JP2001282993A - System for deciding property distribution of portfolio - Google Patents

Abstract

PROBLEM TO BE SOLVED: To provide a fund operation method aiming at a relative profit with respect to a bench mark while the relative loss of a portfolio with respect to the bench mark is suppressed to be within a specified range in a fund operation where a indexes by which the price fluctuates with the lapse of time or a mark obtained by composting them is set to be the bench mark. SOLUTION: A means inputting or recording property data, a means inputting or recording market data and a means operating property distribution with the value of the bench mark as a reference based on inputted or stored property data and market data are installed as means constituting a portfolio property distribution deciding system.

Description

DETAILED DESCRIPTION OF THE INVENTION

[0001]

BACKGROUND OF THE INVENTION The present invention relates to an index, such as a stock index or a bond price index, whose price fluctuates over time, or a combination thereof, which is used by financial institutions, investment advisory companies, business companies and individuals. The present invention relates to a method for efficiently determining the asset allocation of the entire portfolio when conducting fund management as a benchmark.

[0002]

[Prior Art] Asset Allocation (Asset Allocation)
This means that the total amount of funds invested is appropriately allocated to various asset classes such as stocks, bonds, and cash.In general, investment environment analysis and investment This can be said to be a series of investment decision-making processes of building an optimal portfolio after conducting evaluation screening.
Conventional representative asset allocation methods include (1) investment objectives determined from a long-term perspective,
Policy Asset Allocation (PAA) that establishes an asset allocation within a predetermined risk tolerance based on constraints to be observed in investment actions, that is, investment policies.
Policy Asset Allocation or Strategic Asset Allocation (SAA: St)
rate Asset Allocatio
n), (2) By determining the relative undervalue or overvalue of the asset class using some quantitative or qualitative analysis method, and changing the asset allocation in the short term based on the determination,
Tactical asset allocation (TA) that adds value to the composition ratio by asset class formulated from a long-term perspective
A: Tactical Asset Allocati
on), (3) Portfolio Insurance (portf), which is an asset allocation method that secures the minimum value of the portfolio when the market falls
oliosurance). Changing the asset allocation is called rebalancing.

[0003]

Among the above-mentioned asset allocation methods, the portfolio insurance method aims to suppress loss at an absolute level of portfolio value within a specific range. On the other hand, there are a large number of funds that use the index whose price fluctuates over time, such as the Tokyo Stock Exchange Index (TOPIX), as a benchmark.
It is not necessarily measured in terms of revenue or loss at the absolute value of the portfolio, but rather relative to the portfolio's value relative to the benchmark (excess return).

[0004] In other words, in the fund management using such an index whose price fluctuates with time or a composite thereof as a benchmark, it is possible to stably obtain a profit (plus excess return) against the benchmark. It is the biggest goal for the parties, and at the same time, they want to avoid the loss of the benchmark (negative excess return), especially the significant loss of the benchmark.

The present invention has been made under such a background, and an object of the present invention is to provide an index whose price fluctuates with the passage of time or a composite thereof as a benchmark in a fund management using the benchmark as a profit. And at the same time, provide an operation method for keeping the loss against benchmark within a specific range.

[0006]

[MEANS FOR SOLVING THE PROBLEMS] In order to solve the above-mentioned problems, according to claim 1, a portfolio asset allocation used for fund management as an index whose index fluctuates over time or a combination thereof is used as a benchmark. The decision system includes an asset data storage unit that stores information on a portfolio including asset class information, rebalance information, and past operation results, and market data necessary for asset management that is sequentially updated in conjunction with market movements. It has a market data storage means for storing, and a benchmark-following asset allocation calculation means for calculating an asset allocation based on a benchmark value based on the asset data storage means and the data stored in the market data storage means.

According to the second aspect of the present invention, there is provided a portfolio asset allocation determining system for managing a fund as a benchmark using an index whose price fluctuates with time or a composite thereof as the benchmark. Asset data input means for inputting asset data including, market data input means for inputting market data relating to assets to be managed, asset data and market data input by the asset data input means and the market data input means And benchmark-following asset allocation calculation means for calculating the asset allocation based on the value of the benchmark based on the benchmark.

