JP4382705B2 - Investment trust return check device, investment trust return check method, and program - Google Patents

Description

  The present invention relates to an investment trust return check device, an investment trust return check method, and a program. In particular, the present invention relates to an investment trust return check device and an investment trust return check method for checking either or both of daily return and excess return of an investment trust, and a program for causing a computer to function as an investment trust return check device. .

There is known a system that verifies the validity of the reference value of an investment trust using the rate of change (see, for example, Patent Document 1). There is also known an apparatus for evaluating an investment trust using an excess return, which is the difference between the return of the investment trust and the return of the benchmark (see, for example, Patent Document 2).
JP 2002-342567 A JP 2002-32565 A

  A multi-faceted check is effective in determining whether fluctuations in daily and excess returns of investment trusts are within a reasonable range. In addition, if there is a distribution payment on the closing date of the investment trust, the base value on the closing date has a decline due to the distribution failure.

In order to solve the above-mentioned problem, in the first aspect of the present invention, an average value and a standard deviation of a daily return on an investment trust operation date and a daily return for a predetermined period immediately after the operation date in the investment trust, In addition, the storage information of the investment trust daily information storage unit that stores the standard deviation of the daily return of the predetermined period most recent from the management date in the benchmark of the investment trust in association with the date information indicating the management date In the investment trust return check device for checking the daily return of the investment trust on a specific date,
The daily return of the investment trust on the specific date stored in the investment trust daily information storage unit in association with the date information indicating the specific date and the date of the investment trust in the predetermined period most recently from the specific date An acquisition unit for acquiring an average value and a standard deviation for a next return, and a standard deviation for a daily return of the predetermined period most recently from the specific date in the benchmark;
The daily return on the specific day of the investment trust acquired by the acquisition unit is n times the standard deviation of the investment trust centered on the average value of the daily return of the investment trust acquired by the acquisition unit ( However, a first daily return determination unit that determines whether or not within a range of 2 ≦ n ≦ 4) and outputs a warning when not within the range;
The daily return on the specific day of the investment trust acquired by the acquisition unit is n times the standard deviation of the benchmark centered on the average value of the daily return of the investment trust acquired by the acquisition unit. And a second daily return determination unit that determines whether or not the value is within the range and outputs a warning when the value is not within the range.

In the first aspect of the present invention,
The investment trust daily information storage unit includes an excess return obtained by subtracting a daily return on the management date of the benchmark from a daily return of the investment trust and the predetermined date closest to the management date on the investment trust. The average value and the standard deviation for the excess return of the period are further stored in association with the date information indicating the operation date,
The acquisition unit is stored in the investment trust daily information storage unit in association with the date information indicating the specific date, the excess return of the investment trust on the specific date and the most recent date from the specific date on the investment trust. Further obtaining an average value and a standard deviation for excess returns for the predetermined period,
The excess return on the specific day of the investment trust acquired by the acquisition unit is a range of n times the standard deviation of the excess return centered on the average value of the excess returns of the investment trust acquired by the acquisition unit It is good also as a structure further provided with the excess return judgment part which judges whether it is in, and outputs a warning when it is not in the said range.

In the first aspect of the present invention,
A first expected probability storage unit that stores an expected probability that the first daily return determination unit outputs a warning;
A first counting unit that counts the number of times the first daily return determination unit outputs a warning during the predetermined period;
A second expected probability storage unit for storing an expected probability that the second daily return determination unit outputs a warning;
A second counting unit that counts the number of times the second daily return determination unit outputs a warning during the predetermined period;
The number of warnings counted by the first counting unit is greater than an expected value obtained by multiplying the expected probability stored in the first expected probability storage unit by the number of days in the predetermined period, or the second When the number of warnings counted by the counting unit is larger than the predicted value obtained by multiplying the predicted probability stored in the second predicted probability storage unit by the number of days in the predetermined period, A warning output determination unit that outputs information indicating that the
It is good also as a structure which checks the daily return on the said management day of the said investment trust on each management day of the said investment trust, or the next day.

In the first aspect of the present invention,
An expected probability storage unit for storing an expected probability that a warning is output from the first or second daily return determination unit;
A first counting unit that counts the number of times a warning is output from the first daily return determination unit during the predetermined period;
A second counting unit that counts the number of times a warning is output from the second daily return determination unit during the predetermined period;
A summing unit for calculating a total number of times that the number of warnings counted by the first counting unit and the number of warnings counted by the second counting unit are totaled;
Designates which number of warnings to be selected from the number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the total number of times calculated by the totaling unit A selection specification information storage unit for storing selection specification information to be
The number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the total number of times calculated by the totaling unit are selected as the number of times. A selection unit that selects based on the selection designation information stored in the designation information storage unit;
When the number of times selected by the selection unit is greater than an expected value obtained by multiplying the expected probability stored in the predicted probability storage unit by the number of days in the predetermined period, the number of warning occurrences exceeds the expected value. A warning output determination unit that outputs information, and
It is good also as a structure which checks the daily return on the said management day of the said investment trust on each management day of the said investment trust, or the next day.

In the first aspect of the present invention,
An expected probability storage unit for storing an expected probability that a warning is output from the first or second daily return determination unit;
A first counting unit that counts the number of times a warning is output from the first daily return determination unit during the predetermined period;
A second counting unit that counts the number of times a warning is output from the second daily return determination unit during the predetermined period;
A third counting unit that counts the number of days that a warning is output during the predetermined period from the first daily return determination unit or the second daily return determination unit;
Which number should be selected from the number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the number of days counted by the third counting unit A selection specification information storage unit for storing selection specification information for specifying
Any one of the number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the number of days counted by the third counting unit, A selection unit for selecting based on the selection designation information stored in the selection designation information storage unit;
When the number selected by the selection unit is larger than an expected value obtained by multiplying the expected probability stored in the expected probability storage unit by the number of days in the predetermined period, the number of warning occurrences exceeds the expected value. And a warning output determination unit that outputs information,
It is good also as a structure which checks the daily return on the said management day of the said investment trust on each management day of the said investment trust, or the next day.

In the first aspect of the present invention,
A first warning output information storage unit that stores warning presence / absence information indicating whether or not the first daily return determination unit outputs a warning in association with date information indicating the specific date;
A second warning output information storage unit that stores warning presence / absence information indicating whether or not the second daily return determination unit outputs a warning in association with date information indicating the specific date;
When there is a date information associated with the warning presence / absence information indicating that the warning is output in the first warning output information storage unit indicating two consecutive days, or the second warning output information A warning output determination unit that outputs that when there is a date indicating two consecutive days in the date information associated with the warning presence / absence information indicating that the warning is output in the storage unit;
It is good also as a structure which checks the daily return on the said management day of the said investment trust on each management day of the said investment trust, or the next day.

In the first aspect of the present invention,
N is a value from 2.5 to 3.5;
The average value and standard deviation for the daily return for the predetermined period most recently from the specific date in the investment trust is the average value and standard deviation for the daily return for the most recent 90 days from the specific date in the investment trust,
The standard deviation for the daily return for the predetermined period most recently from the specific date in the benchmark may be a standard deviation for the daily return for the most recent 90 days from the specific date in the benchmark.

In the second embodiment of the present invention, an amount obtained by subtracting the previous day's base price P (a-1) of the investment date a from the base price P (a) of the investment trust's management day a is the previous day's base price P (a− The average of the daily return {P (a) -P (a-1)} / P (a-1) divided by 1) and the daily return for the predetermined period most recent from the management date a in the investment trust Value Rfav (a) and standard deviation σf (a), standard deviation σbm (a) for the daily return of the predetermined period most recent from the management date a in the benchmark of the investment trust, and the management of the investment trust Excess return Rα (a) obtained by subtracting the daily return on the management date a of the benchmark from the daily return on the date a, and the average value Rαav for the excess return for the predetermined period most recently from the management date a in the investment trust (A) and mark An investment that checks the daily return of the closing date k of the investment trust using the storage information of the investment trust daily information storage unit that stores the deviation σα (a) in association with the date information indicating the management date a In the trust return check device,
The distribution date information indicating whether or not the distribution amount D of the closing date k is 0, and the reference value P (k) of the closing date k of the investment trust when the distribution amount D is not 0, the closing date. The corrected daily return {P (k) obtained by adding the distribution amount D of k and then subtracting the previous day's base value P (k-1) of the settlement date k by the previous day's base value P (k-1) + D−P (k−1)} / P (k−1) and an input unit for inputting the corrected excess return obtained by subtracting the daily return at the closing date k of the investment trust benchmark from the corrected daily return When,
When the distribution amount presence / absence information input to the input unit is a distribution amount indicating that the distribution amount D is not 0, the investment trust daily information is stored in association with information indicating the day before the settlement date k. The first average value Rfav (k−1) and standard deviation σf (k−1) for the daily return for the predetermined period most recently from the previous day of the settlement date k in the investment trust, the investment The standard deviation σbm (k) for the daily return of the predetermined period most recent from the closing date k of the trust benchmark, and the excess return of the predetermined period immediately before the closing date k of the investment trust A distribution money that obtains a first average value Rαav (k−1) and a standard deviation σα (k−1) and indicates that the distribution money D is 0 in the distribution money presence / absence information input to the input unit. If no, before Daily return {P (k) -P (k-1)} / P of the investment trust's closing date k stored in the investment trust daily information storage unit in association with the information indicating the closing date k (K-1) and the second average value Rfav (k) and standard deviation σf (k) for the daily return in the predetermined period most recent from the settlement date k in the investment trust, the settlement of the investment trust benchmark The standard deviation σbm (k) for the daily return for the predetermined period most recently from the date k, and the second average value Rαav (k for the excess return for the predetermined period most recent from the settlement date k in the investment trust ) And standard deviation σα (k),
When the distribution is present, the corrected daily return {P (k) + DP (k−1)} / P (k−1) of the settlement date k input to the input unit is the acquisition unit. N times (where 2 ≦ n ≦ 4) of the first standard deviation σf (k−1) centered on the first average value Rfav (k−1) of the daily return acquired by It is determined whether or not it is within the range, and if it is not within the range, a warning is output. If there is no distribution, a daily return {P (k) of the settlement date k acquired by the acquisition unit −P (k−1)} / P (k−1) is the second standard deviation σf centered on the second average value Rfav (k) for the daily return acquired by the acquisition unit. A first daily return determination unit that determines whether or not it is within the range of the n times of (k) and outputs a warning if it is not within the range;
When the distribution is present, the corrected daily return {P (k) + DP (k−1)} / P (k−1) of the settlement date k input to the input unit is the acquisition unit. Is determined to be within the range of n times the standard deviation σbm (k) of the benchmark centered on the first average value Rfav (k−1) for the acquired daily return. If it is not within the range, a warning is output, and if there is no distribution, daily return {P (k) -P (k-1)} / P of the settlement date k acquired by the acquisition unit Whether or not (k−1) is within the range of n times the standard deviation σbm (k) of the benchmark centered on the second average value Rfav (k) acquired by the acquisition unit. A second daily return determination unit that determines and outputs a warning if not within the range;
When the distribution is present, the corrected excess return of the settlement date k input to the input unit is centered on the first average value Rα (k−1) for the excess return acquired by the acquisition unit. It is determined whether or not it is within the range of the n times the first standard deviation σα (k−1), and if it is not within the range, a warning is output. The second standard deviation σα (k) centered on the second average value Rαav (k) of the excess return acquired by the acquisition unit is the excess return of the settlement date k acquired by the acquisition unit. An excess return determination unit that determines whether or not it is within the range of n times the output and outputs a warning when it is not within the range.

