TWI326053B - - Google Patents

Description

1326053 IX. INSTRUCTIONS: [Technical field of invention] The present invention relates to an asset allocation and portfolio performance evaluation system, in particular to an investment management that is easy and good in the most rigorous investment process and risk management environment. And to ensure the best decision-making quality, and significantly reduce the workload and labor costs, create the highest value-added asset allocation and portfolio performance evaluation system. [Prior Art]

There are many kinds of traditional investment and wealth management systems. Take the portfolio analysis system (PortfolioWork) as an example. There are still the following shortcomings in the use: 1. The investment analysis and calculation system does not have the performance evaluation and comprehensive indicator functions. 2. The investment analysis and calculation system carries out the asset allocation of one layer, and does not provide the asset screening function. The user needs to input the assets to be configured into the system by itself, and then submit the analysis and calculation system to provide the optimal configuration ratio. 3 · The ungroup analysis and calculation system will limit the number of assets in the risk budget, and preset the total variability of the historical Alpha between the funds as 〇, such a preset state will cause the risk to expand, and the efficiency of the leading edge decline. 4 The analysis of various parameters of the trial calculation system (for example: asset, expected return rate of the index, expected risk, expected return of the asset, and risk of the heart) allows the user to adjust itself, resulting in various parameters requiring the user. It is very inconvenient to enter your own assets or funds when you want to invest. It can be seen that there are still many designers who lack the goodness of the above-mentioned investment and wealth management system, and they need to be improved. In view of the above-mentioned investment and financial management, the inventor of this case has made innovations and innovations, and after many years of painstaking research, he successfully developed and completed the asset allocation and portfolio performance evaluation system. 1326053 [Description of the Invention] The object of the present invention is to provide a flow of complete investment decisions, and to implement the concept of risk budgeting in asset allocation, to assist users in selecting investment targets with excellent performance and stable style, and constructing the most Appropriate portfolio • Asset allocation and portfolio performance assessment system. The second objective of the present invention is to provide an investment performance that can instantly monitor a portfolio - an asset allocation and a % portfolio performance evaluation system for the user to grasp the performance of the portfolio at any time. Another object of the present invention is to provide an easy investment management and ensure the best decision quality in the most rigorous investment process and risk management environment, while simplifying the user's work burden and labor cost, and creating the highest add-on. Value asset allocation and portfolio performance assessment system. The asset allocation and portfolio performance evaluation system that can achieve the above object includes: - an asset allocation unit that assists the user in strategic asset allocation; the user can first set cash, equity, fixed income, etc. The investment ratio limit of the asset class and the investment area. When the setting is completed, the system will automatically determine the optimal investment ratio. A risk budget unit has the following functions: ' (1) Assist users in sub-category asset allocation The user can set the investment ratio limit of the sub-category assets under each asset class, and the system can determine the optimal investment ratio for the user; (2) assist the user in the manager configuration; the user can decide the conditions for screening the fund. The system can select the investment target with good performance for the user, determine the optimal investment ratio, and improve the allocation efficiency; (3) Dismantle the active risk to allow the user to better understand the source of the risk; 6 1326053 (4) Predicting the proactive operational performance of the portfolio in the future; a performance evaluation unit, the performance The function of the evaluation unit is as follows: (1) Help users to measure the style stability of the portfolio and ensure that its personality can be close to the user's needs; ', (2) Provide users with multiple reward rate based performance measures and indicators time interval To provide the most complete and correct assessment for the user's investment group; (3) Monitor the user's portfolio performance at any time to achieve immediate management; Double-integrated evaluation indicator unit, the function of the comprehensive evaluation indicator unit is as follows: 1) Convenient factor laboratory, which provides 4 kinds of indicators such as operation ability, kinetic energy and expense rate, 26 performance indicators and more than 6 factors, and more than 111 performance factors. Significant test to find out the factors that can really affect the return on investment; (2) Comprehensive indicators of customization; customers can combine various effective factors into a comprehensive