According to a third aspect of the present invention, there is provided a portfolio asset allocation determination system used to manage funds as a benchmark using an index whose price fluctuates with time or a combination thereof as the benchmark. Asset data storage means for storing information on portfolios including results, market data storage means for storing market data necessary for asset management, which is sequentially updated in association with market movements; asset data storage means; A benchmark-following asset allocation calculation means for calculating an allowable loss range from a portfolio benchmark based on the data stored in the data storage means.

According to a fourth aspect of the present invention, there is provided a portfolio asset allocation determining system for use as a benchmark to manage an index whose price fluctuates with time or a composite thereof as the benchmark, the asset including asset class information on the asset to be managed. Asset data input means for inputting data, market data input means for inputting market data relating to the assets to be managed, and asset data and market data input by the asset data input means and the market data input means. And a benchmark-following asset allocation calculating means for calculating an allowable loss range from the portfolio benchmark.

[0010] The benchmark-following asset allocation calculating means of the portfolio asset allocation determination system according to claim 3 or 4 is characterized in that the benchmark value (B
The value of the floor (F _t ), which is the value of the portfolio to be secured based on _t ), is calculated, and the value obtained by subtracting the value of the floor (F _t ) from the value of the portfolio (P _t ) at time _t is the cushion (C) _{As t} ), a value obtained by multiplying the cushion (C _t ) by an arbitrary constant or a variable can be set as the investment amount in the benchmark unlinked asset at the time point t.

According to a fifth aspect of the present invention, in the portfolio asset allocation determining system, the benchmark-following asset allocation calculating means can calculate the value of the floor (F _t ) from the following equation.

F _t = f ₁ (B _t ) × f ₂ (t) + f ₃ (M _t ) × f ₄ (t) where f ₁ (B _t ): αB _t , B _t -α _{B t} of the function f ₂ to (t): βt, β ( 1-e rt), the function f _{3 (M} t) of t, including: γM _t, of _{M t} including _M t-gamma, the function _{f 4 (t): δt,} δ (1-e rt), including t function _{M t: Max {P s -B} s, 0 ≦ s ≦ t} B t: value of the benchmark at time t P _t : value of the portfolio at time t e ^rt : continuous compound interest operation with a safe interest rate (r) α, β, γ, δ: constant or variable t: time Benchmark follow-up of the portfolio asset allocation determination system according to claim 5 The type asset allocation calculating means calculates the value of the floor (Ft) from the following equation. It is possible.

F _t = f ₁ (B _t ) × f ₂ (t) where f ₁ (B _t ) is a function of B _t including αB _t , B _t -α, and f ₂ (t) is β t , Β (1-e ^rt ), and other functions of _t B _t : the value of the benchmark at the time t e ^rt : continuous compound interest operation with the safe interest rate (r) α, β: constant or variable t: time Claims The portfolio asset allocation determination system according to any one of claims 1 to 4, wherein the asset allocation method is a policy asset allocation method or a conventional asset allocation method including a strategic asset allocation method and a tactical asset allocation method. A conventional asset allocation calculating means for calculating an investment ratio of a benchmark non-linked asset by one or more; Benchmark non-linked assets based on the investment ratio in the benchmark non-linked assets determined by the asset tracking calculation means and the benchmark non-linked assets determined by the conventional asset allocation calculation means. Final investment ratio can be determined.

[0014] The portfolio asset allocation determination system according to claim 8, wherein the investment ratio to the benchmark non-linked asset determined by the benchmark-following asset allocation calculating means and the benchmark unlinked asset determined by the conventional asset allocation calculating means. The final investment ratio for a benchmark unlinked asset determined based on the investment ratio for a non-linked asset can be obtained from the following equation.

