JP3983679B2 - Portfolio calculation program, portfolio calculation method, and portfolio calculation apparatus - Google Patents

Description

[0001]
BACKGROUND OF THE INVENTION
The present invention relates to a portfolio calculation program, a portfolio calculation method, and a portfolio calculation device for calculating a portfolio showing an optimal investment ratio with respect to stock certificates of a plurality of companies, and in particular, a portfolio capable of appropriately calculating expected profits obtained from stock certificates of each company The present invention relates to a calculation program, a portfolio calculation method, and a portfolio calculation apparatus.
[0002]
[Prior art]
When investing in financial products represented by stock certificates, it is common to invest in multiple financial products in order to reduce the risk of loss. Thus, when investing in a plurality of financial products in a distributed manner, profits that can be expected as a whole and the risk of loss are determined depending on the investment amount ratio for each financial product.
[0003]
Traditionally, portfolios have been used to determine the optimal investment ratio for multiple financial products. A portfolio is calculated using a “return” that represents the expected return on investment for each financial product and a “risk” that represents return variability in terms of return variance or standard deviation (eg, non-patented). Reference 1).
[0004]
By adopting the portfolio with the smallest risk relative to the return of the portfolio, that is, the return of the entire invested financial product, it is possible to reduce the overall probability of loss.
[0005]
[Non-Patent Document 1]
“Introductory Real Estate Financial Engineering” by Yuichiro Kawaguchi, Diamond Company, February 8, 2001, p. 214-244
[0006]
[Problems to be solved by the invention]
However, in the above-described conventional portfolio calculation, a past return record is adopted as the return value, or a value that institutional investors determined to be appropriate is input.
[0007]
When a past return record is adopted as a return, it is assumed that the return value of the financial product is a substantially constant value. However, the price of financial products fluctuates depending on the situation, and in particular, the price of stock certificates issued by companies varies greatly depending on the company's management status and industry trends. That is, the past return results cannot reflect the current trend of companies and industries, and there is a problem that an appropriate return value cannot be set.
[0008]
In addition, if institutional investors etc. enter their own return value based on their own judgment, each institutional investor will set the value based on their own experience, and the return value input cannot be automated. There was a problem.
[0009]
The present invention has been made to solve the above-described problem, and is a portfolio calculation program, a portfolio calculation method, and a portfolio calculation capable of calculating a portfolio by automatically setting a return based on trends of companies and industries. An object is to provide an apparatus.
[0010]
[Means for Solving the Problems]
  In order to solve the above-described problems and achieve the object, the present invention is a portfolio calculation program for calculating a portfolio that shows an optimal investment ratio for a plurality of stock issues, and the actual value of risk in the stock price of the stock issues is calculated. The risk performance data that is continuously accumulated data, the market data that is the data indicating the latest stock price of the stock brand, and the company data that is the data indicating the management state of the company corresponding to the stock brand, The storage procedure for each stock issue is stored in the storage unit, and the combination of stock issues is entered.PowerIf accepted, a data item score calculation procedure for calculating a data item score indicating a standard deviation score by standardizing each data item constituting the market data and company data stored in the storage unit by the storage procedure; Predetermined combinations from data itemsMultipleAcquire and combine the data itemsEveryBy adding the data item scoresBy calculating a total score, sorting the stock issues in the order of the total score, assigning a value to the score corresponding to each combination of the data items according to the rank after the sorting, and adding the values of the scoresA composite score calculation procedure for calculating a composite score, and a predicted return of a stock that has a maximum composite score calculated by the composite score calculation procedureTo the prescribedMaximum expected returnAllocateThe expected return for stocks that are the minimum valueTo the prescribedMinimum expected returnAllocateA predicted return calculation procedure for calculating a predicted return of each stock symbol by allocating a predicted return of another stock symbol in proportion to the composite score between the maximum predicted return and the minimum predicted return; and the predicted return Portfolio calculation procedure for calculating a portfolio indicating an optimal investment ratio for the plurality of stock issues based on the predicted return of each stock issue calculated by the calculation procedure and the risk performance data of each stock issue stored in the storage unit And let the computer runThe score corresponding to each combination includes a growth score including the average sales growth rate, return on net assets and rate of change in forecasted ordinary income as the data item, relative position between stock price and stock price moving average, chart signal, credit balance Technical score including stock balance and stock candlestick chart shape as the data item, stock price volatility and historical beta value as the data item, motion intensity score, bargain score, company size score, financial content score, and past return score Formed byIt is characterized by that.