Combine the indicators to select the best performing group of investment targets and form an investment portfolio. X [Embodiment] Please refer to FIG. 1 , which is an architecture diagram of the asset allocation and portfolio performance evaluation system provided by the present invention, mainly in an application server i (or Ap server ) t storing an asset configuration unit , the risk budget unit, the risk budget unit and the comprehensive evaluation indicator unit, and the application server is connected with a database word server 2 (DB Server), the database word server 2 is not open to the outside, only accepts the application The application server responds to the request and responds to it; in addition, the administrator of the application server 1 and the database server 2 manages the application server i only when necessary (such as putting data or modifying data and updating programs). Database server 2, the company administrator can not connect to the user's computer. User 3 (which can be a financial manager) communicates with the application 7 1326053 (4) = device i via the Internet 4, so that it can download the update program U and request the application server 1 to request the data from the (4) library server 2 and use it. The 3 sufficiency method directly requests the data hanbok 2; the application ship i will respond to the user's request upon receiving the user's request, and return the data after requesting the data from the database feeder 2 Give the user 3. The user 3 connects to the application server through the Internet 4 to perform asset allocation through the asset configuration unit's risk budget unit, risk budget unit and comprehensive evaluation indicator unit in the application server: For the performance evaluation of the portfolio, the functions of each unit are described as follows: Please refer to Figure 2A, which is the operation flow chart of the asset ge< unit, as shown in Figure 2A, the asset configuration unit mainly assists the user. Strategic asset allocation, in operation, the user first turns into the asset information 101 to be invested by himself; then, the target rate of return and the type of asset to be invested are selected. 102. Finally, the cash asset selection setting is set to 1〇4. The fixed income asset selection setting 105 and the equity asset selection setting are set to 1〇6; when the setting is completed, the system will display the strategic asset allocation efficiency leading edge chart, strategic asset allocation chart and strategic asset allocation summary table. Referring to FIG. 2B, it is the actual operation interface diagram of the asset configuration unit of the present invention. After logging in to the main screen of the system, first, please select the asset list drop-down menu of the upper toolbar and select the policy asset configuration. Figure 丄B shows the screen, then enter the # estimation period data, and then press the query evaluation time button. 'The left side of the window will appear the return and risk (Risk) of each asset category during this evaluation period, user 3 It can be used to determine which asset class meets its investment needs. Next, enter the minimum expected (annual) rate of return, assuming 6% as an example, and the number of investment groups evaluated is assumed to be 30 groups. The number of investment groups of 3〇 indicates that in addition to the recommended optimal portfolio, the system will also show 30 portfolios at the edge of efficiency 8 1326053. As shown in Figure 1c, in the Jingjing 4 Cheng # & User 3 can select the performance of each asset class during the period, ^ ^ μ -r- TM ^ and each category of assets, and set the investment area and ' Shell table:. Right, the domestic investment area of equity assets is set as a weighted index, and the user is not listed in the equity of the equity. Therefore, the number of selected pots and corpses is added: the second time to invest in domestic listed stocks. The number is the private number. If the domestic investment of equity assets = ... investment ceiling of 7〇% 'investment lower limit 2: gold (four) investment in assets, but the maximum not exceeding the total capital of two means not investing in such assets... please use the law.贞&Bei lower limit should not be greater than 100%, otherwise the system is not, as shown in Figure-D. When user 3 sets the above options, you can press::: efficiency front edge map new system can be generated Efficiency front map and recommended cast = system (system configuration point). Here, the user can notice that the system configuration point is not at the efficiency front @, because there is no limit on the investment upper and lower limits of each point on the efficiency front configured by the system, that is, the 〇 〇 〇 Between the 'and because the investor has limited the assets in the asset allocation conditions, the upper and lower limits of investment, so the system configuration point can not fall on the efficiency front, but the system configuration point is still in compliance with all user conditions. The most efficient point produced. In addition, when the user moves the cursor to the efficiency front, you can view the reward, risk and configuration ratio of the portfolio represented by each point. The user can click the mouse at any point of his preference, and the configuration result will be Displayed on the right, as shown in Figure 2D, self-configuring 9 and self-configuring 1〇. If the user wants to get the configuration result of all the portfolios, press the export to excel button, the system will generate a block containing all the configuration results, which is convenient for the user to analyze. After viewing the various portfolios, users can select the portfolio to be invested in the right " party list and press the confirmation round. If the user 9 1326053 is not satisfied with all the g-sets & generated by the efficiency front, you can also press the left condition (4), go back to the previous page and press the re-configure button to clear all settings. Decide on the input criteria. As shown in Figure 2E, after the user 3 presses the confirmation output button again, the system will generate the policy 'sex assets', then the user 3 can also click on the tool bar asset configuration component drop-down menu above the system. The strategic asset configuration table can also see the strategic asset configuration output.

