| 1000通貨単位の南アフリカランド投資でFX資産運用 |
|
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 |
99.0% |
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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 |
|
備考 |
| 期間終値 |
14.22 |
12.97 |
10.04 |
9.53 |
9.58 |
8.87 |
9.81 |
|
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 |
|
OANDA終値ベース |
| 最高値 |
23.56 |
22.56 |
21.83 |
21.65 |
20.41 |
20.41 |
20.41 |
|
OANDA終値ベース |
| 最安値 |
9.64 |
9.64 |
8.40 |
8.40 |
8.40 |
8.40 |
8.40 |
|
OANDA終値ベース |
| 変動率 |
59.09% |
57.26% |
61.53% |
61.22% |
58.86% |
58.86% |
58.86% |
|
=(最高値−最安値)/最高値 |
| HV |
15.78% |
15.88% |
16.86% |
17.11% |
17.09% |
17.08% |
17.17% |
|
=STDEVP(期間)*SQRT(営業日数) |
| VaR |
-36.70% |
-36.95% |
-39.23% |
-39.80% |
-39.75% |
-39.73% |
-39.95% |
|
=NORMINV(1-信頼区間,HV) |
| 予想下落値幅 |
-5.22 |
-4.79 |
-3.94 |
-3.79 |
-3.81 |
-3.53 |
-3.92 |
|
=期間終値*VaR |
| 予想最低レート |
9.00 |
8.18 |
6.10 |
5.74 |
5.77 |
5.35 |
5.89 |
|
=期間終値+予想下落値幅 |
| 予想上昇値幅 |
5.22 |
4.79 |
3.94 |
3.79 |
3.81 |
3.53 |
3.92 |
|
=期間終値*ABS(VaR) |
| 予想最高レート |
19.44 |
17.76 |
13.98 |
13.32 |
13.39 |
12.40 |
13.72 |
|
=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 |
|
OANDA終値ベース |
| 最高値 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
|
OANDA終値ベース |
| 最安値 |
12.02 |
12.02 |
8.40 |
8.40 |
8.40 |
8.40 |
8.40 |
|
OANDA終値ベース |
| 変動率 |
39.17% |
39.17% |
57.51% |
57.51% |
57.51% |
57.51% |
57.51% |
|
=(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% |
|
=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 |
|
=(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 |
|
=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% |
|
=STDEVP(期間)*SQRT(営業日数) |
| VaR |
-26.36% |
-27.19% |
-32.07% |
-33.13% |
-32.90% |
-32.80% |
-33.08% |
|
|
| VaR |
-34.73% |
-35.58% |
-40.50% |
-41.62% |
-41.44% |
-41.39% |
-41.72% |
|
=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 |
-4.94 |
-4.61 |
-4.07 |
-3.97 |
-3.97 |
-3.67 |
-4.09 |
|
=期間終値*VaR |
| 予想最低レート |
9.28 |
8.35 |
5.98 |
5.56 |
5.61 |
5.20 |
5.72 |
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=期間終値+予想下落値幅 |
| 予想上昇値幅 |
4.94 |
4.61 |
4.07 |
3.97 |
3.97 |
3.67 |
4.09 |
|
=期間終値*ABS(VaR) |
| 予想最高レート |
19.16 |
17.58 |
14.11 |
13.49 |
13.55 |
12.55 |
13.90 |
|
=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 |
|
OANDA終値ベース |
| 最高値 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.76 |
19.68 |
|
OANDA終値ベース |
| 最安値 |
12.02 |
12.02 |
8.40 |
8.40 |
8.40 |
8.40 |
8.40 |
|
OANDA終値ベース |
| 変動率 |
39.17% |
39.17% |
57.51% |
57.51% |
57.51% |
57.51% |
57.33% |
|
=(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% |
|
=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% |
|
=STDEVP(期間)*SQRT(営業日数) |
| VaR |
-23.99% |
-25.75% |
-34.06% |
-35.79% |
-36.08% |
-36.95% |
-37.45% |
|
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| VaR |
-32.74% |
-34.61% |
-43.06% |
-44.91% |
-45.33% |
-46.32% |
-46.92% |
|
=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 |
-4.66 |
-4.49 |
-4.32 |
-4.28 |
-4.34 |
-4.11 |
-4.60 |
|
=期間終値*VaR |
| 予想最低レート |
9.57 |
8.48 |
5.72 |
5.25 |
5.24 |
4.76 |
5.21 |
|
=期間終値+予想下落値幅 |
| 予想上昇値幅 |
4.66 |
4.49 |
4.32 |
4.28 |
4.34 |
4.11 |
4.60 |
|
=期間終値*ABS(VaR) |
| 予想最高レート |
18.88 |
17.46 |
14.37 |
13.81 |
13.93 |
12.99 |
14.41 |
|
=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 |
|
OANDA終値ベース |
| 最高値 |
17.68 |
17.68 |
17.65 |
16.78 |
16.50 |
15.02 |
15.02 |
|
OANDA終値ベース |
| 最安値 |
12.02 |
12.02 |
8.40 |
8.40 |
8.40 |
8.40 |
8.40 |
|
OANDA終値ベース |
| 変動率 |
31.99% |
31.99% |
52.42% |
49.96% |
49.10% |
44.09% |
44.09% |
|
=(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 |
|
=(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 |
|
=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% |
|
=STDEVP(期間)*SQRT(営業日数) |
| VaR |
-27.83% |
-32.10% |
-50.14% |
-52.71% |
-53.54% |
-54.87% |
-55.88% |
|
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| VaR |
-38.37% |
-42.80% |
-61.01% |
-63.77% |
-64.69% |
-66.10% |
-67.12% |
|
=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 |
-5.46 |
-5.55 |
-6.13 |
-6.08 |
-6.20 |
-5.87 |
-6.58 |
|
=期間終値*VaR |
| 予想最低レート |
8.76 |
7.42 |
3.92 |
3.45 |
3.38 |
3.01 |
3.22 |
|
=期間終値+予想下落値幅 |
| 予想上昇値幅 |
5.46 |
5.55 |
6.13 |
6.08 |
6.20 |
5.87 |
6.58 |
|
=期間終値*ABS(VaR) |
| 予想最高レート |
19.68 |
18.52 |
16.17 |
15.61 |
15.78 |
14.74 |
16.39 |
|
=期間終値+予想上昇値幅 |
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