[0011]
According to the present invention, risk performance data that is data that continuously accumulates the actual value of risk in the stock price of the stock brand, market data that is data indicating the latest stock price in the stock brand, and the company corresponding to the stock brand If the company data, which is the data indicating the management status of the stock, is stored in the storage unit for each stock brand, and the input of the combination of stock brands and the input of the expected stock price of the stock brand included in the inputted combination, Standardize each data item that constitutes the market data and company data stored in the storage unit to calculate a data item score indicating a standard deviation score, obtain a predetermined combination from the data items, and obtain these data items The composite score is calculated by adding the data item scores in the combination of, and the calculated composite score is the maximum value The predicted return of the formula stock is the maximum predicted return, the predicted return of the stock stock that is the minimum value is the minimum predicted return, and the predicted returns of the other stock stocks are proportional to the composite score and between the maximum predicted return and the minimum predicted return To calculate the expected return of each stock issue, and the optimal investment ratio for multiple stock issues based on the calculated predicted return of each stock issue and the risk performance data of each stock issue stored in the storage unit Therefore, it is possible to calculate a highly reliable portfolio by automatically calculating returns based on the trends of companies and industries.
[0016]
Further, according to the present invention, the portfolio calculation procedure includes an effective frontier curve as a whole combination of the stock issues obtained on the basis of the predicted return and the actual risk data on a graph having risk and return as two axes. If a point on the effective frontier curve is designated, the portfolio corresponding to the designated point is output.
[0017]
According to the present invention, an effective frontier curve as a whole combination of stocks obtained based on the predicted return and actual risk data is displayed on a graph having risk and return as two axes, and the effective frontier curve is displayed on the effective frontier curve. If a point is designated, the portfolio corresponding to the designated point is output, so that a portfolio at an arbitrary position on the effective frontier curve can be easily selected.
[0034]
DETAILED DESCRIPTION OF THE INVENTION
Exemplary embodiments of a portfolio calculation program, a portfolio calculation method, and a portfolio calculation apparatus according to the present invention will be described below in detail with reference to the accompanying drawings. In the present embodiment, the case where the present invention is applied to a portfolio calculation system operating on a WWW (World Wide Web) which is one of distributed systems on the Internet will be described.
[0035]
First, the configuration of the portfolio calculation system according to the present embodiment will be described. FIG. 1 is a functional block diagram showing the configuration of the portfolio calculation system according to the present embodiment. As shown in the figure, this portfolio calculation system has a configuration in which each terminal device 10 a to 10 c and a WEB server 12 are connected via the Internet 11.
[0036]
The terminal devices 10a to 10c are Internet terminals equipped with a WEB browser that can access an HTTP server, and can access various server devices on the Internet via a provider or the like.
[0037]
The WEB server 12 is a device according to the present invention, and is an HTTP server that accepts access from various terminal devices 10a to 10c on the Internet and provides a web service such as a homepage. The WEB server 12 not only provides a general web service, but also provides a portfolio showing an optimal investment ratio for a designated stock when a predetermined stock stock and an investment amount are designated. Specifically, the WEB server 12 does not simply calculate the portfolio by using the return results as in the conventional technology, but automatically calculates the expected return for the specified stock, and calculates the expected return calculated. By calculating a portfolio based on the above, a portfolio that reflects corporate and industry trends is calculated.
[0038]
As shown in FIG. 1, the WEB server 12 includes an interface unit 120, an input unit 121, a display unit 122, a storage unit 123, and a control unit 124. The interface unit 120 is a network interface that exchanges data with the terminal devices 10a to 10c via the Internet 11, and specifically performs processing according to the TCP / IP protocol.
[0039]
The input unit 121 is an input device such as a keyboard or a mouse, the display unit 122 is a display device such as a liquid crystal panel or a display, and the storage unit 123 is a storage device such as a hard disk device. The storage unit 12 stores hypertext 123a, risk data 123b, company data 123c, and market data.