In the third aspect of the present invention, an amount obtained by subtracting the base price P (a-1) on the previous day of the management date a from the base price P (a) of the investment trust management date a is the previous day base price P (a− The average of the daily return {P (a) -P (a-1)} / P (a-1) divided by 1) and the daily return for the predetermined period most recent from the management date a in the investment trust The value Rfav (a) and the standard deviation σf (a) are stored in association with the date information indicating the operation date a, and stored in the daily information storage unit of the investment trust. In an investment trust return check device that checks daily returns,
The distribution date information indicating whether or not the distribution amount D of the closing date k is 0, and the reference value P (k) of the closing date k of the investment trust when the distribution amount D is not 0, the closing date. The corrected daily return {P (k) obtained by adding the distribution amount D of k and then subtracting the previous day's base value P (k-1) of the settlement date k by the previous day's base value P (k-1) + D−P (k−1)} / P (k−1) is input,
When the distribution amount presence / absence information input to the input unit is a distribution amount indicating that the distribution amount D is not 0, the investment trust daily information is stored in association with information indicating the day before the settlement date k. The first average value Rfav (k−1) and standard deviation σf (k−1) for the daily return of the predetermined period most recently from the previous day of the closing date k in the investment trust is stored. If the distribution amount presence / absence information input to the input unit indicates that there is no distribution amount indicating that the distribution amount D is 0, the investment trust daily information is stored in association with the information indicating the settlement date k. The daily return {P (k) -P (k-1)} / P (k-1) of the closing date of the investment trust stored in the section and the closing date k of the investment trust A second average value Rfav (k) for daily returns for a given period and An acquisition unit for acquiring a standard deviation σf (k);
When the distribution is present, the corrected daily return {P (k) + DP (k−1)} / P (k−1) of the settlement date k input to the input unit is the acquisition unit. Is within the range of n times (where 2 ≦ n ≦ 4) the first standard deviation σf (k−1) centered on the first average value Rfav (k−1) acquired. If it is not within the range, a warning is output. If there is no distribution, a daily return {P (k) −P (k−1) of the settlement date k acquired by the acquisition unit. )} / P (k−1) is in the range of n times the second standard deviation σf (k) centered on the second average value Rfav (k) acquired by the acquisition unit. And a daily return determination unit that outputs a warning when it is not within the range.

In the third aspect of the present invention,
The daily return Rf (a) on the management date a prior to the previous day of the closing date k stored in the investment trust daily information storage unit is calculated from the base value P (a) of the management date a on the management date a. The value obtained by dividing the previous day's base price P (a-1) by the previous day's base price P (a-1) is {P (a) -P (a-1)} / P (a-1). ,
The daily return Rf (k) of the closing date k stored in the investment trust daily information storage unit reflects the information on the distribution D of the closing date k in the storage information of the investment trust daily information storage unit. Until the distribution date reflecting date t, the amount obtained by subtracting the base price P (k-1) the previous day of the closing date k from the base price P (k) of the closing date k is the base price P (k-1) of the previous day. ) Divided by {) (P (k) −P (k−1)} / P (k−1)), and after the distribution date reflecting time t, the base price P (k) of the settlement date k The value obtained by adding the distribution amount D on the closing date and then subtracting the previous day base value P (k-1) of the closing date k by the previous day base value P (k-1) {P (k) + D−P (k−1)} / P (k−1),
The average value Rfav (k) and the standard deviation σf (k) for the daily return for the most recent predetermined period from the settlement date k stored in the investment trust daily information storage unit is until the distribution date reflecting time t. , As the daily return Rf (k) of the closing date k, the amount obtained by subtracting the preceding base date P (k−1) of the closing date k from the closing date base value P (k) of the closing date k k−1) is used, and the value {P (k) −P (k−1)} / P (k−1) is used. As the daily return Rf (k), the distribution amount D of the closing date k is added to the reference value P (k) of the closing date k, and then the previous day reference value P (k−1) of the closing date k is subtracted. The value {P (k) + DP (k-1)} / P (k-1) obtained by dividing the amount by the base price P (k-1) on the previous day was used. Updated to stuff
A date / time condition determining unit for determining whether a date / time condition that the current date / time is earlier than the distribution money reflecting date / time t is satisfied;
When the date / time condition determination unit determines that the date / time condition is satisfied, the input unit includes distribution amount presence / absence information indicating whether or not the distribution amount D of the settlement date k is 0, and the distribution amount D The amount obtained by adding the distribution amount D of the closing date k to the reference value P (k) of the closing date k of the investment trust when it is not 0 and then subtracting the reference value P (k-1) the previous day of the closing date k Is displayed on the display unit, and the distribution presence / absence information input in accordance with the input screen and the corrected daily return { It is good also as a structure which acquires P (k) + DP (k-1)} / P (k-1).

In the fourth aspect of the present invention, an amount obtained by subtracting the previous day base price P (a-1) of the investment date a from the base price P (a) of the investment trust management date a is the previous day base price P (a− Excess return Rα obtained by subtracting the daily return on the management date a of the investment trust benchmark from the daily return {P (a) -P (a-1)} / P (a-1) divided by 1) (A) and the average value Rαav (a) and the standard deviation σα (a) for the excess return of the predetermined period most recent from the management date a in the investment trust are associated with the date information indicating the management date a In the investment trust return check device that checks the excess return Rα (k) of the closing date k of the investment trust using the stored information of the investment trust daily information storage unit
The distribution date information indicating whether or not the distribution amount D of the closing date k is 0, and the reference value P (k) of the closing date k of the investment trust when the distribution amount D is not 0, the closing date. The corrected daily return {P (k) obtained by adding the distribution amount D of k and then subtracting the previous day's base value P (k-1) of the settlement date k by the previous day's base value P (k-1) An input unit for inputting an overcorrected return obtained by subtracting a daily return at the closing date k of the benchmark from + D−P (k−1)} / P (k−1);
When the distribution amount presence / absence information input to the input unit is a distribution amount indicating that the distribution amount D is not 0, the investment trust daily information is stored in association with information indicating the day before the settlement date k. The first average value Rαav (k−1) and standard deviation σα (k−1) for the excess return of the predetermined period most recently from the previous day of the settlement date k in the investment trust, When the distribution amount presence / absence information input to the input unit indicates that there is no distribution amount indicating that the distribution amount D is 0, the investment trust daily information storage unit is associated with information indicating the settlement date k. And the second average value Rαav (k) and standard for the excess return Rα (k) of the investment trust on the closing date k and the excess return of the investment trust for the predetermined period most recently from the closing date k Get to get deviation σα (k) And,
In the case where the distribution is present, the overcorrected return of the closing date k input to the input unit is the first average centered on the first average value Rαav (k−1) acquired by the acquisition unit. It is determined whether it is within the range of n times the standard deviation σα (k−1) (where 2 ≦ n ≦ 4), and if it is not within the range, a warning is output. In this case, the excess return Rα (k) of the settlement date k acquired by the acquisition unit is the second standard deviation σα (centered on the second average value Rαav (k) acquired by the acquisition unit. an excess return determination unit that determines whether or not it is within the range of n times the k) and outputs a warning if it is not within the range.

In the fourth aspect of the present invention,
The excess return Rα (a) of the management date a prior to the previous day of the settlement date k stored in the investment trust daily information storage unit is calculated from the base value P (a) of the management date a to the previous day of the management date a. Investment trust daily return {P (a) -P (a-1)} / P (a-1) divided by base price P (a-1) minus the previous day's base price P (a-1) Is the value obtained by subtracting the daily return on the operating date a of the benchmark from
In the excess return Rα (k) of the closing date k stored in the investment trust daily information storage unit, the distribution D information of the closing date k is reflected in the storage information of the investment trust daily information storage unit. Until the distribution date reflecting date t, the amount obtained by subtracting the base price P (k-1) of the previous settlement date k from the base price P (k) of the settlement date k is the previous day base price P (k-1). The value obtained by subtracting the daily return at the closing date k of the benchmark from the daily return {P (k) -P (k-1)} / P (k-1) divided by After the reflection date t has elapsed, the amount obtained by adding the distribution amount D on the closing date k to the reference value P (k) on the closing date k and then subtracting the previous reference amount P (k-1) on the closing date k Divided by the previous day's base price P (k-1), the modified daily return {P (k) + DP (k-1)} / P (k- Updated to 1) minus the daily return at the closing date k of the benchmark,
The average value Rαav (k) and standard deviation σα (k) for the excess return for the most recent predetermined period from the settlement date k stored in the investment trust daily information storage unit is until the distribution date reflecting time t, As the excess return Rα (k) at the closing date k, an amount obtained by subtracting the previous base date P (k−1) of the closing date k from the base date P (k) of the closing date k is the previous base date P (k The value obtained by subtracting the daily return at the closing date k of the benchmark from the daily investment trust return {P (k) -P (k-1)} / P (k-1) divided by -1) After the distribution date reflecting time t has elapsed, the distribution D on the closing date k is added to the base value P (k) on the closing date k as the excess return Rα (k) on the closing date k. The amount obtained by subtracting the previous day's base value P (k-1) from the closing date k is based on the previous day Subtract the daily return at the closing date k of the benchmark from the modified daily return {P (k) + DP (k-1)} / P (k-1) divided by the amount P (k-1) Updated to those using
A date / time condition determining unit for determining whether a date / time condition that the current date / time is earlier than the distribution money reflecting date / time t is satisfied;
When the date / time condition determination unit determines that the date / time condition is satisfied, the input unit includes distribution amount presence / absence information indicating whether or not the distribution amount D of the settlement date k is 0, and the distribution amount D The amount obtained by adding the distribution amount D of the closing date k to the reference value P (k) of the closing date k of the investment trust when it is not 0 and then subtracting the reference value P (k-1) the previous day of the closing date k An input screen for prompting the input of the excess excess return obtained by subtracting the daily return at the closing date k of the benchmark from the corrected daily return divided by the base price P (k-1) on the previous day, The distribution amount presence / absence information input according to the input screen and the corrected excess return may be acquired.