[0015] Investment ratio of benchmark unlinked assets: Q
_Rt = _{QR (BF) t} × _{QR (AA) t} Investment ratio of benchmark-linked assets: _QRFt = 1−
_QRt, where _{QR (BF) t} : Investment ratio in benchmark non-linked assets by benchmark-following asset allocation method QR _{(AA) t} : Investment ratio in benchmark unlinked assets by conventional asset allocation method t : Time The portfolio asset allocation determining method according to claim 10 is:
A method for deciding a portfolio asset allocation for fund management using an index whose price fluctuates with time or a combination thereof as a benchmark, comprising the steps of: inputting or storing asset data and market data; Or calculating the asset allocation based on the value of the benchmark based on the stored asset data and market data.

[0016] A portfolio asset allocation determining method according to claim 11 is a portfolio asset allocation determining method for managing funds as a benchmark using an index whose price fluctuates with time or a combination thereof, wherein the asset data and the market Inputting or storing data, calculating a loss tolerance from a portfolio benchmark based on the input or stored asset data and market data, and based on the calculated loss tolerance. And determining the asset allocation.

In the portfolio asset allocation determining method according to the tenth or eleventh aspect, the timing of executing the rebalancing can be set arbitrarily including regular or irregular.

According to a thirteenth aspect of the present invention, there is provided a recording medium storing a portfolio asset allocation determining program, wherein a computer calculates a portfolio asset allocation for managing a fund as an index whose index fluctuates over time or a combination thereof. A recording medium for recording a program to be executed by using the program, wherein the program includes a step of inputting or storing asset data and market data, and a step of inputting or storing the input or stored asset data and market data. Calculating the asset allocation based on the value of the benchmark based on the benchmark value.

[0019] A recording medium recording the portfolio asset allocation determination program according to the present invention is a computer-readable storage medium storing a portfolio asset allocation determination for fund management using an index whose price fluctuates over time or a combination thereof as a benchmark. A recording medium for recording a program to be executed by using the program, wherein the program includes a step of inputting or storing asset data and market data, and a step of inputting or storing the input or stored asset data and market data. A step of calculating an allowable loss range from a portfolio benchmark based on the calculated portfolio and a step of determining an asset allocation based on the calculated allowable loss range.

[0020]

BRIEF DESCRIPTION OF THE DRAWINGS FIG. 1 is a block diagram showing an embodiment of a system for determining an asset allocation of a portfolio according to the present invention. FIG. 1 is a block diagram showing a hardware configuration for implementing the present invention, and FIG. 2 is a flowchart showing a basic flow of an embodiment of a portfolio asset allocation determining system according to the present invention.

The portfolio asset allocation determination system according to the present invention can be basically executed by manual calculation.
It can be executed efficiently by using a computer. Therefore, in the present embodiment, assuming that the present invention is implemented using a computer, FIG. 1 shows a hardware configuration for implementing the present invention (hereinafter, referred to as a “portfolio asset allocation determining device”).

As shown in FIG. 1, the portfolio asset allocation determining device 1 includes a control device for controlling the entire device, such as taking out an instruction to execute a program, decoding the instruction, and issuing a command, and an arithmetic device for performing an operation. A CPU 11, a ROM 12 in which a program for starting up the apparatus at power-on is stored, a RAM 13 for temporarily storing data and programs functioning as a main storage, and a keyboard and a mouse for inputting data. Input device 15
And an output device 16 such as a display or a printer for displaying or outputting data, an interface circuit 14 for controlling input and output of data, and an external storage device 17 for storing data and programs. I have.

The external storage device 17 includes an asset allocation calculation program file 21, an asset data file 22, and a market data file 23 for executing the asset allocation of the portfolio according to the present invention.

The asset allocation calculation program file 21 includes a benchmark-following asset allocation calculation program 21.
1. A PAA type (policy asset allocation type) asset allocation calculation program 212, a TAA type (tactical asset allocation type) asset allocation calculation program 213, and the like are included as necessary.