[0040]
The hypertext 123a is hypertext that forms a window screen to be distributed to the terminal devices 10a to 10c, and the risk data 123b is data that continuously accumulates the actual value of risk in the stock price of various stocks. Further, the company data 123c is data indicating various data indicating the management status of the company, and the market data 123d is data indicating the transaction status of the company's stock certificates. The risk data 123b, the company data 123c, and the market data 123d are updated by sequentially acquiring stock data at predetermined time intervals from a server (not shown).
[0041]
The control unit 124 is a control unit that performs overall control of the WEB server 12, and includes a server processing unit 124a, a predicted return calculation unit 124b, an effective frontier calculation unit 124c, and a portfolio calculation unit 124d.
[0042]
The server processing unit 124a is a processing unit for providing a function as an HTTP server to the terminal devices 10a to 10c. Specifically, when an access from the terminal devices 10a to 10c is received, a storage unit The hypertext 123a memorize | stored in 123 is read, and the process etc. which are transmitted to applicable terminal device 10a-10c are performed.
[0043]
The predicted return calculation unit 124b calculates, as a predicted return, the expected profit when each brand is purchased based on the company data 123c and the market data 123d stored in the storage unit 123 when a stock certificate is designated. Part. Further, the effective frontier calculation unit 124c calculates an effective frontier curve of a specified brand using the predicted return calculated by the predicted return calculation unit 124b and the risk data 123b.
[0044]
The risk data 123b stores a record of return dispersion for each brand and a record of covariance between brands. The effective frontier curve is a curve showing the minimum risk for each return in a specified brand combination. In other words, it indicates the maximum return that can be expected when a certain risk is allowed. Therefore, the most efficient portfolio can be obtained by adopting the portfolio located on the effective frontier curve. The effective frontier calculation unit 124c transmits the calculated portfolio to the terminal devices 10a to 10c.
[0045]
When a point on the effective frontier curve is designated from the terminal devices 10a to 10c, the portfolio calculation unit 124d calculates a portfolio corresponding to the designated point and returns the portfolio to the terminal devices 10a to 10c. Therefore, an investor can specify an arbitrary return or an arbitrary risk from an efficient portfolio shown as an effective frontier curve to obtain an optimal portfolio.
[0046]
Next, the calculation of the predicted return by the predicted return calculation unit 124b will be further described. FIG. 2 is a diagram for explaining the concept of predictive return calculation according to the present embodiment. As shown in FIG. 2, the company data 123c includes, for each company, “average sales growth rate”, “market capitalization”, “net asset return”, “current rate of change in ordinary income”, “equity ratio” and “Relative position of capital adequacy ratio within industry”.
[0047]
Here, the “average sales growth rate” is an average rate of change in sales of the company over a predetermined period. This “average sales growth rate” can be calculated, for example, by acquiring the sales of the company for three years from a database (not shown). The “market capitalization” is the total amount of assets of the company. Furthermore, “Net asset return” is the ratio of net profit to the asset amount of the company, and “Expected current profit change rate” is the transition of the expected amount of ordinary profit of this company. “Capital ratio” is the ratio of the capital amount to the capital amount of the company, and “Relative position within the industry of the capital ratio” is the high capital ratio of the company in the industry to which the company belongs. Is the ranking.
[0048]
Similarly, the market data 123d includes “price earnings ratio”, “price net asset ratio”, “average trading value”, “divergence rate from the 75-day average price line”, “deviation rate from the 25-day average price”, “ “Relative position of stock price and stock price moving average”, “chart signal”, “balance of credit balance”, “stock price candlestick chart shape”, “stock price volatility”, “historical beta”.
[0049]
Here, the “price earnings ratio” is a ratio between the current stock price and the profit of the company. The “price / net asset ratio” is a ratio between the current stock price of the company and the net asset amount of the company. Furthermore, the “average trading value” is the total amount of the stock certificate of the company traded per day, and is an indicator of the transaction status of the company's stock certificate and the company size. Further, the “deviation rate from the 75-day average price” and the “deviation rate from the 25-day average” indicate how far the current stock price of the company is from the 75-day and 25-day averages of the stock price. It is an index that measures the short-term overheating of the current stock price.