In the fifth aspect of the present invention, the average value and standard deviation of the daily return of the investment trust on the management day and the daily return of the investment trust for the predetermined period most recently from the management date, and the benchmark of the investment trust The standard deviation of the daily return for the predetermined period most recently from the management date is stored by the computer using the storage information of the investment trust daily information storage unit that stores the standard deviation in association with the date information indicating the management date. In the mutual fund return check method for checking the daily return of a mutual fund on a specific day,
The computer stores the daily return of the investment trust on the specific date stored in the investment trust daily information storage unit in association with the date information indicating the specific date and the most recent date on the investment trust from the specific date. Obtaining an average value and standard deviation for a daily return for a predetermined period, and a standard deviation for a daily return for the predetermined period closest to the specific date in the benchmark;
A standard deviation of the investment trust centered on the average value of the daily returns of the investment trust acquired in the acquisition step is a daily return of the investment trust acquired by the computer in the acquisition step. A first daily return determination step for determining whether or not the value is within a range of n times (where 2 ≦ n ≦ 4), and outputting a warning if not within the range;
The standard return of the benchmark centered on the average value of the daily returns of the investment trust acquired in the acquisition step is the daily return of the investment trust acquired in the acquisition step by the computer. A second daily return determination step of determining whether or not it is within the n-fold range and outputting a warning if it is not within the range.

In the sixth aspect of the present invention, an amount obtained by subtracting the previous day base price P (a-1) of the investment date a from the base price P (a) of the investment trust management date a is the previous day base price P (a− The average of the daily return {P (a) -P (a-1)} / P (a-1) divided by 1) and the daily return for the predetermined period most recent from the management date a in the investment trust The value Rfav (a) and the standard deviation σf (a), the standard deviation σbm (a) for the daily return for the predetermined period most recent from the management date a in the benchmark of the investment trust, and the management of the investment trust Excess return Rα (a) obtained by subtracting the daily return on the management date a of the benchmark from the daily return on the date a, and the average value Rαav for the excess return for the predetermined period most recently from the management date a in the investment trust (A) and mark Using the stored information of the mutual fund daily information storage unit that stores the deviation σα (a) in association with the date information indicating the operating date a, the computer checks the daily return of the closing date k of the mutual fund. In the investment trust return check method,
A distribution amount presence / absence information indicating whether or not the distribution amount D of the closing date k is 0, and a reference price P (k) of the investment trust when the distribution amount D is not 0 The daily return corrected by adding the distribution amount D of the closing date k to the previous day and subtracting the previous day base value P (k-1) of the closing date k by the previous day base value P (k-1) { P (k) + D-P (k-1)} / P (k-1) and the corrected excess return obtained by subtracting the daily return at the closing date k of the investment trust benchmark from the revised daily return Input step,
In the case where the distribution amount presence / absence information input in the input step is a distribution amount indicating that the distribution amount D is not 0, the computer associates the investment trust with information indicating the day before the settlement date k. The first average value Rfav (k−1) and standard deviation σf (k−1) for the daily return for the predetermined period most recently from the previous day of the settlement date k in the investment trust stored in the daily information storage unit ), The standard deviation σbm (k) of the daily return of the predetermined period most recently from the closing date k of the investment trust benchmark, and the predetermined period of time immediately before the closing date k of the investment trust. The first average value Rαav (k−1) and the standard deviation σα (k−1) for the excess return are obtained, and the distribution amount D is 0 in the distribution amount presence / absence information input in the input step. In the case where there is no distribution indicating that the closing date of the investment trust is stored in the daily information storage unit of the investment trust, the daily return of the closing date k of the investment trust {P (k ) −P (k−1)} / P (k−1) and the second average value Rfav (k) and standard deviation σf () for the daily return of the investment trust for the predetermined period most recently from the settlement date k. k), the standard deviation σbm (k) of the daily return for the predetermined period most recent from the settlement date k of the investment trust benchmark, and the excess of the predetermined period most recently from the settlement date k in the investment trust An obtaining step of obtaining a second average value Rαav (k) and standard deviation σα (k) for return;
If the computer has the distribution, the corrected daily return {P (k) + DP (k-1)} / P (k-1) of the settlement date k input in the input step is , N times the first standard deviation σf (k−1) centered on the first average value Rfav (k−1) for the daily return acquired in the acquiring step (where 2 ≦ n ≦ 4) is determined, and if it is not within the range, a warning is output. If there is no distribution, the daily return of the settlement date k acquired in the acquisition step { P (k) −P (k−1)} / P (k−1) is the second centered on the second average value Rfav (k) for the daily return acquired in the acquisition step. Is determined to be within the range of n times the standard deviation σf (k) of A first daily return determination step for outputting a warning;
If the computer has the distribution, the corrected daily return {P (k) + DP (k-1)} / P (k-1) of the settlement date k input in the input step is Whether the standard return σbm (k) of the benchmark centered on the first average value Rfav (k−1) for the daily return acquired in the acquisition step is in the range of n times If it is not within the range, a warning is output. If there is no distribution, the daily return {P (k) −P (k−1) of the settlement date k acquired in the acquisition step. )} / P (k−1) is in the range of n times the standard deviation σbm (k) of the benchmark centered on the second average value Rfav (k) acquired in the acquisition step. Second to output a warning if it is not within the range Daily return judgment step,
When the computer has the distribution, the corrected excess return of the settlement date k input in the input step is the first average value Rα (k−) for the excess return acquired in the acquisition step. 1) It is determined whether or not it is within the range of n times the first standard deviation σα (k−1) centered on 1), and if it is not within the range, a warning is output and no distribution is made In the case, the second standard deviation centered on the second average value Rαav (k) for the excess return acquired in the acquisition step is the excess return of the settlement date k acquired in the acquisition step. and an excess return determination step of determining whether or not it is within the range of n times σα (k) and outputting a warning if it is not within the range.

In the seventh aspect of the present invention, an amount obtained by subtracting the previous day base price P (a-1) of the investment date a from the base price P (a) of the investment trust management date a is the previous day base price P (a− The average of the daily return {P (a) -P (a-1)} / P (a-1) divided by 1) and the daily return for the predetermined period most recent from the management date a in the investment trust The settlement date of the investment trust is calculated by a computer using the storage information of the investment trust daily information storage unit that stores the value Rfav (a) and the standard deviation σf (a) in association with the date information indicating the management date a. In the mutual fund return check method for checking the daily return of k,
A distribution amount presence / absence information indicating whether or not the distribution amount D of the closing date k is 0, and a reference price P (k) of the investment trust when the distribution amount D is not 0 The daily return corrected by adding the distribution amount D of the closing date k to the previous day and subtracting the previous day base value P (k-1) of the closing date k by the previous day base value P (k-1) { An input step in which P (k) + DP (k−1)} / P (k−1) is input;
In the case where the distribution amount presence / absence information input in the input step is a distribution amount indicating that the distribution amount D is not 0, the computer associates the investment trust with information indicating the day before the settlement date k. The first average value Rfav (k−1) and standard deviation σf (k−1) for the daily return for the predetermined period most recently from the previous day of the settlement date k in the investment trust stored in the daily information storage unit ) And when the distribution amount presence / absence information input in the input step indicates that there is no distribution amount indicating that the distribution amount D is 0, the investment trust is associated with the information indicating the settlement date k. Daily return {P (k) -P (k-1)} / P (k-1) of the closing date k of the investment trust and the closing date of the investment trust stored in the daily information storage unit k for daily returns for the most recent period An acquisition step of acquiring a second average value Rfav (k) and the standard deviation .sigma.f (k) of Te,
If the computer has the distribution, the corrected daily return {P (k) + DP (k-1)} / P (k-1) of the settlement date k input in the input step is In the range of n times (where 2 ≦ n ≦ 4) the first standard deviation σf (k−1) centered on the first average value Rfav (k−1) acquired in the acquisition step. If there is no distribution, the daily return {P (k) −P of the settlement date k acquired in the acquisition step is output. (K-1)} / P (k-1) is n times the second standard deviation σf (k) centered on the second average value Rfav (k) acquired in the acquisition step. And a daily return determination step for determining whether it is within the range and outputting a warning if it is not within the range. It is characterized by.