The asset data file 22 stores information on portfolios to be managed, and includes information such as asset class information, rebalancing information, and past operation results. In the asset class information, for example, if the asset to be managed is JGB futures, (type: JGB futures, contract month: 2
March 2000, trading category: sale, contract price: 119.0
0, number: 10). In the asset allocation decision system according to the present invention, the assets to be managed are:
It includes not only stocks and bonds, but also all assets such as foreign exchange, commodities and real estate. Therefore, in the specification of the present application, the term "index" means not only what is generally indicated using an index such as a stock price index or a bond price index, but also the price changes over time. It also includes prices, commodity prices, and real estate prices themselves.

The market data file 23 stores market data necessary for calculating the allocation of assets.
It is updated continuously according to the market movement. For example, depending on the assets to be managed, interest rate data such as call rates for interest rate assets, exchange rate data for various currencies for foreign exchange assets, stock price and stock price index data for individual issues for stock assets, and bonds In the case of affiliated assets, this includes data on bond prices and bond price indexes for individual issues.

FIG. 1 shows a configuration for implementing the present invention by a single computer. For example, a data server has data stored in an external storage device 17. When the data server is connected to the computer operated by the user via a communication line, necessary data and the like are downloaded according to a request from the user's computer, and calculations are performed on the user's computer, or all processing is performed on the server side. The present invention can be executed using a client server system, such as displaying the result on a user's computer. Also, the market data and the asset data are not stored as data files in the external storage device 17 as shown in FIG. 1, but are input from the input device 15 to some means (for example, a keyboard, a mouse, an optical reading device, a communication , Etc.).

Next, a basic flow of an embodiment of a portfolio asset allocation determination system according to the present invention will be described with reference to FIG. As a premise, in the following description, among the assets under management, an investment target asset having a price change characteristic similar to an index used as a benchmark is a benchmark-linked asset, and other investment target assets are benchmark non-linked assets. For example, when the TSE stock index (TOPIX) is used as a benchmark and only TOPIX futures and short-term financial assets are invested, the TOPIX futures are benchmark-linked assets and the short-term financial assets are benchmark-unlinked assets.
In addition, the portfolio asset allocation determination system according to the present invention calculates an asset allocation based on the value of a benchmark in order to fund management using, as a benchmark, an index whose price fluctuates over time or a combination thereof. Has a unique feature, and as far as the inventor knows, such an idea has not existed before. The operation flow shown in FIG. 2 therefore shows an embodiment according to the present invention, and the present invention includes all operation methods for calculating an asset allocation based on the value of a benchmark. It is.

The flow shown in FIG. 2 is executed by the benchmark following asset allocation calculation program 211 shown in FIG.
2 and the data stored in the market data file 23 may be executed by calling data necessary for the operation, or may be executed by inputting necessary data from the input device 15.

When the process of determining asset allocation is started by the portfolio asset allocation determining device 1 shown in FIG. 1, as shown in FIG. 2, first, in step F1, it is determined whether or not the rebalancing timing is t. This rebalancing timing can be set arbitrarily. For example, it may be set in advance periodically, such as weekly or monthly, or if you prepare a menu that can be executed when the user wants,
The time when the menu is executed may be the time t. Further, the flow of FIG. 2 may be started by a user's execution instruction, or may be incorporated in the system in advance and always automatically repeat the flow.

If it is determined in step F1 that rebalancing timing has been reached, the value of the portfolio at time _t (P _t ) is calculated (step F2). Next, the allowable loss range from the benchmark is calculated based on the value (B _t ) of the benchmark at time _t (step F3), and based on this calculation, the investment amount or investment of the benchmark-linked asset at time t at step F4 based on this calculation. By calculating the ratio and the investment amount or investment ratio of the benchmark non-linked asset, an asset allocation for rebalancing is determined (F5).

In step F3, the calculation formula for calculating the allowable loss range from the benchmark to the portfolio at the time point _t includes all calculation methods as long as it can reflect the benchmark value (B _t ) at the time point _t. Shall be considered. That is, the most significant feature of the present embodiment is that the value of the benchmark is used as a reference when calculating the allowable loss range from the portfolio benchmark.