[0050]
Furthermore, the “relative position between the stock price and the stock price moving average” is a comparison between the transition of the stock price of the company and the stock price of the entire stock market. The “chart signal” is data indicating the occurrence status of various signals called “golden cross” in the stock price chart, and the “stock price candlestick chart shape” is a candlestick called “bottom shadow positive line” or the like. It is data which shows a chart shape. Furthermore, “credit balance” is the ratio of unpaid buy and sell balances in margin transactions, and “stock price volatility” is a value obtained by back-calculating the degree of fluctuation in stock prices using a theoretical formula from the transaction price of stock certificates. “Historical beta” is a value obtained by determining the sensitivity of the company's stock price to the stock price index.
[0051]
The predicted return calculation unit 124b calculates a growth score 21, a discount score 22, a company scale score 23, a financial content score 24, a technical score 25, a price movement intensity score 26, and a past return score 27 from the company data 123c and the market data 123d. Is calculated for each issue that is included in the portfolio.
[0052]
Specifically, the growth score 21 is obtained by first standardizing the “average sales growth rate”, “net asset return” and “current rate of change in ordinary income” included in the company data 123c into a standard deviation score, Add them together. Next, the brands are sorted in the order of the total score, which is the total, and the value of the growth score 21 is determined according to the rank. For example, if the growth score 21 has 10 levels of “1” to “10”, and “10” indicates the highest growth, the stocks are classified into 1/10 from the top of the sort order, and the highest “10” is assigned to the brand included in the classification of “9”, and “9” is allocated to the brand included in the next classification.
[0053]
In addition, the bargain score 22 is calculated using the “price earnings rate”, the “price net asset ratio”, and the “divergence rate from the stock price 75-day average line” included in the market data 123d. The calculation procedure is the same as the growth score 21. Further, the company scale score 23 is calculated using “market capitalization” included in the company data 123c and “average trading value” included in the market data 123d.
[0054]
Similarly, the financial content score 24 is calculated based on “the capital ratio” and “the relative position of the capital ratio in the industry” included in the company data 123c. Further, the technical score 25 is calculated based on “relative position between stock price and stock price moving average”, “chart signal”, “balance of credit balance”, and “stock price candlestick chart shape” included in the market data 123d. Further, the price movement intensity score 26 is calculated by “stock price volatility” and “historical beta” included in the market data 123d, and the past return score 27 is calculated as “deviation rate from the 75-day average price of the stock price” included in the market data 123d. "And" deviation rate from the stock price 25-day average line ".
[0055]
Note that the calculation method of the company scale score 23, the financial content score 24, the price movement intensity score 26, and the past return score 27 is the same as the growth score 21. After calculating each score in this way, the predicted return calculating unit 124b adds the scores and calculates a composite score. As for this composite score, all seven scores may be added, or any combination may be selected and added.
[0056]
After calculating the composite score for each brand, the predicted return calculation unit 123b assigns the maximum predicted return to the brand having the largest composite score value and assigns the minimum predicted return to the brand having the smallest composite score value. Here, the maximum predicted return and the minimum predicted return are set to a maximum value and a minimum value that can be expected as return values, respectively.
[0057]
Further, the predicted return calculation unit 123b sets the value of the expected return of each brand in proportion to the value of the composite score of the brand. That is, the value of the expected return 30 of each brand is appropriately distributed between the maximum predicted return and the minimum predicted return. Since the distribution of the predicted return is calculated based on the company data 123c and the market data 123d, the predicted return of each brand can be set according to the trend of the company or the industry.
[0058]
Next, the effective frontier curve calculated by the effective frontier calculation unit 124c will be described. FIG. 3 is a diagram showing the effective frontier curve 41 calculated by the effective frontier curve calculation unit 124c. In FIG. 3, the effective frontier curve 41 is a curve showing a risk that is the smallest for each return among combinations of the brand A, the brand B, the brand C, the brand D, and the brand E. When calculating the effective frontier curve 41, the effective frontier calculation unit 124c uses the predicted return value calculated by the predicted return calculation unit 124b as the returns of the brands A to E. Further, the effective frontier calculation unit 124c acquires the risk values of the brands A to E from the risk data 123b and uses them.
[0059]
Therefore, in FIG. 3, at the coordinates 31 indicating the risk and return of “brand A”, the risk is a value stored in the risk data 123b, and the return is a predicted return calculated by the predicted return calculation unit 124b. Further, in the coordinates 32 indicating the risk and return of “brand B”, the risk is a value stored in the risk data 123b, and the return is a predicted return calculated by the predicted return calculation unit 124b. Similarly, in the coordinates 33 to 35 indicating the risks and returns of “brand C” to “brand E”, each risk is a value stored in the risk data 123b, and the return is calculated by the predicted return calculation unit 124b. This is a predicted return.