In the eighth embodiment of the present invention, an amount obtained by subtracting the base price P (a-1) on the previous day of the management date a from the base price P (a) of the investment trust management date a is the previous day base price P (a− Excess return Rα obtained by subtracting the daily return on the management date a of the investment trust benchmark from the daily return {P (a) -P (a-1)} / P (a-1) divided by 1) (A) and the average value Rαav (a) and the standard deviation σα (a) for the excess return of the predetermined period most recent from the management date a in the investment trust are associated with the date information indicating the management date a In the investment trust return check method for checking the excess return Rα (k) of the closing date k of the investment trust using a storage information in the investment trust daily information storage unit
A distribution amount presence / absence information indicating whether or not the distribution amount D of the closing date k is 0, and a reference price P (k) of the investment trust when the distribution amount D is not 0 The daily return corrected by adding the distribution amount D of the closing date k to the previous day and subtracting the previous day base value P (k-1) of the closing date k by the previous day base value P (k-1) { An input step in which a corrected excess return obtained by subtracting a daily return at the closing date k of the benchmark from P (k) + DP (k-1)} / P (k-1) is input;
In the case where the distribution amount presence / absence information input in the input step is a distribution amount indicating that the distribution amount D is not 0, the computer associates the investment trust with information indicating the day before the settlement date k. First average value Rαav (k−1) and standard deviation σα (k−1) of excess returns for a predetermined period most recently from the previous day of the closing date k in the investment trust stored in the daily information storage unit If the distribution amount presence / absence information input in the input step is no distribution amount indicating that the distribution amount D is 0, the investment trust date is associated with the information indicating the settlement date k. The second average value Rαav (excess return Rα (k) of the investment trust on the closing date k stored in the next information storage unit and the excess return of the investment trust for the predetermined period most recently from the closing date k ( k) and An acquisition step of acquiring a standard deviation σα (k),
When the computer has the distribution amount, the overcorrected return of the settlement date k input in the input step is centered on the first average value Rαav (k−1) acquired in the acquisition step. It is determined whether or not it is within a range of n times (where 2 ≦ n ≦ 4) of the first standard deviation σα (k−1), and if not within the range, a warning is output, In the case of no distribution, the excess return Rα (k) of the closing date k acquired in the acquisition step is the second average value Rαav (k) acquired in the acquisition step. An excess return determination step of determining whether or not the standard deviation σα (k) is within the range of the n times, and outputting a warning when not within the range.

  A ninth aspect of the present invention is a program for causing a computer to function as the investment trust return check device according to any one of the first to fourth aspects.

  The above summary of the invention does not enumerate all the necessary features of the present invention, and sub-combinations of these feature groups can also be the invention.

  According to the first, second, fifth and sixth aspects of the present invention, it is possible to appropriately determine whether or not the daily return and / or excess return of the mutual fund is within a reasonable range. Further, according to the second, third, fourth, sixth, seventh and eighth aspects of the present invention, the distribution of the base value is taken into account when the distribution is paid on the closing date of the investment trust. Judgment can be made.

  Hereinafter, the present invention will be described through embodiments of the invention. However, the following embodiments do not limit the invention according to the scope of claims, and all combinations of features described in the embodiments are included. It is not necessarily essential for the solution of the invention.

FIG. 1 is a configuration diagram showing an example of the configuration of an investment trust return check system 110 according to an embodiment of the present invention. The investment trust return check system 110 includes an investment trust return check device 100 and an external database 170. The external database 170 stores daily data of investment trust information and benchmark information, and is connected to the investment trust return check device 100 via a communication line 150 such as the Internet. The investment trust return check apparatus 100 receives daily data of investment trust information and benchmark information from the external database 170, for example, the reference value of the investment trust and the index of the benchmark every day via the communication line 150 (every day of operation of the investment trust). get.
The investment trust return check apparatus 100 calculates the daily return of the investment trust (fund) on the day based on the reference value of the investment trust acquired from the external database 170, and the predetermined period of time nearest from the day of the investment trust. Calculate the mean and standard deviation for daily returns. Further, the daily return of the current day of the benchmark is calculated based on the benchmark index acquired from the external database 170, and the average value and the standard deviation of the daily return of the benchmark for the most recent predetermined period are calculated. Furthermore, the excess return for the current day is calculated by subtracting the daily return for the benchmark day from the daily return for the mutual fund, and the average value and standard deviation for the excess return for the predetermined period most recently from the day are calculated. Then, the investment trust return check device 100 checks the validity of the fluctuation of the daily return and excess return of the investment trust, and notifies the check results to users such as fund managers and investors.

  Specifically, the investment trust return check apparatus 100 has a fluctuation range from the average value of the daily returns of the investment trust that is n times the standard deviation of the daily returns for the most recent predetermined period (however, 2 ≦ n ≦ 4 ), And whether it is within an allowable range of n times the standard deviation of the benchmark daily return for the most recent predetermined period. Further, it is determined whether or not the fluctuation range from the average value of the excess returns of the investment trust is within an allowable range of n times the standard deviation of the excess returns for the most recent predetermined period. Then, the investment trust return check device 100 sends a message such as “the daily return fluctuation exceeds the allowable range” to the user when the fluctuation range of the daily return of the investment trust is not within the allowable range. If the fluctuation range of the excess return of the investment trust is not within the allowable range, a message such as “the fluctuation range of the excess return exceeds the allowable range” is transmitted to the user terminal device. According to the investment trust return check device 100, it is possible to appropriately check whether or not the fluctuation of the daily return and the excess return of the investment trust is within a reasonable range.

  The investment trust return check device 100 of the present embodiment is a terminal device such as a personal computer that executes an application program for investment trust return check, but the investment trust return check device 100 is a mobile phone such as a mobile phone or a PDA. It may be an information terminal or the like. The external database 170 may be configured to store daily data of investment trust information and benchmark information provided by, for example, a securities company, an investment trust management organization, an information vendor, or the like.

  FIG. 2 is a block diagram illustrating an example of a functional configuration of the investment trust return check apparatus 100. The investment trust return check apparatus 100 includes an investment trust information acquisition unit 210, a daily return calculation unit 220, an investment trust average calculation unit 230, a benchmark average calculation unit 240, an excess return calculation unit 250, a return determination unit 260, a warning output determination. Section 270 and daily return storage section 280.

  The investment trust information acquisition unit 210 acquires the daily investment trust information related to the investment trust and the daily benchmark information related to the benchmark of the investment trust from the outside. The daily return calculation unit 220 calculates a daily return (investment trust daily return) of the investment trust from the investment trust information acquired by the investment trust information acquisition unit 210, and is acquired by the investment trust information acquisition unit 210. The benchmark daily return (BM daily return) is calculated from the benchmark information.

Specifically, the external database 170 stores the investment trust information on the investment date related to the investment trust in association with the identification information of the investment trust and the date information indicating the management date, and the identification information and date of the benchmark. Benchmark information on the date related to the benchmark is stored in association with the date information shown. The investment trust information acquisition unit 210 acquires the identification information of the investment trust to be checked, the identification information of the benchmark of the investment trust, and the date information indicating the operation date of the check target, and the identification information of the investment trust to be checked Using the identification information of the benchmark of the investment trust and the date information indicating the management date to be checked, the base price of the previous day and the current day (the management date that is the check date) corresponding to the identification information of the investment trust to be checked And the benchmark index for the previous day and the day corresponding to the identification information of the benchmark from the external database 170, and the base price of the acquired investment trust the previous day and the current day and the benchmark the previous day and the current day of the benchmark, It is stored in the daily return information storage unit 280 in association with identification information (investment trust identification information) of the investment trust to be checked. To. The investment trust information acquisition unit 210 includes an identification information storage unit that stores a data table in which the identification information of the investment trust and the benchmark identification information of the investment trust are associated with each other, and acquires the identification information of the investment trust to be checked. In this case, the identification information storage unit may be referred to and the benchmark identification information stored in the identification information storage unit may be acquired in association with the identification information of the investment trust.
Then, the daily return calculation unit 220 calculates the reference price of the investment trust acquired by the investment trust information acquisition unit 210 on the previous day and the current day and the index of the previous day and the benchmark on the date information indicating the date of the current day and the investment to be checked. Received together with the trust identification information (investment trust identification information), calculated by subtracting the base price of the previous day from the base price of the investment trust by the base price of the previous day and calculated as the daily return of the mutual fund In addition, the value obtained by subtracting the index of the previous day from the index of the day of the benchmark divided by the index of the previous day is calculated as the daily return of the benchmark day, and the calculated daily return of the mutual fund and the benchmark The daily return of the day is stored in the daily return storage unit 280 in association with the date information indicating the date of the day and the identification information of the investment trust. That. The percentage value may be used as the daily return, and the average value and standard deviation of the daily return can also be calculated using the percentage of the daily return. In addition, the benchmark may be an index of investment performance or a target index. For example, in a domestic stock type investment trust, the benchmark may be the TSE Stock Price Index (TOPIX) or the like.

The investment trust average calculation unit 230 calculates the average value and the standard deviation of the daily returns for the most recent predetermined period from the day including the daily return of the investment trust calculated by the daily return calculation unit 220, and calculates the calculated investment The average value and standard deviation of the daily return of the trust are stored in the daily return storage unit 280 in association with the date information indicating the date of the day and the investment trust identification information, and the calculated average value and standard deviation and the day of the day are calculated. The next return is output to the return determination unit 260 together with date information indicating the date of the day and investment trust identification information.
In addition, the benchmark average calculation unit 240 calculates the average value and standard deviation of the benchmark daily return for the most recent predetermined period from the day including the daily return of the benchmark day calculated by the daily return calculation unit 220, and calculates The average value and standard deviation of the benchmark daily returns are stored in the daily return storage unit 280 in association with the date information indicating the date of the day and the investment trust identification information, and the calculated standard deviation indicates the date of the day The date information and the investment trust identification information are output to the return determination unit 260.
The excess return calculation unit 250 receives the daily return of the mutual fund and the benchmark day calculated by the daily return calculation unit 220 together with date information indicating the date of the current day and the investment trust identification information, and receives the daily return calculation unit Calculate the excess return of the day calculated by subtracting the daily return of the benchmark day from the daily return of the mutual fund calculated by 220, and the average value of the excess returns for the most recent predetermined period from the day including the excess return of the day And the standard deviation is calculated, and the calculated excess return, the average value and the standard deviation are stored in the daily return storage unit 280 in association with the date information indicating the date of the day and the investment trust identification information, and the calculated excess return is calculated. And the average value and standard deviation together with date information and investment trust identification information indicating the date of the day. And outputs it to the return determination unit 260. The excess return may be a percentage value, may be calculated using a daily percentage return, or the average value and standard deviation of excess returns may be calculated using the percentage of excess returns. Is possible. Further, the predetermined period may be, for example, a period of the last 90 days including the current day (period of 90 operating days), or may be a period of the last 180 days including the current day (period of 180 operating days) as an example. The number of days may be set in advance in the investment trust return check device 100 for each investment trust in association with the investment trust identification information, or may be set by the user 200 for each investment trust.