As shown in Figure 2F, then click on the Toolbar Risk Budget drop-down menu above the system to select the Asset Allocation Summary to see the results of the strategic pledge configuration that the user has just completed. Through the clear presentation of quantitative figures, users can better understand the weight of their portfolios and the individual rewards and risks of their assets at the self-configuring points selected by strategic asset allocation. In addition, the risk budget unit can assist users in sub-category asset allocation and detailed configuration, so that users can further select sub-category assets and detailed assets investment projects, after completing the asset allocation of these two phases. As a result, users can better understand the sources of risk of investment and effectively control them. 帮 纟 纟 纟 可 可 可 可 Θ Θ Θ Θ Θ Θ Θ Θ Θ 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选 挑选Configuration efficiency. The following is an explanation of the operation process of the risk budget unit. As shown in Figure 38, the user can select the sub-category asset 2〇1 (which can be set by asset allocation or self-input asset allocation), or select Determining the detailed assets of the investment target 2G2 (can be set by sub-category f or self-input asset allocation) to obtain a good asset list; then, advanced setting, including the selection style, to calculate Benchmark' and risk parameter setting determine the degree of risk avoidance 2〇3; then ^ from the given investment restrictions and sub-category assets, try to calculate the most suitable portfolio to get the asset allocation efficiency frontier map, asset allocation pie Figure, best match 1325053 map and asset allocation summary table 204, · Finally, analyze the source of risk, the risk source includes disassemble the active risk and forecast alpha 'to get the risk breakdown map and alpha prediction chart 205. Please refer to Figure 3B to Figure 3G for the actual operation and flow chart of the sub-category asset allocation. The investment fund of the sub-category asset allocation adopts the core satellite strategy (see Figure 3B). In the strategic asset allocation, it is decided to use Taiwan's listed stocks and stocks as the core strategy, and then match with characteristic stocks, such as small and medium-sized stocks, electronic stocks 2, value stocks, and Chinese concept stocks, to increase investment by including featured stocks. φ = expected return of the shell combination. The core strategy—the benchmark index of Taiwan-listed stocks is the Taiwan-weighted index. The benchmark indices for small and medium-sized stocks, electronic stocks, value stocks, and Shenguo concept stocks are Taiwan’s 1〇〇, electronic index, and value. Type index, medium stock index. In the allocation of sub-category assets, it must be close to or in line with the nature of the index index selected in the strategic asset allocation. If it is far apart, it may lead to a distorted portfolio, which not only loses the intention of risk budget, but more likely The architecture that affects asset allocation exposes users to more than expected risks. For example, if the target index selected by the strategic asset is a weighted index, but the weighted index is not selected in the sub-category, or a large amount of investment in a single characteristic stock will greatly increase the user's misplacement. risk. After completing the strategic asset allocation, and then at the top of the system, the tool list risk π pulldown 31 single point selection risk budget configuration, 胄 will produce i category risk budget - screen, then click on domestic equity assets As shown in the third C, the next step is to press the left side of the window to display the selective active reward (Abha) and active risk (Active Risk) calculated by each asset class during this evaluation period. Which asset class meets its investment needs and sets the upper and lower limits of the investment pole. After checking the asset category and individually setting the upper and lower limits of the investment, please press the trial efficiency front map button to generate the ^26053 efficiency leading edge map of the domestic equity asset. Then, as shown in Figure 3D, press the trial efficiency front map, the system will generate the political front map and the proposed investment portfolio (system configuration), and when you use the cursor to move to the efficiency front, you can watch The reward, risk and configuration ratio of the investment represented by each point, the user can click the mouse at any point of his preference, and the configuration result will be displayed on the right, as shown in Figure 3D. 16 » Right If the user wants to get the configuration result of all the portfolios, press the export to excel button, the system will generate a file containing all the configuration results, which is convenient for the user to analyze. After viewing the various portfolios, users can select the portfolio to be invested in the list on the right and press to confirm the output. If the user is not satisfied with all the configuration results generated by the efficiency leading edge, you can also press the left conditional wheel button to return to the previous screen, then press the reconfigure button to clear all settings and re-determine the input conditions. As shown in Figure 2E, after pressing the confirmation output button, the system will generate the sub-category risk budget resource list, or click the sub-category risk budget configuration table in the toolbar risk risk component drop-down menu at the top of the system. You can also see the sub-category risk budget configuration table. In the table, the user can see the efficiency leading edge graph, the pie pie chart, the risk decomposition map, and the optimal configuration map at the same time. At this time, the user's selected point