[0060]
When the effective frontier curve 41 is transmitted to the terminal devices 10a to 10c, and a point on the effective frontier curve is designated, the portfolio calculation unit 124d calculates a portfolio corresponding to the designated point to calculate the terminal devices 10a to 10d. Return to 10c. Therefore, an investor can obtain an effective frontier curve that takes into account corporate and industry trends simply by specifying the stocks to be included in the portfolio. From this effective frontier curve, it is possible to specify an arbitrary return or an arbitrary risk. A good portfolio.
[0061]
Next, the processing procedure of the WEB server 12 will be described with reference to FIG. FIG. 4 is a flowchart showing a processing procedure of the WEB server 12. In FIG. 4, the WEB server 12 first selects stock certificates to be incorporated into the portfolio by input from the terminal devices 10 a to 10 c (step S <b> 101). Next, the predicted return calculation unit 124b sets the first one of the selected brands as a processing target (step S102).
[0062]
Subsequently, the predicted return calculation unit 124b calculates a growth score for the brand to be processed (step S103). Further, the predicted return calculation unit 124b calculates a bargain score for the brand to be processed (step S104). Next, the predicted return calculation unit 124b calculates the company scale score of the brand to be processed (step S105). Further, the predicted return calculation unit 124b calculates the financial content score of the brand to be processed (step S106). Next, the predicted return calculation unit 124b calculates the technical score of the brand to be processed (step S107). Subsequently, the predicted return calculation unit 124b calculates the price movement intensity score of the brand to be processed (step S108). Further, the predicted return calculation unit 124b calculates a past return score of the brand to be processed (step S109).
[0063]
Thereafter, the predicted return calculation unit 124b calculates the composite score by adding the scores calculated in Steps S103 to S109 (Step S110). Here, the predicted return calculation unit 124b determines whether or not the composite score has been calculated for all brands (step S111). When there is a brand for which the composite score has not yet been calculated (step S111, No), the predicted return calculation unit 124b sets the next brand as a processing target (step S112), and proceeds to step S103.
[0064]
On the other hand, when the composite score is calculated for all brands (step S111, Yes), the predicted return calculation unit 124b calculates the predicted return of each brand based on the composite score of each brand (step S113).
[0065]
Thereafter, the effective frontier calculation unit 124c reads the risk of each brand from the risk data 123b (step S114), and calculates an effective frontier using the read risk and the predicted return calculated by the predicted return calculation unit 124b (step S115). ). The calculated effective frontier is displayed as an effective frontier curve in the terminal devices 10a to 10c. The portfolio calculation unit 124d detects the position designation on the effective frontier curve, outputs the portfolio corresponding to the designated position (step S116), and ends the process.
[0066]
Next, an example of a portfolio calculation window provided by the WEB server 12 shown in FIG. 1 will be described. FIG. 5 is a view showing a display screen which is an example of a portfolio calculation window provided by the WEB server 12 shown in FIG. As shown in the figure, the display screen 60 includes an investment total amount input column 61 for inputting the total investment amount, investment destination selection columns 62 to 64 for selecting companies to be incorporated in the portfolio, and a graph display column 65 for displaying an effective frontier. I have. Here, the investment destination selection columns 62 to 64 have a format for selecting an investment destination company from the pull-down list, and “company A” is selected by the investment destination selection column 62 and “company C” is selected by the investment destination selection column 63. And “Company D” is selected in the investment destination selection column 64.
[0067]
The predicted return calculation unit 124b calculates predicted returns of “Company A”, “Company B”, and “Company C” by inputting the investment destinations in the investment destination selection fields 62 to 64. Further, the effective frontier calculation unit 124c calculates the effective frontiers of “Company A”, “Company B”, and “Company C”.