  The return determination unit 260 calculates the daily return indicated by the difference between the daily return of the mutual fund calculated by the daily return calculation unit 220 and the average daily return calculated by the investment trust average calculation unit 230. It is determined whether or not the return fluctuation value (fluctuation range) is equal to or less than the allowable fluctuation value indicated by n times the standard deviation of the daily return calculated by the investment trust average calculation unit 230 (n is a constant), This indicates that it has a function of determining as the first daily return determination unit. The constant n may be 2 to 4, or 2.5 to 3.5. When n = 3, assuming that the daily return follows a normal distribution, the fluctuation value of the daily return is about 99.7. % Probability is expected to be less than the permissible fluctuation value. If n = 2, assuming that the daily return follows a normal distribution, the fluctuation value of the daily return is less than the permissible fluctuation value with a probability of approximately 96%. It is expected to be Thereby, the investment trust return check apparatus 100 can determine whether or not the reference value or daily return of the investment trust shows a behavior deviating from the risk range determined from the past performance of the investment trust. The determination result can be notified to the user 200. Note that the daily return does not always follow the normal distribution, but by assuming that the daily return follows the normal distribution, it is possible to statistically calculate the standard of the probability expected to fall within the allowable range.

  Further, the return determination unit 260 is indicated by the difference between the daily return of the mutual fund calculated by the daily return calculation unit 220 and the average daily return calculated by the investment trust average calculation unit 230. It is determined whether or not the fluctuation value (variation width) of the daily return is equal to or smaller than the allowable fluctuation value indicated by n times the standard deviation of the benchmark calculated by the benchmark average calculation unit 240, which is the second day. It shows that it has the function to judge as a next return judgment part. Thereby, the investment trust return check device 100 can determine whether the reference value or daily return of the investment trust shows behavior deviating from the risk range determined from the past performance of the benchmark. The determination result can be notified to the user 200. Note that the return determination unit 260 associates the identification information of the investment trust to be checked and the date information indicating the date of the check target operation date, and stores the investment trust on the current day stored in the daily return storage unit 280. The average value and standard deviation for the daily return of the investment trust, the daily return for the specified period most recently from that day, and the standard deviation for the daily return of the investment trust benchmark for the specified period most recently It is good also as a structure which makes a judgment as a 1st and 2nd daily return judgment part using the acquired information and acquired.

  The return determination unit 260 also changes the excess return indicated by the difference between the excess return on the day of the investment trust calculated by the excess return calculation unit 250 and the average value of the excess returns calculated by the excess return calculation unit 250. A function that determines whether or not the value (variation range) is equal to or less than an allowable fluctuation value indicated by n times the standard deviation of the investment trust calculated by the excess return calculation unit 250, and this is determined as an excess return determination unit It has shown that it has. Thereby, the investment trust return check device 100 can determine whether the reference value or daily return of the investment trust shows behavior linked to the benchmark, and can notify the user 200 of the determination result. it can. Note that the return determination unit 260 associates the identification information of the investment trust to be checked and the date information indicating the date of the check target operation date, and stores the investment trust on the current day stored in the daily return storage unit 280. The average value and standard deviation of the excess return of the investment trust and the excess return of the investment trust for the predetermined period most recently from the day of the investment trust may be acquired, and the determination as the excess return determination unit may be performed using the acquired information.

  The warning output determination unit 270 includes a storage unit that stores an expected probability that a warning is output. The warning output determination unit 270 compares an expected value obtained by multiplying the expected probability by the number of days in a predetermined period with the number of times that a warning is output, and generates a warning. When the number of times is larger than the expected value, a warning to that effect is given. Here, the predicted probability that the warning is output may be a probability that the fluctuation value (absolute value) from the average value of the return is outside the allowable range indicated by n times the standard deviation. In this case, the predicted probability is The value calculated on the assumption that the return follows a normal distribution may be used. As an example, when the return determination unit 260 determines whether or not the fluctuation range of the return is three times or less of the standard deviation, the warning output determination unit 270 determines that the number of days in which the warning is output in the predetermined period is the predetermined period. When the number of days is larger than an expected value obtained by multiplying 0.003 (= 1-0.997), it may be configured to issue warning information that the number of warning occurrences exceeds the expected value. When 260 determines whether or not the fluctuation range of the return is equal to or less than twice the standard deviation, the warning output determination unit 270 determines that the number of days in which the warning is output in the predetermined period is 0.04. When larger than the expected value multiplied by (= 1-0.96), it is good also as a structure which issues the warning information to the effect that the frequency | count of warning generation has exceeded the expected value. As a result, the investment trust return check apparatus 100 detects that the investment trust information acquisition unit 210 has acquired incorrect investment trust information and / or benchmark information from the external database 170, or that there are errors in various setting values of the investment trust return check apparatus 100. Can be detected when the number of occurrences of warning exceeds the expected value, and a warning to that effect can be issued.

As an example, the warning output determination unit 270 stores the predicted probability that the first daily return determination unit outputs a warning regarding the daily return of the investment trust in association with the identification information of the investment trust. A storage unit, a first counting unit that counts the number of times the first daily return determination unit outputs a warning for the investment trust to be checked during the predetermined period, and the second daily return determination unit invests A second expected probability storage unit that stores an expected probability of outputting a warning regarding the daily return of the trust in association with the identification information of the investment trust, and an investment trust that is checked by the second daily return determination unit The second counting unit that counts the number of times the warning is output during the predetermined period, and the number of warnings of the investment trust to be checked counted by the first counting unit are the identification information of the investment trust. It is determined whether or not the predicted probability stored in the first predicted probability storage unit is larger than the first predicted value obtained by multiplying the number of days in the predetermined period, and is counted by the second counting unit. The number of warnings of the investment trust to be checked is larger than the second predicted value obtained by multiplying the expected probability stored in the second predicted probability storage unit in association with the identification information of the investment trust by the number of days in the predetermined period. A determination unit for determining whether or not the number of warnings of the investment trust counted by the first counting unit is greater than the first expected value, or the second counting unit When the counted number of warnings of the investment trust is larger than the second expected value, the warning information indicating that the number of warnings of the investment trust exceeds the expected value may be output. The first and second expected probability storage units may be configured by an internal memory of the warning output determination unit 270, for example.
As an example, the warning output determination unit 270 stores the expected probability that a warning is output for the daily return of the investment trust from the first or second daily return determination unit in association with the identification information of the investment trust. A probability storage unit; a first counting unit that counts the number of times a warning is output for the investment trust to be checked from the first daily return determination unit; and the second daily return determination unit. From the second counting unit that counts the number of times the warning is output for the investment trust to be checked from the first period, and the first daily return judging unit or the second daily return judging unit. A third counting unit that counts the number of days during which the warning is output for the above-mentioned predetermined period for the investment trust, and the number of warnings counted by the first counting unit for the investment trust to be checked And a sum total unit for calculating the total number of warnings counted by the second counter, the number of warnings counted by the first counter, and the number of warnings counted by the second counter A selection unit for selecting any one of the number of days counted by the third counting unit and the total number of times calculated by the totaling unit, and a selection for specifying which number should be selected by the selection unit The number of selected designation information storage units for storing the designation information in association with the investment trust identification information and the number selected by the selection unit for the investment trust to be checked are associated with the identification information of the investment trust in the expected probability storage unit. A determination unit that determines whether or not the stored expected probability is greater than an expected value obtained by multiplying the number of days in the predetermined period, and the selection unit selects and designates information corresponding to the identification information of the investment trust to be checked Selection stored in storage When the number selected by the selection unit is greater than the expected value, the judgment unit indicates that the number of warning occurrences of the investment trust exceeds the expected value. The information may be output. With such a configuration, it is possible to easily adjust the output frequency to the extent that the expected value is exceeded by setting the selection designation information stored in the selection designation information storage unit. For example, by setting the selection designation information so as to select the total number of times, the output frequency can be increased, and the detection sensitivity can be increased.

The warning output determination unit 270 outputs a warning for two consecutive days when a warning is output for two consecutive days for the daily return of the investment trust and / or when a warning is output for two consecutive days for the excess return. It is good also as a structure which outputs that the warning was output. As an example, the warning output determination unit 270 displays warning presence / absence information indicating whether or not the first daily return determination unit outputs a warning regarding the daily return of the investment trust, the identification information of the investment trust and the daily A first warning output information storage unit that stores information associated with date information indicating a return operation date, and whether or not the second daily return determination unit outputs a warning for the daily return of the investment trust. A second warning output information storage unit that stores warning presence / absence information in association with identification information of the investment trust and date information indicating the operation date of the daily return; warning presence / absence information indicating that a warning is output; It is judged whether there is any date information stored in the first warning output information storage unit corresponding to the identification information of the investment trust to be checked that indicates two consecutive days, and a warning is output. It is determined whether there is any date information stored in the second warning output information storage unit in association with the presence / absence information indicating that there is a warning and the identification information of the investment trust to be checked, indicating two consecutive days A determination unit that performs the second warning output information when the date information stored in the first warning output information storage unit indicates two consecutive days, or the second warning output information. When there is a date information stored in the storage unit that indicates two consecutive days, it may be configured to output that fact.
The first counting unit includes warning presence / absence information indicating that a warning is output as the number of times a warning is output for the investment trust to be checked from the first daily return determination unit and the check target. Using the number (first number) of the date information stored in the first warning output information storage unit in association with the identification information of the investment trust and indicating the date in the most recent predetermined period, the second counting unit Corresponds to the warning presence / absence information indicating that a warning has been output and the identification information of the investment trust to be checked as the number of times a warning has been output for the investment trust subject to check from the second daily return judgment unit In addition, using the number (second number) of the date information stored in the second warning output information storage unit that indicates the date in the most recent predetermined period, the third counting unit calculates the first date. Warning presence / absence information indicating that a warning has been output and the identification of the investment trust to be checked as the number of days in which a warning is output for the investment trust subject to check from the return judgment unit or the second daily return judgment unit. The first number of the date information stored in the first warning output information storage unit associated with the information that indicates the date in the most recent predetermined period, the warning presence / absence information indicating that a warning has been output, and the investment to be checked The date information stored in the second warning output information storage unit in association with the trust identification information indicates the date in the most recent predetermined period, but the sum of the second number and the date in the most recent predetermined period are duplicated. The number obtained by subtracting the number of items indicating the date to be used may be used.

