Article HistoryThis paper adopts ARIMA model to explore the relationship between business performance and the fluctuation of exchange rate. The empirical results show that the impacts of the fluctuation of foreign exchange rate on the corporate performance of tourism industry are significant and different across currencies and the size of a tourism company. Furthermore, based on the framework of Kim (2013) , a modern portfolio theory proposed by Markowitz (1952) gives an optimal allocation of foreign exchange for a firm's decision-makers, which would avoid exchange rate risk exposure and thus complete the construction of enterprise risk management system (ERM) to reduce losses.Contribution/ Originality: This study contributes in the existing literature for an empirically study to form a firm-level foreign currencies portfolio which are selected by the factors that have effect on the company's financial performances and then to reduce the foreign exchange exposures.