Next, a specific flow of an embodiment of the portfolio asset allocation determining system according to the present invention will be described with reference to FIG. In FIG. 3, the description up to the step S1 is the same as the description in FIG. If it is determined in step S1 that the timing is the rebalancing timing, first, the value ( _Pt ) of the portfolio at time _t is calculated (step S2). Next, the value of the portfolio to be secured at the time point t is calculated based on the value of the benchmark (B _t ) at the time point t. The value of the portfolio to be secured is indicated on the floor (F
_t ) (step S3). The value and portfolio information B _t for performing this operation is either called from market data file 23 and the asset data file 22, is input from the input device 15.

In step S3, the calculation formula for obtaining the floor (F _t ) includes all calculation methods as long as it can reflect the value (B _t ) of the benchmark at the time point _t . A specific example of this calculation method will be described later.

Furthermore, the minus _{F t} from _{P t} and the cushion _{(C t)} (step S4). The cushion represents the portfolio margin, which is the source of investment in benchmark unlinked assets.

Finally, the amount of investment in the benchmark unlinked asset is determined. As long as the relative loss of the portfolio relative to the benchmark is controlled, a greater relative return can be aimed at by increasing the investment in the benchmark unlinked asset. From such a viewpoint, an arbitrary constant or variable L is added to the cushion (C _t ).
Multiplied by the amount of investment in benchmark unlinked assets (W
_Rt ) (step S5). In step S6, t
The amount of investment in benchmark non-linked assets (Wt) calculated from the portfolio value (Pt) at the time
_Rt ) is subtracted to obtain the investment amount (W _RFt ) for the benchmark-linked asset, and the asset allocation for rebalancing is determined (step S7).

Here, the first and second embodiments of the method for obtaining the floor (F _t ) executed in step S3 will be described.

[Embodiment 1] In the embodiment 1, the floor ( _Ft ) is obtained by the following equation.

[0039]

F _t = f ₁ (B _t ) × f ₂ (t) + f ₃ (M _t ) × f ₄ (t) where f ₁ (B _t ): αB _t , B _t −α, etc. f _{2 (t): βt, β} (1-e rt), etc. _{f 3 (M t): γM} t, M t -γ, etc. _{f 4 (t): δt,} δ (1-e rt), such as M _{t: Max {P s -B s} , 0 ≦ s ≦ t} B t: value of the benchmark at time t P _t: value of the portfolio at time t e ^rt: continuous compounding operations by the safety interest rate (r) α, β , Γ, δ: constant or variable t: time The formula for finding the floor of number 1 is composed of two parts (first and second terms). First term f ₁ (B _t ) × f ₂
(T) is a floor value determined depending on the value and time of the benchmark. In the first term, the function f ₁ (B _t )
Has the characteristic that the floor value also changes as the value of the benchmark changes, as shown in the specific examples αB _t and Bt−α (for example, if α is a positive constant, The floor value increases as the value of the benchmark increases, and if α is a negative constant, the floor value decreases as the value of the benchmark increases.) On the other hand, the function f ₂ (t) is represented by β in the above specific example.
If t is determined as (t is a positive constant), the floor value increases (or decreases if β is a negative constant) over time, but the function f ₂ (t) is changed to β (1-e ^rt ), It is possible to provide such a characteristic that the floor value changes according to the safety interest rate r with the passage of time. Such a characteristic that the floor value changes with the passage of time is such that if for some reason the cushion value _Ct becomes zero and the investment amount of the benchmark non-linked asset becomes zero, then the portfolio becomes Because the investment target assets of only the benchmark-linked assets will change, it is intended to increase the chances of reallocating investment to the benchmark-unlinked assets over time.

The second term f ₃ (M _t ) × f ₄ (t) is a floor value determined depending on the past maximum value and time of the difference between the portfolio value and the benchmark value. Function f
_{3 (M t)} is, γM _{t, M t} -γ is a specific example described above
As shown in the figure, the floor changes as the value of the portfolio exceeds the value of the benchmark. On the other hand, if the function f ₄ (t) is determined as δt in the above specific example, the floor value changes with the passage of time, but the function f ₄ (t) is changed to δ (1-e ^rt ). If determined, it is possible to provide a characteristic that the floor value changes according to the safety interest rate r with the passage of time.