The daily return storage unit 280 calculates the daily return of the mutual fund on the current day calculated by the daily return calculation unit 220, the daily return of the benchmark day, and the predetermined period from the current day calculated by the investment trust average calculation unit 230. Average value and standard deviation of daily returns of investment trusts in Japan, average value and standard deviation of daily returns of benchmarks of investment trusts in the most recent predetermined period from the day calculated by benchmark average calculation unit 240, excess return calculation unit 250 The calculated average value and standard deviation of the excess return of the mutual fund on the current day and the excessive return for the most recent specified period from the current day, as well as the mutual fund information and benchmark information of the current day acquired by the mutual fund information acquisition unit 210, Corresponding to date information indicating the date of the day and identification information of the investment trust Stores.
For example, the daily return storage unit 280 is composed of a relational database, the daily return of the investment trust's management day, the daily return of the investment trust's benchmark on the management day, and the investment trust's Average value and standard deviation of daily returns, average value and standard deviation of daily returns of investment trust benchmarks for the most recent specified period from the management date, excess returns on the management day for the investment trust, predetermined period most recently from the management date The storage area for storing the average value and standard deviation of excess returns of investment trusts, investment trust information and benchmark information on the management date, and date information indicating the management date and investment trust identification information for each record By providing, it is good also as a structure which mutually matches these information stored in the same record.
The investment trust average calculation unit 230 stores the daily return of the investment trust for the predetermined period most recently from the day stored in the daily return storage unit 280 in association with the identification information of the investment trust to be checked. The average value and the standard deviation may be calculated using the daily return of the investment trust for the predetermined period acquired from the section 280, and the latest from the previous day of the day stored in the daily return storage section 280. The daily return of the investment trust for the quasi-predetermined period is acquired from the daily return storage unit 280 and the daily return of the investment trust for the quasi-predetermined period and the investment for the day calculated by the daily return calculation unit 220 The average value and standard deviation may be calculated using the daily return of the trust.In this way, the daily return for the current day and the daily return for the semi-predetermined period including the previous day It is also possible to calculate the mean and standard deviation using. Here, the semi-predetermined period is a period shorter by one day than the predetermined period. When the predetermined period is 90 days (90 operation days), the semi-predetermined period is 89 days (89 operation days).
The benchmark average calculation unit 240 acquires, from the daily return storage unit 280, the benchmark daily return for the predetermined period most recently from the day stored in the daily return storage unit 280 in association with the identification information of the investment trust to be checked. In addition, the average value and the standard deviation may be calculated using the obtained daily benchmark returns for a predetermined period, and the quasi-predetermined period nearest to the previous day stored in the daily return storage unit 280 may be used. The benchmark daily return is acquired from the daily return storage unit 280, and the acquired benchmark daily return for the semi-predetermined period and the benchmark daily return for the current day calculated by the daily return calculation unit 220 are used. The average value and the standard deviation may be calculated.
The excess return calculation unit 250 obtains an excess return from the daily return storage unit 280 for a predetermined period immediately after the current date stored in the daily return storage unit 280 in association with the identification information of the investment trust to be checked. The average value and the standard deviation may be calculated using the excess return for the predetermined period, and the excess return for the quasi-predetermined period nearest to the previous day stored in the daily return storage unit 280 is the daily return. The average value and the standard deviation may be calculated using the excess return for the quasi-predetermined period acquired from the storage unit 280 and the excess return for the day calculated by the excess return calculation unit 250.

  The recording medium 290 stores a computer program that causes the investment trust return check apparatus 100 to perform processing operations. By installing the program stored in the recording medium 290 in the terminal apparatus, the recording medium 290 is installed in the terminal apparatus. The investment trust return check device 100 may be configured to perform processing operations. The terminal device may be configured to acquire such a program via the communication line 150 and perform the processing operation of the investment trust return check device 100.

  According to the investment trust return check device 100 described above, the validity of the daily return and excess return of the investment trust can be checked in a multifaceted manner, and whether or not the investment trust shows a unique trend with respect to the market. Can be judged appropriately. Further, when the investment trust return check device 100 issues a warning for two or more consecutive days to warn the user, whether the user 200 has an abnormality in the processing data of the investment trust return check device 100 or not. You can check whether or not.

FIG. 3 is an explanatory diagram showing an example of a return check result by the investment trust return check device 100. The daily return (investment trust daily return) of the investment trust is expressed as Rf, the daily return (BM daily return) of the benchmark is expressed as Rbm, and the excess return is expressed as Rα.
Further, in the following description, the daily return of the investment trust calculated by the daily return calculation unit 220 by the return determination unit 260 is the average value and standard of the most recent predetermined period calculated by the investment trust average calculation unit 230. The determination as to whether or not a predetermined allowable range based on the deviation is described as “Rf determination based on Rf standard”. In this determination, it is determined whether or not the daily return of the investment trust management date is in the range of n times the standard deviation of the investment trust centered on the average daily return of the investment trust. Further, the daily return of the investment trust calculated by the daily return calculation unit 220 by the return determination unit 260 is calculated by the average value of the most recent predetermined period calculated by the investment trust average calculation unit 230 and the benchmark average calculation unit 240. The determination as to whether or not it is within a predetermined allowable range based on the standard deviation is described as “Rf determination based on Rbm standard”. In this determination, it is determined whether or not the daily return of the investment trust management date is within the range of n times the standard deviation of the benchmark centered on the average daily return of the investment trust. In addition, the excess return calculated by the excess return calculation unit 250 by the return determination unit 260 is within a predetermined allowable range based on the average value and standard deviation of the excess return most recently calculated by the excess return calculation unit 250. The determination of whether or not there is described as “Rα determination”. In this determination, it is determined whether or not the excess return of the investment trust management date is within a range of n times the standard deviation of the excess return centered on the average value of the excess returns of the investment trust.

  In the example of FIG. 3, the investment trust A has a daily investment trust return Rf of 1.5% and an excess return Rα of 0.1%, which is expressed as a percentage. In the “Rf determination based on the Rf standard” for the investment trust A, an OK determination indicating that the daily investment trust return Rf is within a predetermined range is made, and the “Rf determination based on the Rbm standard” is performed for the investment trust A. ”Indicates that NG indicating that the daily investment trust return Rf is outside the predetermined range, and“ Rα determination ”for the investment trust A indicates that the excess return Rα is within the predetermined range. OK is determined. For investment trust B, the daily investment trust return Rf is 0.5%, and the excess return Rα is -2.0%. As for investment trust B, “Rf determination based on Rf standard” makes an OK determination indicating that the daily return Rf of investment trust is within a predetermined range. In “Rf determination based on Rbm standard”, investment trust B An OK determination is made indicating that the daily return Rf is within a predetermined range. In the “Rα determination”, an NG determination is made indicating that the excess return Rα is outside the predetermined range.

The investment trust return check device 100 outputs a list of the determination results for a plurality of investment trusts on a display unit such as a display of the investment trust return check device 100, for example, by outputting the data shown in FIG. In addition to the data shown in FIG. 3, the investment trust return check device 100 may include the average values of the investment trust daily return Rf, the BM daily return Rbm, and the excess return Rα. In addition, various data such as the standard deviation of each of the investment trust daily return Rf, the BM daily return Rbm, and the excess return Rα may be displayed in association with the investment trust and presented to the user 200. The data may be transmitted to the terminal device of the user 200. According to the investment trust return check device 100, a combination of OK and NG for each determination can be notified to the user 200, so that the user 200 can examine the operation state of the investment trust from various aspects.
For example, a determination result storage unit that stores a data table corresponding to FIG. 3 may be provided in the return determination unit 260 so that the data table in the determination result storage unit is displayed and notified to the user 200. 260 shows the determination result as the first daily return determination unit regarding the investment trust daily return Rf of the investment trust whose investment trust identification information is investment trust A on the “investment trust A” and “Rf standard Rf” in the data table. “Investigation” is stored in the data area corresponding to “determination” and the determination result as the second daily return determination unit regarding the investment trust daily return Rf for the investment trust whose investment trust identification information is investment trust A is “Investment” in the data table. It is stored in the data area corresponding to “Trust A” and “Rf determination by Rbm standard”, and the investment trust identification information is For the investment trust that is the trust A, the determination result as the excess return determination unit regarding the excess return Rα on the day is stored in the data area corresponding to “investment trust A” and “Rα determination” in the data table, and the daily return calculation unit 220 is stored. Stores the daily investment trust return Rf calculated for investment trust A in the data area corresponding to “investment trust A” and “Rf” in the data table, and excess return calculation unit 250 calculates the investment trust A for that day. The excess return Rα may be stored in a data area corresponding to “investment trust A” and “Rα” in the data table. Similarly, the return judgment unit 260 obtains the judgment result as the first daily return judgment unit regarding the investment trust daily return Rf for the investment trust whose investment trust identification information is the investment trust B as “investment trust B in the data table”. ”And“ Rf determination based on Rf criteria ”, and determination as the second daily return determination unit for the investment trust daily return Rf for the investment trust whose investment trust identification information is investment trust B The result is stored in a data area corresponding to “investment trust B” and “Rf determination based on Rbm standard” in the data table, and the excess return determination unit for the excess return Rα of the day for the investment trust whose investment trust identification information is investment trust B Is stored in the data area corresponding to “Investment trust B” and “Rα determination” in the data table, The next return calculation unit 220 stores the investment trust daily return Rf calculated for the investment trust B in the data area corresponding to “investment trust B” and “Rf” of the data table, and the excess return calculation unit 250 stores the investment trust B The excess return Rα calculated on the day may be stored in a data area corresponding to “investment trust B” and “Rα” in the data table.

  FIG. 4 is a flowchart showing an example of a check processing flow by the investment trust return check apparatus 100. First, the investment trust information acquisition unit 210 acquires the investment trust information and benchmark information of the investment trust to be checked from the external database 170 (step S402). Then, the daily return calculation unit 220 calculates the daily returns Rf and Rbm of the investment trust and the benchmark day from the investment trust information and the benchmark information, and the investment trust average calculation unit 230 starts from the day including the investment trust daily return of the day. The average value Rfav and the standard deviation σf for the daily investment trust returns for the most recent predetermined period are calculated (step S404). In addition, the benchmark average calculation unit 240 calculates the average value Rbmav and the standard deviation σbm for the BM daily return for the predetermined period most recently from the current day including the BM daily return (step S406). The excess return calculation unit 250 calculates the excess return Rα (= Rf−Rbm) on the current day obtained by subtracting the BM daily return Rbm on the current investment trust daily return Rf, and includes the most recent predetermined value including the excess return on the current day. The average value Rαav and the standard deviation σα for the excess return of the period are calculated (step S408).