is displayed on the efficiency leading edge map, that is, the self-configured point confirmed by the user in Figure 2D, and the pie chart of the percentage of each asset of the self-selected point can also be seen. There is also a risk decomposition map to disassemble the risk to let the user understand the source of the risk. Finally, the best configuration map allows the user to understand the relationship between the weight of each asset of the user's selected point and Alpha. In addition, as shown in Fig. 2F, the user can select the switch face to the alpha prediction map on the right hand side of the sub-category risk budget resource list screen. The value forecasting chart can help users understand the probability and stability of the active return alpha value generated by the system or through your choice after completing the a 12 1326053 asset allocation of the domestic equity asset. Then, as shown in Figure 3G, click the Toolbar Risk Budget drop-down menu above the system to select the asset allocation summary table to see the interface of Figure 3G. Through the clear presentation of quantitative figures, users can better understand the weight of each asset they choose from their own allocations and the individual portfolios and active risks. ^User 3 After completing the sub-category asset allocation of domestic equity assets, the sub-category asset allocation of foreign equity assets is also carried out according to the same operation method. Therefore, users are referred to the sub-category assets of domestic equity domestic equity assets. Configure sub-category asset allocation for foreign equity assets. In addition, the actual operation description of the detailed risk budget asset allocation is as follows: In the detailed assets, the investment fund still adopts the core satellite strategy to passively operate the finger (4) the fund is Xiao Xin Ce < and then cooperates with the active operation. As shown in Figure 3, assume that the current core satellite strategy is shown in Figure 3H. The a^ weight index is a passively operated index fund, and it is also a sub-category risk. At the time of the budget, we chose the η's operation fund including A fund, B fund and c fund, ^ Λ Γ '^ letter is the process of optimizing the production by #, according to the A fund, the risk during the evaluation period Remuneration to determine the domestic strategy of the investment group's domestic rights = 1 = weighted index as the standard index of the satellite strategy, η asset allocation process is called the core: the production of a little bit of this table can be dismantled the core portfolio (also The risks and rewards of the Taiwan Weighted Index, which has just been called: the weight of the risks and rewards of the proactively operated funds, which are just known as the funds, the funds and the C funds. The risks and rewards of the technology combination are due to the inclusion of a good performance of the active record bundle, and the purpose of the top side, and then the expected return of the body portfolio. Inappropriate investment funds can start when screening good funds, respectively, fund kinetic energy indicators, fund fees;:: selection conditions to style stability, fund operation ability indicators, =; standard: efficiency indicators, line introduction. < Knowing that the following will be used for the screening of these two conditions: the generation refers to the inclusion of -_ at a F-(four) rate of accumulative total compensation, the total remuneration of the fund. The fund utilization rate is similar to the fund expense rate indicator table. The screening criteria for this ^ is ^ performance indicator, and the screening criteria are those of the past 20 months with the top 20 and Alpha. The time interval represents the time from _Γ二曰曰: the time before the day is estimated. For example, the evaluation period is the taste of the month until December 31, 2004. The user has selected one, the distance and the top two. The performance of the name refers to the user who wants to be represented by the December 31, 2004, for the persuasion to make 20 ^ ΛΛ. Thousands of February 31 in the 刖 刖 一个 一个 一个 一个 一个 一个 一个 一个 一个 ° ° ° ° ° ° ° ° ° ° ° ° ° ° ° ° On the left hand side, choose the asset class with the face class. For a long time ## & F ~ I am the same, ϋ旌Λ, u The active reward is 113, but the calculation of a is based on time interval # If the time interval is a $4 wa°/different month for AlPha, and the sub-category asset allocation Alpha is to calculate the active compensation of each asset from the entire evaluation period, and ^f hand to generate funds for each fund Alpha also # used to go to the S evaluation period. In the advanced options, as shown in Figure 3J, you can also enter the number of investment groups to be evaluated and the optimal manager configuration. As shown in Figure κ from 4 - no, after pressing the confirmation output button, the system will generate a fine 1 configuration table, or click the - category risk budget configuration table under the tool column risk budget component above the system, the user The sub-category 14 1326053 risk predisposition configuration table can be seen. As shown in Figure 3L, the user can see the efficiency front map, the pie chart, the risk decomposition map, and the best configuration map at the same time. At this time, the user's selected point is displayed on the leading edge of the efficiency, that is, the self-configured point of the output recognized by the user in the figure, and the pie chart of the percentage of each asset of the self-selected point can also be seen. In addition, there is a risk decomposition map to disassemble the risk to let the user understand the source of the risk. Finally, the best configuration map allows the user to understand the relationship between the weight of each user's selected point and the Alpha.