[0068]
A display example of the predicted return and the effective frontier is shown in FIG. In the display screen 70 shown in FIG. 6, predicted return display areas 72 to 74 are provided in the vicinity of the investment destination selection columns 62 to 64 to display the predicted returns of each company, and the effective frontier curve 75 is displayed in the graph display column 65. Is displayed. Here, the predicted return display area 72 corresponds to the investment destination selection field 62 and displays the predicted return of “Company A”. The predicted return display area 73 corresponds to the investment destination selection field 63 and displays the predicted return of “Company B”. Similarly, the predicted return display area 74 corresponds to the investment destination selection field 64 and displays the predicted return of “Company C”.
[0069]
Further, when a point on the effective frontier curve 75 is designated, the portfolio calculation unit 124d calculates a portfolio corresponding to the designated point. A display example of this portfolio is shown in FIG. In the display screen 80 shown in FIG. 7, investment distribution display areas 82 to 84 are provided in the vicinity of the investment destination selection columns 62 to 64, respectively. In the graph display area 65, a marker 85 used for selecting a portfolio is displayed. Further, the display screen 80 includes an overall return display area 86 for displaying the return of the entire portfolio and an overall risk display area 87 for displaying the risk of the entire portfolio.
[0070]
The marker 85 is used for designating a portfolio in the effective frontier curve 75, and the portfolio corresponding to the point designated by the marker 85 is displayed in the investment allocation display areas 82 to 84, the total return 86, and the total risk display area 87. It becomes. Here, when the user can drag the marker 85 along the effective frontier curve 75, the portfolio displayed in the investment distribution display areas 82 to 84, the total return 86, and the total risk display area 87 changes. Therefore, the user can easily select a desired portfolio by dragging the marker 85.
[0071]
The investment distribution display area 82 corresponds to the investment destination selection field 62 and displays the investment amount for “Company A” and the ratio of the investment amount for “Company A” to the total investment amount. The investment distribution display area 83 corresponds to the investment destination selection field 63 and displays the investment amount for “Company B” and the ratio of the investment amount for “Company B” to the total investment amount. Similarly, the investment distribution display area 84 corresponds to the investment destination selection field 64 and displays the investment amount for “company C” and the ratio of the investment amount for “company C” to the total investment amount. Furthermore, the total return display area 86 and the total risk display area 87 display returns and risks in the entire portfolio designated by the marker 85.
[0072]
As described above, in this embodiment, when a stock certificate is designated on the terminal devices 10a to 10c, the predicted return calculation processing unit 124b of the WEB server 12 calculates a predicted return for each brand. Since the effective frontier is calculated using the predicted return, the investor can obtain the effective frontier curve 41 only by specifying the stock certificate, and by specifying an arbitrary point from the effective frontier curve. A desired portfolio can be obtained.
[0073]
In the present embodiment, the present invention is applied to the case where the WWW on the Internet is used. However, the present invention is not limited to this, and can be realized using a stand-alone computer or a dedicated network. You can also
[0074]
Furthermore, although the case where the risk data 123b, the company data 123c, and the market data 123d are stored in the storage unit 123 has been described in the present embodiment, the present invention is not limited to this, and the Internet 11 is used each time. Risk data 123b, company data 123c, and market data 123d can also be acquired.
[0075]
【The invention's effect】
  As explained above,According to the present invention, risk performance data that is data that continuously accumulates the actual value of risk in the stock price of the stock brand, market data that is data indicating the latest stock price in the stock brand, and the company corresponding to the stock brand If the company data, which is the data indicating the management status of the stock, is stored in the storage unit for each stock brand, and the input of the combination of stock brands and the input of the expected stock price of the stock brand included in the inputted combination, Standardize each data item that constitutes the market data and company data stored in the storage unit to calculate a data item score indicating a standard deviation score, obtain a predetermined combination from the data items, and obtain these data items The composite score is calculated by adding the data item scores in the combination of, and the calculated composite score is the maximum value The predicted return of the formula stock is the maximum predicted return, the predicted return of the stock stock that is the minimum value is the minimum predicted return, and the predicted returns of the other stock stocks are proportional to the composite score and between the maximum predicted return and the minimum predicted return To calculate the expected return of each stock issue, and the optimal investment ratio for multiple stock issues based on the calculated predicted return of each stock issue and the risk performance data of each stock issue stored in the storage unit Therefore, it is possible to calculate a highly reliable portfolio by automatically calculating returns based on the trends of companies and industries.