As described above, the arithmetic expression of Equation 1 allows various settings of the allowable range of the portfolio to the benchmark loss by the two terms.

[Embodiment 2] In the embodiment 2, the floor ( _Ft ) is obtained by the following equation.

[0043]

F _t = f ₁ (B _t ) × f ₂ (t) where f ₁ (B _t ): αB _t , B _t -α, etc. f ₂ (t): βt, β (1-e ^rt), such as B _t: value of the benchmark at time t e ^rt: continuous compounding operations by the safety interest rate (r) α, β: a constant or variable t: value obtained by time number 2, depending on the value and time of the benchmark The floor value is determined by That is, the function f
₁ (B _t ) is αB _t , B _t -α which is the specific example described above.
As shown in FIG. 3, the floor value changes as the value of the benchmark changes. On the other hand, if the function f ₂ (t) is determined as βt in the above specific example, the floor value changes with the passage of time.
_{If 2} (t) is defined as β (1−e ^rt ), it is possible to provide a characteristic that the floor value changes with time according to the safety interest rate r. Such a characteristic that the floor value changes with the passage of time is such that if for some reason the cushion value _Ct becomes zero and the investment amount of the benchmark non-linked asset becomes zero, then the portfolio becomes Because the investment target assets of only the benchmark-linked assets will change, it is intended to increase the chances of reallocating investment to the benchmark-unlinked assets over time.

Third Embodiment FIG. 4 shows the flow of a portfolio asset allocation determination system according to a third embodiment. The third embodiment is characterized in that, for example, a conventional asset allocation method is combined with a benchmark-following asset allocation calculation method as shown in the first and second embodiments.

FIG. 4 shows an asset allocation determining method according to the third embodiment.
As shown in (1), when it is determined that the rebalancing timing is reached in step P1, for example, an asset allocation method that reflects the difference between the value of the benchmark and the value of the portfolio at time t as shown in Examples 1 and 2 ( The investment amount W of the benchmark non-linked asset (calculated by the benchmark tracking type asset allocation calculation program 211 in FIG. 1)
_{R (BF) t} is obtained (step P2). Then, determine the investment ratio _{Q R (BF) t} benchmarks unsynchronized assets in the portfolio overall value _{P t} at time t (step P3). On the other hand, the portfolio at time t is calculated by using any of the conventional asset allocation methods (or a combination thereof) such as the PAA-type asset allocation calculation program 212 and the TAA-type asset allocation calculation program 213 shown in FIG. investment ratio Q of the benchmark non-linked assets in the overall value P _{t
R (AA) t} is obtained (step P4). Then, based on the investment ratio QR _{(BF) t} of the benchmark non-linked asset obtained in step P3 and the investment ratio QR _{(AA) t of} the benchmark non-linked asset obtained in step P4,
The final investment ratio _QRt of the benchmark _unlinked asset is obtained (step P5). Also, _let 1-Q _{Rt be} the investment ratio Q _RFt in the benchmark-linked asset (step P6).

Here, in step P5, the method of combining the benchmark-following asset allocation calculation method and the conventional asset allocation method includes all calculation methods as long as they reflect the values obtained by both methods. . As a specific example, the following equation can be considered.

[0047]

[Equation 6] Investment ratio of benchmark unlinked assets: Q _Rt
= _{QR (BF) t} x _{QR (AA) t} Investment ratio of benchmark-linked assets: _QRFt = 1-
_QRt, where _{QR (BF) t} : Investment ratio in benchmark non-linked assets by benchmark-following asset allocation method QR _{(AA) t} : Investment ratio in benchmark unlinked assets by conventional asset allocation method t : Time The method according to the third embodiment limits the loss of assets under management to a certain range in accordance with the value of the benchmark using the benchmark-following asset allocation method, and takes into account the conventional asset allocation method to achieve an excess return. The goal is to increase

[0048]

According to the present invention, when managing a fund based on an index whose price fluctuates with time, such as a stock index, a bond price index, or a composite of a plurality of these, a portfolio value is calculated based on the absolute value of the portfolio value. Since the asset allocation ratio can be optimally determined according to the magnitude of the difference relative to the benchmark instead of the loss of the benchmark, the relative loss of the portfolio relative to the benchmark can be suppressed to a specific range.