In addition, as shown in Figure 3, the user can select the switching screen to the Alpha prediction graph on the right hand side of the sub-category risk budget tab screen. A^ha value=measurement chart can help users understand the probability and stability of the active compensation alpha value generated by the system after the completion of the sub-category asset allocation of domestic equity assets. degree. Then, as shown in Figure 3N, click on the toolbar risk budget above the system: pull the menu, select the asset configuration summary table to see the interface of Figure 3. Through the clear presentation of the digits, the user can better understand the assets of the selected self-configure point # the weight of the entire portfolio and the (4) active remuneration and active risk. Therefore, the correct risk budget unit can strictly control the portfolio risk to ensure the stability of compensation. And core satellite operations strategies can increase assets: efficiency' and avoid over-proactive risks. In addition, by measuring the operational performance of the active managers with appropriate and standard indicators, the three-stage optimization method with the active operation > ^ force is made to optimize the performance of the portfolio (optimal 3, ... stocks, debt ratio, Optimize the characteristics of the composition of the right; the optimal allocation of managers can reduce investment risks, improve expected returns, and strengthen the contribution of active compensation. Deaf people, performance (four) single style index as the leader's investment I reduction, provide the most correct (4) Effectiveness (4) Scale and balance the style stability of the f-combination through style analysis to ensure that the portfolio can meet the needs of users 15 1326053. In addition, 14 kinds of fine-based performance measures and indicator time intervals are provided for users. The most complete and correct evaluation of the cooperation of the group f. With the real-time supervision, the single-sense monitors the performance of the user's portfolio at any time, as shown in Figure 4A, which is a flow chart of the performance evaluation unit. First, the risk budget can be It 401 or self-delivering detailed asset allocation data to carry out the standard index setting; t, for style analysis, and reach ^ Jue Base ^ analysis 4 〇 4 and the real monitoring unit his eyes ; The Department of Ret grade Based Analysis

Using the rate-based analysis, the performance evaluation of the group is conducted to generate a list of each evaluation indicator; the immediate monitoring unit monitors the immediate performance and issues an alarm, which can generate an immediate monitoring alarm graph. Figure and real-time monitoring report. As shown in Figure 4B, when assessing fund performance, the style should first be analyzed to determine or calculate the appropriate benchmark index so that a single fund can be correctly analyzed and multiple funds can obtain a fair benchmark. . In pRiss, we introduce the Style Path of the foreign company for a long time, and analyze the characteristics of the fund by the two dimensions of “company scale”, “value/growth”, for example, when the fund holds more publicly-valued stocks. At the time, its style will fall into the upper left corner. In addition, St-path can also present the style change of the fund. As shown in Figure b, the fund manager has just started to hold m growth stocks (rounded by υ, 7th _ turn to hold small value stocks (circle 7), 丨7 The period will be transferred to hold medium-sized growth stocks (circle 17), and the most will become wide-value stocks (Yuan 18). If the fund features a sharp drift, it may symbolize that the turnover rate during the period is too high, implying transaction costs. Increase, and because the same style category has different reward risk characteristics, investing in a fund with unstable style will make the user deviate from the expectation' and then bear unnecessary as shown in Figure 4B, where V represents the value stock , G stands for growth stocks, - mixed negative stocks and growth stocks; L stands for large stocks, s is small stocks, Μ 16 丄 is υ:) 3 is a medium stock; the number in the circle indicates the number of periods. Foundation: Figure, Ί C is t ′ is a Retum Base analysis table, which uses the rate of return and #效二炉^丁投组 performance evaluation. The user is free to choose the time interval of the gold: the meaning of the door table is the period of the period during which the base period of the previous period is estimated during the evaluation period. Therefore, it is reasonable to know which time-to-time user can freely decide which of the two periods of the length of the operation, the results of the results of the fruit and mind, these performance indicators can be two Analytical tables, through Ret_based analysis, help to see the performance of the performance indicators at selected time intervals, further helping users to judge the performance and performance of the fund. Figure 2: The two kilograms show the system as an immediate monitoring alarm map and the cumulative rate of return. The main purpose is to “immediately, the dynamic investment group 22 is to use the information ratio (Inf〇_- R-) and accumulation

