51% |
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予想下落値幅 |
-2.72 |
-2.54 |
-2.24 |
-2.18 |
-2.19 |
-2.02 |
-2.25 |
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=期間終値*VaR |
予想最低レート |
11.50 |
10.43 |
7.80 |
7.34 |
7.39 |
6.85 |
7.55 |
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=期間終値+予想下落値幅 |
予想上昇値幅 |
2.72 |
2.54 |
2.24 |
2.18 |
2.19 |
2.02 |
2.25 |
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=期間終値*ABS(VaR) |
予想最高レート |
16.94 |
15.51 |
12.28 |
11.71 |
11.77 |
10.90 |
12.06 |
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=期間終値+予想上昇値幅 |
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3年 |
2005/9/1 |
2005/10/1 |
2005/11/1 |
2005/12/1 |
2006/1/1 |
2006/2/1 |
2006/3/1 |
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2008/8/31 |
2008/9/30 |
2008/10/31 |
2008/11/30 |
2008/12/31 |
2009/1/31 |
2009/2/28 |
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平均値 |
16.44 |
16.33 |
16.13 |
15.91 |
15.64 |
15.36 |
15.10 |
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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 |
19.68 |
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OANDA終値ベース |
最安値 |
12.02 |
12.02 |
8.40 |
8.40 |
8.40 |
8.40 |
8.40 |
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OANDA終値ベース |
変動率 |
39.17% |
39.17% |
57.51% |
57.51% |
57.51% |
57.51% |
57.33% |
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=(最高値−最安値)/最高値 |
平均金利差 |
8.74% |
8.87% |
8.99% |
9.12% |
9.25% |
9.37% |
9.46% |
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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 |
\38.82 |
\39.06 |
\39.05 |
\38.95 |
\38.76 |
\38.54 |
\38.27 |
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=(終値*金利差*10000)/365の期間平均値 |
合計スワップ |
\42,551 |
\42,808 |
\42,794 |
\42,694 |
\42,478 |
\42,239 |
\41,949 |
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=スワップの期間合計値 |
HV |
14.07% |
14.88% |
18.51% |
19.30% |
19.49% |
19.91% |
20.17% |
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=STDEVP(期間)*SQRT(営業日数) |
VaR |
-9.29% |
-10.20% |
-14.72% |
-15.62% |
-15.72% |
-16.15% |
-16.38% |
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VaR |
-18.03% |
-19.07% |
-23.72% |
-24.74% |
-24.97% |
-25.52% |
-25.85% |
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=NORMINV(1-信頼区間,HV) |
SF確率(0%) |
26.72% |
27.56% |
31.35% |
31.83% |
31.75% |
31.89% |
31.94% |
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予想下落値幅 |
-2.56 |
-2.47 |
-2.38 |
-2.36 |
-2.39 |
-2.26 |
-2.53 |
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=期間終値*VaR |
予想最低レート |
11.66 |
10.49 |
7.66 |
7.17 |
7.19 |
6.61 |
7.27 |
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=期間終値+予想下落値幅 |
予想上昇値幅 |
2.56 |
2.47 |
2.38 |
2.36 |
2.39 |
2.26 |
2.53 |
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=期間終値*ABS(VaR) |
予想最高レート |
16.79 |
15.44 |
12.42 |
11.89 |
11.97 |
11.14 |
12.34 |
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=期間終値+予想上昇値幅 |
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1年 |
2007/9/1 |
2007/10/1 |
2007/11/1 |
2007/12/1 |
2008/1/1 |
2008/2/1 |
2008/3/1 |
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2008/8/31 |
2008/9/30 |
2008/10/31 |
2008/11/30 |
2008/12/31 |
2009/1/31 |
2009/2/28 |
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平均値 |
14.81 |
14.57 |
14.01 |
13.43 |
12.82 |
12.28 |
11.90 |
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OANDA終値ベース |
最高値 |
17.68 |
17.68 |
17.65 |
16.78 |
16.50 |
15.02 |
15.02 |
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OANDA終値ベース |
最安値 |
12.02 |
12.02 |
8.40 |
8.40 |
8.40 |
8.40 |
8.40 |
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OANDA終値ベース |
変動率 |
31.99% |
31.99% |
52.42% |
49.96% |
49.10% |
44.09% |
44.09% |
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=(最高値−最安値)/最高値 |
平均金利差 |
10.54% |
10.70% |
10.87% |
11.05% |
11.15% |
11.23% |
11.23% |
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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 |
\42.54 |
\42.54 |
\41.57 |
\40.54 |
\39.04 |
\37.67 |
\36.61 |
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=(終値*金利差*10000)/365の期間平均値 |
合計スワップ |
\15,571 |
\15,570 |
\15,213 |
\14,837 |
\14,287 |
\13,788 |
\13,364 |
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=スワップの期間合計値 |
HV |
16.50% |
18.40% |
26.23% |
27.41% |
27.81% |
28.41% |
28.85% |
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=STDEVP(期間)*SQRT(営業日数) |
VaR |
-10.60% |
-12.87% |
-22.74% |
-24.08% |
-24.49% |
-25.19% |
-25.74% |
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VaR |
-21.14% |
-23.58% |
-33.61% |
-35.13% |
-35.64% |
-36.41% |
-36.97% |
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=NORMINV(1-信頼区間,HV) |
SF確率(0%) |
26.14% |
28.04% |
33.92% |
34.34% |
34.42% |
34.64% |
34.85% |
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予想下落値幅 |
-3.01 |
-3.06 |
-3.38 |
-3.35 |
-3.41 |
-3.23 |
-3.63 |
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=期間終値*VaR |
予想最低レート |
11.22 |
9.91 |
6.67 |
6.18 |
6.17 |
5.64 |
6.18 |
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=期間終値+予想下落値幅 |
予想上昇値幅 |
3.01 |
3.06 |
3.38 |
3.35 |
3.41 |
3.23 |
3.63 |
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=期間終値*ABS(VaR) |
予想最高レート |
17.23 |
16.03 |
13.42 |
12.88 |
13.00 |
12.11 |
13.43 |
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=期間終値+予想上昇値幅 |
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