Further, by combining the conventional asset allocation method, it is possible to aim at the relative profit of the portfolio with respect to the benchmark, and at the same time, to suppress the relative loss with respect to the benchmark within a specific range.

[Brief description of the drawings]

FIG. 1 is a block diagram showing a hardware configuration of a portfolio asset allocation determination system according to the present invention.

FIG. 2 is a flowchart showing a basic flow of a portfolio asset allocation determination system according to the present invention.

FIG. 3 is a flowchart showing a basic flow of an embodiment according to the present invention.

FIG. 4 is a flowchart illustrating a flow of a process according to a third embodiment of the present invention.

[Explanation of symbols]

 Reference Signs List 11 CPU 12 ROM 13 RAM 14 Interface circuit 15 Input device 16 Output device 17 External storage device 21 Asset allocation calculation program file 22 Asset data file 23 Market data file

 ────────────────────────────────────────────────── ─── Continuing on the front page (72) Inventor Shingo Ide 1-1-1, Yurakucho, Chiyoda-ku, Tokyo F-term in Nissay Research Institute, Inc. (reference) 5B049 BB47 CC02 CC08 CC31 CC36 DD00 DD05 EE03 EE31 FF00 FF07 FF09 5B055 CC10 FA08 MM00 PA00

Claims (14)