The manager's -6,-atm-remunity directly observes the force of the active fund f* rationale, in order to instantly reflect the performance of the syllabus _ / X 槎 4i "Inviting A to reflect the performance of the H-Bike combination, and When the police can be inspected, the fund manager should review the adjustment of the “I” in the case of the omission, and reduce the risk of continuing losses. In addition, the manager’s S can also be used for pre-screening to determine whether the fund has the performance ability of over-reward in the second period of the US. The lack of active tactics can also be derived from the prime. Differentiate the above two factors: the monitoring alarm map can set the police to perform poor performance: the vertical axis of the number is w' for the maximum loss and the high rate of a fund during the period of the period, the next - The period is reset to zero and then::: After 2nd and 2nd, there is an increasing trend, which means that the fund manager has the ability of the two active portfolios. At this time, the system will issue a real alert. The user can select this segment. A deep analysis of the period of poor performance. 17 1326053 As shown in Figure 5A, a comprehensive review Indicator unit flow indicator unit 50! Mainly the analysis fund is significant: ::3J The analysis fund is significant, can find out the fund is not: (2) 2 = explanatory ability indicator, which can produce significant times: gold: group test 5. 3' The system combines the significant indicators to form a comprehensive indicator oral test, which can produce a narrative statistical scale and a group cumulative return rate table. Ding knife analysis _, the following points: mother = = analysis, to verify the significant deviation of the indicators in each period Two confidence levels under the 'Return_based indicator category + _, two

Ala sets the indicator 'and the operating capacity index's -year True η, (the number of real alarms)' to explain whether the domestic stock fund will have a future rate of return, then the fund's saliency analysis can be used. Since some funds exist for a short period of time, it will not be possible to calculate, for example, the establishment of a fund for the period of June 1999, in the heart of the law: the month, because the duration of the fund has not expired - year, in In the heart of the year, TrueAi follows the indicator. In order to avoid this situation, in the analysis of the door, the user can request the fund to analyze the 基金, and can also set the fund to go back to the analysis before the start of the analysis. In this case, the indicator to be tested is one or three standard time interval is one year, so the True αι_ indicator 'the longest month refers to the figure shown in Figure 5C and Figure 5D' Fund saliency analysis actual operation 1326053 interface diagram, Figure 5 c selects the fund interface, the user selects the analysis period first, selects the backtracking period, then selects the rate of return type, and then selects the fund category to be analyzed. To show the fund category After the list of funds, after confirmation, = the next step, enter the selection indicator interface of Figure 5D. The selection indicator interface f is used to select the test indicator category, select the test index and select the significant level. After ^: you can press the next step' For the analysis of the results, a monthly cross-sectional simple regression analysis is performed for the selected indicator and the monthly return rate of one month to verify the significant situation of each month in each month. In this embodiment, the analysis period# 2〇〇〇/1/1~2〇〇4/12/31 'A cross-sectional regression is made at the end of each month, as the last-month return (20-year-and-four-year) will be used 2〇〇 The monthly remuneration for the five-year month, but not in the analysis period in January 2005, can not be calculated, so only the pen and the categorization. The progress-based statistics of the indicators in 59 months, how many months are significant, such as Figure 5E One month's August 1 indicator, the total of "months" is significant after making judgments. As shown in Figure 5, the actual operation interface diagram of the fund cluster test, when it is determined that those indicators have significant explanatory power for future compensation, can be further synthesized into a comprehensive indicator. Taking the above-mentioned fund saliency analysis as an example, one or three _ month Ulpha indicators and IR indicators have at least one-third of the time with a .4 significance, so the four indicators can form a comprehensive index, and The comprehensive indicator score calculated in February of the year is used as the basis for grouping, and the performance of each fund group from January 2005 to February 2005 is calculated. ' * ▲ As shown in Figure 5 F, when some funds are too short, they will not be able to count longer-term targets. For example, the establishment of a fund is 2 years in the last month, in 2004, 1 It will not be possible to calculate the three-month indicator in February. In order to avoid this situation, when the