  Then, the return determination unit 260 calculates the absolute value | Rf−Rfav | obtained by subtracting the average value Rfav for the most recent predetermined period from the investment trust daily return Rf for the investment trust to be checked as the standard deviation σf of the investment trust daily return. It is determined whether it exceeds n times (step S410). This is a determination function as the first daily return determination unit, and corresponds to “Rf determination based on Rf criteria”. In step S410, if the absolute value | Rf−Rfav | of the value obtained by subtracting the average value Rfav for the most recent predetermined period from the daily investment trust return Rf exceeds n times the standard deviation σf, a warning routine is executed (step S412), the process proceeds to step S414. In this case, to explain using the table illustrated in FIG. 3, the column corresponding to “Rf determination based on Rf criteria” and the investment trust (identification information) to be checked is “NG”. In step S410, if the absolute value | Rf−Rfav | of the value obtained by subtracting the average value Rfav for the most recent predetermined period from the daily investment trust return Rf does not exceed n times the standard deviation σf, the warning routine is not executed. The process proceeds to step S414. In this case, to explain using the table illustrated in FIG. 3, the column corresponding to “Rf determination based on Rf criteria” and the investment trust (identification information) to be checked is “OK”.

  In step S414, the return determination unit 260 determines that the absolute value | Rf−Rfav | obtained by subtracting the average value Rfav for the most recent predetermined period from the daily return Rf of the investment trust to be checked is the BM daily return. It is determined whether or not the standard deviation σbm exceeds n times. This is a determination function as the second daily return determination unit, and corresponds to “Rf determination based on Rbm standard”. In step S414, if the absolute value | Rf−Rfav | of the value obtained by subtracting the average value Rfav for the most recent predetermined period from the daily investment trust return Rf exceeds n times the standard deviation σbm, a warning routine is executed (step S414). S416), the process proceeds to step S418. In this case, to explain using the table illustrated in FIG. 3, the column corresponding to “Rf determination based on Rbm standard” and the investment trust (identification information) to be checked is “NG”. In step S414, if the absolute value | Rf−Rfav | of the value obtained by subtracting the average value Rfav for the most recent predetermined period from the daily investment trust return Rf does not exceed n times the standard deviation σbm, the warning routine is not executed. The process proceeds to step S416. In this case, to explain using the table illustrated in FIG. 3, “Rf determination based on Rbm standard” and the column corresponding to the investment trust (identification information) to be checked is “OK”.

  In step S418, the return determination unit 260 calculates the absolute value | Rα−Rαav |, which is obtained by subtracting the average value Rαav for the most recent predetermined period from the excess return Rα of the investment trust to be checked, as the standard deviation σα of the excess return. It is judged whether it exceeds n times. This is a determination function as an excess return determination unit, and corresponds to “Rα determination”. In step S418, if the absolute value | Rα−Rαav | of the value obtained by subtracting the average value Rαav for the most recent predetermined period from the excess return Rα exceeds n times the standard deviation σα, a warning routine is executed (step S420). Then, the process of this flowchart ends. In this case, to explain using the table illustrated in FIG. 3, the column corresponding to “Rα determination” and the investment trust (identification information) to be checked is “NG”. In step S418, if the absolute value | Rα−Rαav | of the value obtained by subtracting the average value Rαav for the most recent predetermined period from the excess return Rα does not exceed n times the standard deviation σα, the present routine is executed without executing the warning routine. Terminate the process. In this case, to explain using the table illustrated in FIG. 3, the column corresponding to “Rα determination” and the investment trust (identification information) to be checked is “OK”. When checking daily returns and excess returns for multiple investment trusts, select the investment trust identification information from the multiple investment trust identification information and perform the check processing flow in FIG. It is good also as a structure repeated until all the identification information of several investment trusts is selected. In addition, the example of checking the daily return and excess return of the investment trust on the day of the management date is shown as the check date, but the daily return and excess return of the investment trust management date are illustrated. It is also possible to adopt a configuration in which a check is made on the next day (for example, in the morning of the next operation day) as the check target day.

FIG. 5 is a flowchart illustrating an example of a processing flow of the warning routine. This warning routine exemplifies the details of the processing in the warning routine of step S412, step S416, and step S420 in FIG. In this warning routine, the return determination unit 260 issues a warning 1 indicating a warning with contents indicating that each return is out of a predetermined range in response to each determination in step S412, step S416, and step S420 ( Step S502). The warning output determination unit 270 stores the warning date when the warning 1 is issued by the return determination unit 260 for each determination. Then, the warning output determination unit 270 determines whether or not the warning 1 is issued for two consecutive days for the same determination (S504). In step S504, if warning 1 is issued for two consecutive days for the same determination, a warning 2 indicating that the same determination has been issued for two consecutive days is issued (step S506), The process proceeds to step S508. In step S504, if warning 1 is not given for two consecutive days for the same determination, the process proceeds to step S508 without issuing warning 2.
For example, the warning output determination unit 270 displays warning presence / absence information indicating whether or not the first daily return determination unit has output a warning 1 for the daily return of the investment trust operation date as date information indicating the operation date and Stored in the first warning output information storage unit in association with the identification information of the investment trust, whether or not the second daily return determination unit has output a warning 1 for the daily return of the investment trust management day The warning presence / absence information is stored in the second warning output information storage unit in association with the date information indicating the management date and the identification information of the investment trust, and the excess return determination unit warns about the excess return on the investment trust management date. The warning presence / absence information indicating whether or not 1 is output is stored in the third warning output information storage unit in association with the date information indicating the operation date and the identification information of the investment trust, and the identification of the investment trust to be checked Information When the warning presence / absence information indicating that warning 1 has been output is stored in the first warning output information storage unit for two consecutive days, the second information is associated with the identification information of the investment trust to be checked. When the warning presence / absence information indicating that warning 1 is output is stored in the warning output information storage unit for two consecutive days, or the third warning output information storage unit is associated with the identification information of the investment trust to be checked When the warning presence / absence information indicating that warning 1 has been output is stored for two consecutive days, warning 2 to that effect is output. As an example, when the warning 1 is output for the daily return of the investment trust to be checked by the first daily return determination unit in step S502, the warning presence / absence information indicating that the warning 1 is output is the previous day (previous operation). Date) and the identification information of the investment trust to be checked and stored in the first warning output information storage unit in step S502 by the second daily return determination unit When a warning 1 is output for the daily return of the investment trust, date information indicating that the warning presence / absence information indicating that the warning 1 was output is the date of the previous day (previous operation date) and the identification information of the investment trust to be checked Stored in the second warning output information storage unit or in step S502 by the excess return determination unit in step S502. When the warning 1 is output for the password, the warning presence / absence information indicating that the warning 1 is output is associated with the date information indicating the date of the previous day (previous operation date) and the identification information of the investment trust to be checked. The warning 2 may be output when stored in the warning output information storage unit.

In step S508, the warning output determination unit 270 determines whether or not the number of times that the warning 1 has been issued exceeds the expected value. For example, the warning output determination unit 270 counts the number of times the warning 1 has been issued in the most recent predetermined period based on the warning date on which the warning 1 has been issued. Then, the warning output determination unit 270 acquires the expected probability that the warning 1 corresponding to the value of n in each determination of step S410, step S414, and step S418 should be issued. For example, when n = 3 is set in step S410, step S414, and step S418, the probability that each return is within a predetermined range is expected to be 99.7% as a statistical guideline. Is 0.3% (= 100-99.7), and when the predetermined period is 90 days, the expected value of occurrence of warning is 0.27 (= 90 × 0.3%), and Steps S410, S414, When n = 2 is set in step S418, the probability that each return is within the predetermined range is expected to be 96% as a statistical guideline, so the expected probability is 4% (= 100−96). When the predetermined period is 90 days, the expected value of occurrence of warning is 3.6 (= 90 × 4%). In step S508, if the number of warning occurrences where warning 1 is issued exceeds the expected value, warning 3 indicating that the number of warning occurrences exceeds the expected value is issued (step S510), and the warning routine is terminated. In step S508, if the number of times that the warning 1 has been issued does not exceed the expected value, the warning routine is terminated without issuing the warning 3.
As an example, the warning output determination unit 270 stores the first expected probability by associating the predicted probability that the first daily return determination unit outputs the warning 1 for the daily return of the investment trust with the identification information of the investment trust. The first counting unit counts the number of times the first daily return determination unit outputs warning 1 for the investment trust to be checked during the predetermined period, and the second daily return. The determination unit stores the expected probability of outputting warning 1 for the daily return of the investment trust in the second expected probability storage unit in association with the identification information of the investment trust, and the second daily return determination unit The second count unit counts the number of times the warning 1 is output for the investment trust to be checked in the predetermined period by the second counting unit, and the check target investment trust is counted by the first counting unit by the warning number judging unit. The number of warnings 1 is greater than the first predicted value obtained by multiplying the predicted probability stored in the first predicted probability storage unit in association with the identification information of the investment trust to be checked by the number of days in the predetermined period. In addition to determining whether the number is large, the number of warnings 1 for the investment trust to be checked counted by the second counting unit is stored in the second expected probability in association with the identification information of the investment trust to be checked It is determined whether or not the predicted probability stored in the section is greater than a second predicted value obtained by multiplying the number of days in the predetermined period, and the determination section for the number of warnings is the warning 1 counted by the first counting section. When the number of times is larger than the first expected value, or when the number of times of warning 1 counted by the second counting unit is larger than the second expected value, a warning 3 to that effect may be output. Good.
As an example, the warning output determination unit 270 associates the expected probability that the warning 1 is output for the daily return of the investment trust from the first or second daily return determination unit with the identification information of the investment trust. The first counting unit counts the number of times the warning 1 is output for the daily return of the investment trust to be checked during the predetermined period from the first daily return determination unit. The second counting unit counts the number of times the warning 1 is output for the daily return of the investment trust in the predetermined period from the second daily return judging unit, and the first daily return judging unit or the second The number of days in which warning 1 is output for the daily return of the investment trust to be checked during the predetermined period from the daily return judgment unit is counted by the third counting unit, and the warning counted by the first counting unit And the total number of warnings 1 counted by the second counting unit is calculated by the totaling unit, and the number of warnings 1 counted by the first counting unit is counted by the second counting unit. Selection designation information for designating which one of the number of warnings 1, the number of days counted by the third counting unit, and the total number of times calculated by the totaling unit should be selected. The selection unit selects based on the selection designation information associated with the identification information of the investment trust to be checked stored in the selection designation information storage unit stored in association with the investment trust identification information, and is selected by the selection unit. Whether the number of warnings is greater than the expected value obtained by multiplying the expected probability stored in the expected probability storage unit in association with the identification information of the investment trust to be checked by the number of days in the predetermined period, Judgment and the judgment part of the number of warning The number selected in the selecting section may be configured to output a warning 3 to that effect is greater than the expected value.