[Claims] 1. A portfolio asset allocation determination system used to manage funds as a benchmark using an index whose price fluctuates over time or a combination thereof, comprising: asset class information, rebalance information, and past operation results. An asset data storage means for storing information on a portfolio including: a market data storage means for storing market data necessary for asset management, which is sequentially updated in association with a movement of a market; an asset data storage means; A portfolio asset allocation determination system having benchmark-following asset allocation calculation means for calculating an asset allocation based on a benchmark value based on data stored in a data storage means. 2. A portfolio asset allocation determination system for use as a benchmark to manage an index whose price fluctuates over time or a combination thereof as an benchmark, wherein the asset data includes asset class information on the asset to be managed. Data input means for inputting market data related to the assets to be managed, and based on the asset data and market data input by the asset data input means and the market data input means, A portfolio asset allocation determination system having benchmark-following asset allocation calculation means for calculating an asset allocation based on a benchmark value. 3. A portfolio asset allocation determination system used to manage a fund using an index whose price fluctuates over time or a combination thereof as a benchmark, comprising: asset class information, rebalancing information, and past operation results. Asset data storage means for storing information related to a portfolio including: a market data storage means for storing market data necessary for asset management that is sequentially updated in conjunction with market movement; asset data storage means and the market data A portfolio asset allocation determination system, comprising: a benchmark-following asset allocation calculation unit that calculates a loss allowance from a portfolio benchmark based on data stored in a storage unit. 4. A portfolio asset allocation determination system used to manage funds as indices or indices whose prices fluctuate over time as benchmarks, wherein the asset data includes asset class information on the assets to be managed. Data input means for inputting market data related to the assets to be managed, and based on the asset data and market data input by the asset data input means and the market data input means, A portfolio asset allocation determination system having benchmark-following asset allocation calculation means for calculating an allowable loss range from a portfolio benchmark. 5. The benchmark-following asset allocation calculating means obtains a value of a floor (F _t ) which is a value of a portfolio to be secured based on a value of the benchmark (B _t ) at a time t, and calculates a portfolio at a time t. as the value (P _t) cushions the value obtained by subtracting the floor value (F _t) from (C _t), unsynchronized benchmark at time t the value obtained by multiplying an arbitrary constant or variable to the cushion (C _t) The portfolio asset allocation determination system according to claim 3 or 4, wherein the investment amount is an investment in a property asset. 6. The portfolio asset allocation determination system according to claim 5, wherein the benchmark-following asset allocation calculation means obtains the value of the floor (Ft) from the following equation. _{F t = f 1 (B t} ) × f 2 (t) + f 3 (M t) × f 4 (t) _{where, f 1 (B t):} αB t, B t -α, including _{B t} function _{f 2 (t): βt,} β (1-e rt), the function f _{3 (M} t) of t, including: γM _{t, M t} -γ, including _{M t} function f ₄ of (t): δt, δ ( 1-e rt), including t function _{M t: Max {P s -B} s, 0 ≦ s ≦ t} B t: value of the benchmark at time t P _t: Portfolio value at time t e ^rt : Continuous compound interest operation with safe interest rate (r) α, β, γ, δ: Constant or variable t: Time 7. The portfolio asset allocation determination system according to claim 5, wherein said benchmark-following asset allocation calculation means obtains the value of said floor (Ft) from the following equation. F _t = f ₁ (B _t ) × f ₂ (t) where f ₁ (B _t ): functions of B _t including αB _t , B _t -α, and f ₂ (t): β t, β ( 1-e ^rt ), and other functions of _t B _t : the value of the benchmark at the time t e ^rt : continuous compound interest operation at the safe interest rate (r) α, β: constant or variable t: time 8. An investment in a benchmark unlinked asset by one or more of a policy asset allocation method or a conventional asset allocation method including a strategic asset allocation method and a tactical asset allocation method. A conventional asset allocation calculating means for calculating a ratio, an investment ratio to a benchmark non-linked asset determined by the benchmark-following asset allocation calculating means, and a benchmark non-linked asset determined by the conventional asset allocation calculating means. The portfolio asset allocation determination system according to any one of claims 1 to 4, wherein the final investment ratio in the benchmark non-linked asset is determined based on the investment ratio in the linked asset. 9. A method according to claim 1, wherein the investment ratio in the benchmark non-linked asset calculated by the benchmark-following asset allocation calculating means and the investment ratio in the benchmark non-linked asset calculated by the conventional asset allocation calculating means. 9. The portfolio asset allocation determination system according to claim 8, wherein a final investment ratio for the benchmark unlinked asset to be determined is obtained from the following equation. Investment ratio of benchmark unlinked assets: Q _Rt = Q
_{R (BF) t} × Q _{R (AA) t} Investment ratio of benchmark-linked assets: Q _RFt = 1−
_QRt, where _{QR (BF) t} : Investment ratio in benchmark non-linked assets by benchmark-following asset allocation method QR _{(AA) t} : Investment ratio in benchmark unlinked assets by conventional asset allocation method t :time 10. A method for deciding a portfolio asset allocation for managing a fund using an index whose price fluctuates with time or a combination thereof as a benchmark, wherein inputting and storing asset data and market data are performed. And calculating an asset allocation based on a benchmark value based on the input or stored asset data and market data. 11. A method for deciding a portfolio asset allocation for managing a fund by using, as a benchmark, an index whose price fluctuates as time elapses or a combination thereof, wherein the step of inputting or storing asset data and market data is performed. Calculating an allowable loss range from a portfolio benchmark based on the input or stored asset data and market data; and determining an asset allocation based on the calculated allowable loss range. Portfolio allocation method. 12. The portfolio asset allocation determining method according to claim 10, wherein the timing at which the rebalancing is performed can be set arbitrarily including regular or irregular. 13. A recording medium for recording a program for causing a computer to execute a portfolio asset allocation decision for fund management using an index whose price fluctuates over time or a combination thereof as a benchmark. Inputting or storing the asset data and the market data, and based on the input or stored asset data and the market data,
A step of calculating an asset allocation based on the value of the benchmark by a computer. 14. A recording medium for recording a program for causing a computer to execute a portfolio asset allocation decision for fund management using an index whose price fluctuates over time or a combination thereof as a benchmark. Inputting or storing the asset data and the market data; calculating a loss allowance from a portfolio benchmark based on the input or stored asset data and the market data; Determining an asset allocation based on the calculated permissible loss range by a computer.