fund group is backed up, the user can request the sample fund to survive during the measurement period, and the fund can be set back to the beginning date of the analysis date. Time will also persist. In this case, the finger to be tested 19 1326053 T is: AIpha, IR indicator of the picture:::, the longest indicator time interval is three in the period of 2〇04 9 / the retrospective period is set to three months' That is, the sample fund is required to exist from τ yy to November 2004. Figure 5. G VIII This interface selects the selected fund interface map for the t-fund group test. The user can analyze the λ gold group period and the back-test time and select the back-track time and choose the second choice: get? After the fund list is confirmed, press - step, do not, check in white! As shown in Figure 5, you can select the test indicator class.

A cow customizes the comprehensive indicator name and selects the test indicator. After confirming, press the 2^^51 to enter the group selection mode to select the points ^ ^ Select each group distribution percentage setting, select each group score setting疋, to determine the number of funds corresponding to each group, after determining, according to the next step, as shown in Figure 5, you can get the preliminary grouping of the preliminary grouping results and the average value of the two points, then, as shown in Figure 5. κ shows that the system enters the average score of the group and the most 2 group interface to know the results after averaging, the final grouping, the final grouping, and the results. Finally, as shown in Figure 5L, the system enters the full back test. The experimental interface map is used to obtain a selection comparison index, select a cumulative rate of return (monthly or quarterly cumulative rate of return), a narrative statistic, and a group cumulative rate of return map. In addition, when the user's external remittance function in asset allocation, risk budgeting, and performance evaluation may not be remitted to the PRISS system due to incomplete information, the user has designed an import data patching system, such as When the encounter is encountered, the data will be filled by interpolation. In addition, the system provides eight different panel types, and users can freely change the panel. The asset allocation and portfolio performance evaluation system provided by the present invention has the following advantages when compared with other conventional technologies: 1. The invention can plan a complete investment decision-making process and implement the concept of risk budgeting in asset allocation. In order to help users select the investment targets with excellent performance and stable style, the most suitable investment portfolio is constructed. 2. The present invention is capable of monitoring the performance of the portfolio at any time by monitoring the portfolio immediately. Beizheng users 3. The invention is based on the most rigorous investment process and risk management

Song is doing a good job in investment management, and it is necessary to fight for it. Ma brothers U guarantee the best quality of the decision, while simplifying the user's work load and labor costs, creating the highest added value. DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENT(S) The detailed description of the present invention is not intended to limit the scope of the invention. In the scope. 'In summary, the case is not only innovative in terms of technical thinking, but also able to enhance the above-mentioned multiple functions compared with conventional articles. It should fully comply with the statutory invention patent requirements of novelty and progressiveness, and apply in accordance with the law, and request your approval. This invention patent application, in order to invent invention, to the sense of virtue. [Simple diagram of the diagram] Figure 1 is the structural diagram of the asset allocation and portfolio performance evaluation system of the present invention; ', Figure 2A is the flow chart of the asset allocation unit of the asset allocation and portfolio performance evaluation system of the present invention; F is the operation interface diagram of the asset allocation unit of the asset allocation and portfolio performance evaluation system of the present invention; Figure 3A is a flow chart of the risk budget unit of the asset allocation and portfolio performance evaluation system of the present invention; Figure 3B~N is the asset of the invention The risk budget unit operation interface diagram of the configuration and portfolio performance evaluation system; Figure 4A is the flowchart of the performance evaluation unit of the asset allocation and portfolio performance evaluation system of the present invention; 21 1326053 Figure 4B~D is the asset allocation and investment of the present invention The performance evaluation unit operation interface diagram of the combined performance evaluation system; Figure 5A is the flow chart of the comprehensive indicator unit of the asset allocation and portfolio performance evaluation system of the present invention; and Figure 5B~L is the asset allocation and portfolio performance evaluation of the present invention The system's comprehensive indicator unit operation interface diagram. [Main component symbol description] 1 application server 2 database server 3 user 4 internet