[0078]
Further, according to the present invention, an effective frontier curve as a whole combination of stocks determined based on the predicted return and actual risk data is displayed on a graph having risk and return as two axes, and this effective frontier curve is displayed. If the upper point is designated, the portfolio corresponding to the designated point is output, so that the portfolio at an arbitrary position on the effective frontier curve can be easily selected.
[Brief description of the drawings]
FIG. 1 is a functional block diagram showing a configuration of a portfolio calculation system according to an embodiment.
FIG. 2 is a diagram for explaining a concept of predictive return calculation according to the present embodiment.
FIG. 3 is a diagram illustrating an effective frontier curve calculated by an effective frontier curve calculation unit 124c.
4 is a flowchart showing a processing procedure of the WEB server shown in FIG. 1. FIG.
FIG. 5 is a diagram showing an example of a portfolio calculation window provided by the WEB server shown in FIG. 1;
FIG. 6 is a diagram illustrating a display example of a predicted return and an effective frontier.
FIG. 7 is a diagram illustrating a display example of a portfolio.
[Explanation of symbols]
10a to 10c terminal device
11 Internet
12 WEB server
21 Growth score
22 Cheapness score
23 Company size score
24 Financial Content Score
25 Technical Score
26 Price movement intensity score
27 Past Return Score
31-35 coordinates
41,75 Effective frontier curve
60, 70, 80 display screen
61 Total investment field
62-64 Investment destination selection column
65 Graph display field
72-74 Expected return display area
82-84 Investment allocation display area
85 markers
86 Total return display area
87 Total risk display area
120 Interface section
121 Input section
122 Display section
123 storage unit
123a hypertext
123b Risk data
123c Company data
123d market data
124 control unit
124a Server processing unit
124b Predicted return calculation unit
124c Effective frontier calculation unit
124d Portfolio calculator
124e Short-selling risk / return calculator

Claims (6)

A portfolio calculation program for calculating a portfolio indicating an optimal investment ratio for a plurality of stocks,
Risk performance data, which is data that continuously accumulates the actual value of risk in the stock price of the stock brand, market data that is data indicating the latest stock price in the stock brand, and the management status of the company corresponding to the stock brand A storage procedure for storing, in the storage unit, company data, which is data indicating data, for each stock brand;
If accepting the input of a combination of the stock names, calculates the data item score indicating the score of the standard deviation of each data item constituting the market data and enterprise data stored in the storage unit are standardized by the storage procedure Data item score calculation procedure to
Obtaining a plurality of predetermined combinations from the data items and calculating the total score by adding the data item scores for each combination of the data items , sorting the stocks in the order of the total score, and ranking after the sorting And assigning a value to the score corresponding to each combination of the data items according to, and a composite score calculation procedure for calculating a composite score by adding the values of the respective scores ,
A predetermined maximum predicted return is allocated to the predicted return of the stock issue having the maximum composite score calculated by the composite score calculation procedure , a predetermined minimum predicted return is allocated to the predicted return of the stock issue having the minimum value, and other stocks. A predicted return calculation procedure for calculating a predicted return of each stock by allocating a predicted return of a stock in proportion to the composite score between the maximum predicted return and the minimum predicted return;
Based on the predicted return of each stock issue calculated by the predicted return calculation procedure and the risk performance data of each stock issue stored in the storage unit, a portfolio indicating an optimal investment ratio for the plurality of stock issues is calculated. Let the computer execute the portfolio calculation procedure,
The score corresponding to each combination includes a growth score including the average sales growth rate, return on net assets and rate of change in forecasted ordinary income as the data item, relative position between stock price and stock price moving average, chart signal, credit balance Technical score including stock balance and stock candlestick chart shape as the data item, stock price volatility and historical beta value as the data item, motion intensity score, bargain score, company size score, financial content score, and past return score The portfolio calculation program characterized by being formed by .   The portfolio calculation procedure displays an effective frontier curve as a whole combination of the stock issues obtained on the basis of the predicted return and the risk actual data on a graph having risk and return as two axes, and the effective frontier The portfolio calculation program according to claim 1, wherein if a point on the curve is designated, the portfolio corresponding to the designated point is output. A portfolio calculation method by a portfolio calculation device for calculating a portfolio showing an optimal investment ratio for a plurality of stocks,
The portfolio calculation device includes:
Risk performance data, which is data that continuously accumulates the actual value of risk in the stock price of the stock brand, market data that is data indicating the latest stock price in the stock brand, and the management status of the company corresponding to the stock brand A storage procedure for storing, in the storage unit, company data, which is data indicating data, for each stock brand;
