這篇論文的主要研究目的是將Campbell et al. (2010) 提出的資產的外匯風險避險技術，應用於全球共同基金市場。本文以臺灣、北美、歐洲、日本共同基金市場為例，在原文的基礎上進行延伸，做樣本外測試，來測試匯率與股票市場報酬率波動的相關性是否有足夠的持續性以降低未來的風險。我們發現雖然Campbell et al. (2010)的反技術無法有效降低共同基金投組換算為台幣的波動度，卻能顯著提高了投組的整體收益。此外，文章也採用實際遠期外匯的資料來取代利率評價假說隱含的3個月遠期外匯資料，並發現一致性的結果。

This thesis focuses on applying the hedging technique of Campbell et al. (2010) to the global mutual funds market. We conduct an out-of-sample analysis in Taiwan, the United States, Europe and Japan to find out whether the correlations between exchange rate and stock returns are stable enough that historical estimation can reduce the portfolio risk in the future. Our empirical results show that Campbell et al.’s hedging technique does not appear to be able to significantly reduce the out-of-sample volatility of mutual fund portfolios selected by using the Hsu. Hsu, and Yen (2014) Generalized Step-SPA test. However, using Campbell et al.’s (2010) technique does improve the overall returns of the portfolios of selected mutual funds. In addition, we replace the theoretical 3-month forward exchange rates implied by the interest-rate parity by their market data and find consistent results.

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