twenty two

Claims (1)

1326053, the scope of application for patents. An asset allocation and portfolio performance evaluation system, including an application feeding device and a database feeding device, the application feeding device can obtain information from the database service H and return To the user, the user can communicate with the application server through the Internet. The application (4) stores: an asset configuration sheet S' is a layer-by-layer selection asset configuration, and: rewards/risk Under the target, from top to bottom, by various performance indicators, first: the corresponding index or fund of the tribute, after the completion of the strategic asset allocation, and then according to the various active performance indicators, determine the next under each strategic asset. The corresponding index or fund of the class, the mode used by the strategic asset allocation is the default cash, equity, and fixed income; 1: Γ pre-early 70', the system configures the sub-category and the detailed assets, and must consider the t-production (4) The weight of the heart (four) reward / riding index, from top to bottom, the link between the two layers: the standard index, the wind 柊 柊 4 Μ 相关 相关 相关 相关 相关 相关 相关 : 相关 相关 相关 相关 进行 进行 进行 进行 进行 进行 进行 进行 进行 进行 进行 进行 进行 进行 进行 进行 进行 进行If you will take the initiative 2: the expected compensation/risk of the layer 'lower layer to the upper layer = total allocation weight; the responsibilities of the 隹 合 合 产 f f 估 ' ' 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其 其The performance indicators and the changes in weights, including style analysis and monitoring analysis, the style analysis system to understand the evaluation of the style of investment or detailed assets, Zhao A and '·, 旳 style% 疋 status, the use of a mathematical model The number of styles is used as a standard for the classification of portfolios or detailed asset styles. The regression model is used to determine the weight of each style. The monitoring analysis is based on the mathematics of statistical quality control. S detection found that the operation of the investment group or fund 23 326053 performance is not as good as the standard index, this function will be issued under various threshold settings, the user can immediately adjust the investment, avoiding the backwardness of the index The distance is increased;; 1 comprehensive evaluation index unit, which first confirms whether the indicator has a significant explanatory power for the future rate of return of the set-category assets according to the mathematical verification mode. The method used is to regress and correspondingly check the corresponding indicators and future returns of the sampling funds in the set evaluation period, and then verify the significant ratios after confirming the 70% of each period, and confirm the impact on the various types of funds. The indicators of performance are then defined by the indicators that significantly affect performance, the percentages and scores of each group are assigned, and the overall average score is converted, and the ranking and final performance grouping are performed. 2. For the asset allocation and portfolio performance evaluation system described in item 1 of the patent application scope, after the asset allocation unit is set, the strategic asset allocation front map, strategic asset allocation pie chart and strategy are adopted. The summary of the asset allocation is displayed. 3. If you apply for a patent range!资产 described asset allocation and portfolio performance φ evaluation = system, where the risk budget unit is used to set the investment ratio limit of the sub-category assets under each asset class to determine the most suitable investment ratio, and in the total compensation / risk Under the target, control the active risk of the investment. 4. For the asset allocation and portfolio performance evaluation system described in the scope of the patent scope, the risk budget unit will split the risk into selective risk and misplaced risk after the risk budget: user It will be better to know whether the proactive risk source of the configuration investment is from the performance of the manager, or from the differential allocation with the benchmark index, and the key risk sources can be reviewed or adjusted in the future. 24 5. If the asset allocation and investment portfolio performance evaluation system described in the patent application section is applied, the fund group selected by the evaluation unit of the Φ兮h person's bee', γβ, Μ ', ▲纟The Beizheng back-testing model is based on the continuous comprehensive index, and further calculates the average performance of each group of funds in the time of the flat assessment. It is judged that the performance of the eight groups is indeed better than the last group, that is, the judgment Whether the setting of the cattle 2 group is better, if it is affirmative, then the user, that is, the town, / v, uses the first group of funds as a reference for investment assets. 25