If accepting the input of a combination of the stock names, calculates the data item score indicating the score of the standard deviation of each data item constituting the market data and enterprise data stored in the storage unit are standardized by the storage procedure Data item score calculation procedure to
Obtaining a plurality of predetermined combinations from the data items and calculating the total score by adding the data item scores for each combination of the data items , sorting the stocks in the order of the total score, and ranking after the sorting wherein the score corresponding to each combination of data items assigned the value, and the composite score calculation step of calculating a composite score by the this summing the values of the respective score depending on,
A predetermined maximum predicted return is allocated to the predicted return of the stock issue having the maximum composite score calculated by the composite score calculation procedure , a predetermined minimum predicted return is allocated to the predicted return of the stock issue having the minimum value, and other stocks. A predicted return calculation procedure for calculating a predicted return of each stock by allocating a predicted return of a stock in proportion to the composite score between the maximum predicted return and the minimum predicted return;
Based on the predicted return of each stock issue calculated by the predicted return calculation procedure and the risk performance data of each stock issue stored in the storage unit, a portfolio indicating an optimal investment ratio for the plurality of stock issues is calculated. And a portfolio calculation procedure,
The score corresponding to each combination includes a growth score including the average sales growth rate, return on net assets and rate of change in forecasted ordinary income as the data item, relative position between stock price and stock price moving average, chart signal, credit balance Technical score including stock balance and stock candlestick chart shape as the data item, stock price volatility and historical beta value as the data item, motion intensity score, bargain score, company size score, financial content score, and past return score A portfolio calculation method characterized by being formed by :   The portfolio calculation procedure displays an effective frontier curve as a whole combination of the stock issues obtained on the basis of the predicted return and the risk actual data on a graph having risk and return as two axes, and the effective frontier 4. The portfolio calculation method according to claim 3, wherein if a point on the curve is designated, the portfolio corresponding to the designated point is output. A portfolio calculation device for calculating a portfolio showing an optimal investment ratio for a plurality of stocks,
Risk performance data, which is data that continuously accumulates the actual value of risk in the stock price of the stock brand, market data that is data indicating the latest stock price in the stock brand, and the management status of the company corresponding to the stock brand Storage means for storing, in the storage unit, company data, which is data indicating
If accepting the input of a combination of the stock names, calculates the data item score indicating the score of the standard deviation of each data item constituting the market data and enterprise data stored in the storage unit and standardized by the storage means Data item score calculating means to
Obtaining a plurality of predetermined combinations from the data items and calculating the total score by adding the data item scores for each combination of the data items , sorting the stocks in the order of the total score, and ranking after the sorting And assigning a value to the score corresponding to each combination of the data items in accordance with, a composite score calculating means for calculating a composite score by adding the values of the respective scores ,
A predetermined maximum predicted return is allocated to the predicted return of the stock issue having the maximum composite score calculated by the composite score calculating means , a predetermined minimum predicted return is allocated to the predicted return of the stock issue having the minimum value, and other stocks A predicted return calculating means for calculating a predicted return of each stock by allocating a predicted return of a stock in proportion to the composite score between the maximum predicted return and the minimum predicted return;
Based on the predicted return of each stock issue calculated by the predicted return calculation means and the risk performance data of each stock issue stored in the storage unit, a portfolio showing an optimal investment ratio for the plurality of stock issues is calculated. A portfolio calculation means,
The score corresponding to each combination includes a growth score including the average sales growth rate, return on net assets and rate of change in forecasted ordinary income as the data item, relative position between stock price and stock price moving average, chart signal, credit balance Technical score including stock balance and stock candlestick chart shape as the data items, stock price volatility and historical beta value as the data items, motion intensity score, bargain score, company size score, financial content score, and past return score It is formed by the portfolio calculation apparatus characterized by the above-mentioned.   The portfolio calculation means displays an effective frontier curve as a whole combination of the stock issues obtained on the basis of the predicted return and the risk actual data on a graph having risk and return as two axes, and the effective frontier 6. The portfolio calculation apparatus according to claim 5, wherein if a point on the curve is designated, the portfolio corresponding to the designated point is output.

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