  When the investment trust return check device 100 issues the warning 1, warning 2 and / or warning 3, the investment trust return check device 100, which is different from the investment trust return check device 100, is registered in advance as a computer, mobile phone, PDA. It is good also as a structure which transmits a warning to information terminals, such as. For example, the investment trust return check apparatus 100 may be configured to transmit warnings indicating warning 1, warning 2, and warning 3 to a computer used by a fund manager registered in advance.

  FIG. 6 is a conceptual diagram for explaining an example of changes in daily returns of investment trusts and benchmarks and timing at which a warning is issued. The solid curve Rf in FIG. 6 represents the daily return of the investment trust, and the dotted curve Rbm in FIG. 6 represents the daily return of the investment trust benchmark. In the period shown on the horizontal axis of FIG. 6, the warning 1 based on “Rf determination based on Rf standard” is not issued. On the other hand, the operation date T2 in which the daily investment trust return Rf exceeds the average value Rfav of the most recent predetermined period plus n times the standard deviation σbm (Rfav + n × σbm), and the investment trust daily return Rf is the most recent predetermined period. On the operating day T3 when the average value Rfav is less than the value obtained by subtracting n times the standard deviation σbm (Rfav−n × σbm), a warning 1 is issued by “Rfm criterion Rf determination”. Further, the operating date T4 when the excess return Rα exceeds the average value Rαav of the most recent predetermined period plus n times the standard deviation σα (Rαav + n × σα), and the excess return Rα is the standard from the average value Rαav of the most recent predetermined period. The warning 1 is issued by “Rα determination” on the operation day T1 that is less than the value obtained by subtracting n times the deviation σα (Rαav−n × σα). As shown in the return transition of FIG. 6, for example, even on an operating day when the warning based on the “Rf determination based on the Rf standard” has not occurred, the user 200 causes the investment trust daily return due to the warning generated based on the “Rf determination based on the Rbm standard”. It is possible to know that Rf shows a behavior deviating from the risk range determined from the past performance of the benchmark. For example, warnings by “Rf determination based on Rf standard” and “Rf determination based on Rbm standard” have occurred. Even when there is no operation day, the user 200 can know that the daily investment trust return Rf does not move in conjunction with the benchmark by the warning generated by the “Rα determination”. In this way, the user 200 can check the investment trust return check apparatus 100 in a multifaceted and appropriate manner as to whether or not the investment trust has a reasonable price movement with respect to the market trend.

In the investment trust return check apparatus 100 described above, as shown in the block diagram of FIG. 2, the daily return calculation unit 220 calculates the daily returns of the investment trust and the benchmark, and the investment trust average calculation unit 230 calculates the investment trusts. The average value and standard deviation of the daily returns for the most recent predetermined period are calculated, the benchmark average calculating unit 240 calculates the average value and standard deviation of the daily returns of the investment trust benchmark for the most recent predetermined period, and the excess return calculating unit 250 Calculates the average value and standard deviation of excess returns of investment trusts and excess returns for the most recent period, stores them in the daily return storage unit 280, and checks the daily and excess returns using the stored information. However, it is also possible to adopt a configuration in which these pieces of information are received via a communication line.
For example, the average value and standard deviation of the daily return of the investment trust on the management day and the daily return for the specified period most recently from the management date of the investment trust, the daily return on the management date of the investment trust benchmark And the standard deviation of the daily return for the specified period most recently from the management date in the benchmark, and the excess return obtained by subtracting the daily return on the management date of the benchmark from the daily return of the investment trust on the management date. Investment trust daily information storage that stores the average value and standard deviation of excess returns for the specified period most recently from the management date in the investment trust in association with the date information indicating the management date and the identification information of the investment trust And the investment trust return check device 100 are connected via a communication line 150. And the investment trust return check apparatus 100 is good also as a structure which checks the daily return of a specific day of an investment trust using the storage information of an investment trust daily information storage part.
Specifically, the investment trust return check device 100 stores the date information indicating the specific date that is the check target date and the identification information of the check target investment trust stored in the investment trust daily information storage unit. Average value and standard deviation of the daily return of the investment trust on the specified date and the daily return of the investment trust for the specified period most recently from the specified date, and the specified predetermined value from the specified date of the investment trust benchmark Standard deviation of the daily return of the period, the excess return obtained by subtracting the daily return of the benchmark on the specific date from the daily return of the investment trust on the specified date, and the predetermined predetermined date from the specified date on the investment trust A data acquisition unit is provided for acquiring the average value and standard deviation for excess returns over a period via a communication line. Acquisition unit outputs the acquired information to the return judgment unit 260 together with the identification information of the information and the investment trusts indicating the specific date. The investment trust return check apparatus 100 includes a data acquisition unit, a return determination unit 260 that performs determination as the first and second return determination units and the excess return determination unit using information acquired by the data acquisition unit, a warning, The output determination unit 270 and the daily return storage unit 280 that stores the information acquired by the data acquisition unit in association with the date information indicating the specific date and the identification information of the investment trust may be provided. Instead of the investment trust information acquisition unit 210, the daily return calculation unit 220, the investment trust average calculation unit 230, the benchmark average calculation unit 240, and the excess return calculation unit 250 in the investment trust return check apparatus 100 of FIG. It is good also as a structure provided with the data acquisition part which acquires the storage information of a storage part.
Then, the return determination unit 260 calculates an average of the daily returns of the investment trusts to be checked acquired by the data acquisition unit on the specific day as a result of the daily returns of the investment trusts to be checked acquired by the data acquisition unit. It is determined whether or not it is within the range of n times the standard deviation of the investment trust centering on the value, and if it is not within the range, warning 1 is output. This is a determination function as the first daily return determination unit. In addition, the return determination unit 260 determines that the daily return of the investment trust to be checked acquired by the data acquisition unit is the average of the daily returns of the investment trust to be checked acquired by the data acquisition unit for the most recent predetermined period. It is determined whether or not it is within the range of n times the standard deviation of the benchmark centering on the value, and if it is not within the range, warning 1 is output. This is a determination function as the second daily return determination unit. In addition, the return determination unit 260 has the excess return on the specified date of the investment trust to be checked acquired by the data acquisition unit centered on the average value of the excess return of the investment trust acquired by the data acquisition unit for the most recent predetermined period. It is determined whether or not it is within the range of n times the standard deviation of the excess return, and if it is not within the range, a warning 1 is output. This is a determination function as an excess return determination unit. When checking daily returns and excess returns for multiple investment trusts, select the identification information of one investment trust from the identification information of multiple investment trusts, and select the daily return of the selected investment trust. In addition, the excess return may be acquired, the check process may be performed, and this may be repeated until all the identification information of the plurality of investment trusts is selected.

Now, when judging whether or not fluctuations in the daily and excess returns of the investment trust are within a reasonable range, if there is a distribution payment on the closing date of the investment trust, Since there is a decline due to the distribution failure, it is desirable to take this into consideration.
In the investment trust daily information storage unit, an amount obtained by subtracting the previous day's base price P (a-1) of the investment date a from the base price P (a) of the investment trust's management date a is the previous day's base price P ( Daily return Rf (a) = {P (a) -P (a-1)} / P (a-1) divided by a-1) and the predetermined period closest to the management date a in the investment trust The average value Rfav (a) and the standard deviation σf (a) for the daily return of the investment trust are stored in association with the date information indicating the investment date a, and the base price P of the investment trust on the investment date a The daily return {P (a) -P (a-1) obtained by dividing the amount obtained by subtracting the previous day's base price P (a-1) from the management date a by the previous day's base price P (a-1). )} / P (a-1) minus the daily return B (a) of the investment trust benchmark on the management date a The return Rα (a) and the average value Rαav (a) and the standard deviation σα (a) for the excess return over the most recent predetermined period from the management date a in the investment trust are associated with the date information indicating the management date a Shall be stored.

For example, the daily return Rf (a) of the management date a before the settlement date k stored in the investment trust daily information storage unit is calculated from the base value P (a) of the management date a to the management date a The value obtained by dividing the previous day's base price P (a-1) by the previous day's base price P (a-1) {P (a) -P (a-1)} / P (a-1) Yes, the daily return Rf (k) of the settlement date k stored in the investment trust daily information storage unit reflects the information on the distribution D of the settlement date k in the storage information of the investment trust daily information storage unit. Until the distribution date reflecting date t, the amount obtained by subtracting the base price P (k-1) of the previous day of the closing date k from the base price P (k) of the closing date k is divided by the base price P (k-1) of the previous day. Value {P (k) -P (k-1)} / P (k-1), and after the distribution date and time t have elapsed, the base date P (k) of the closing date k is the amount of the closing date. A value obtained by dividing the amount obtained by subtracting the previous day base value P (k-1) of the settlement date k after adding the gold D by the previous day base value P (k-1) {P (k) + D-P (k-1) )} / P (k−1) and the average value Rfav (k) and standard deviation σf (k) for the daily return of the predetermined period most recently from the settlement date k stored in the investment trust daily information storage unit ) Subtracts the base price P (k-1) the previous day of the closing date k from the base price P (k) of the closing date k as the daily return Rf (k) of the closing date k until the distribution date reflecting date t The value {P (k) -P (k-1)} / P (k-1) obtained by dividing the amount by the base price P (k-1) on the previous day is used, and the distribution reflected date t Later, after adding the distribution D of the closing date k to the base value P (k) of the closing date k as the daily return Rf (k) of the closing date k, the base price the day before the closing date k Using the value {P (k) + DP (k-1)} / P (k-1) obtained by dividing the amount obtained by subtracting P (k-1) by the base price P (k-1) on the previous day Is updated.
Specifically, the average value Rfav (k) and the standard deviation σf (k) for the daily return for the most recent predetermined period from the settlement date k stored in the investment trust daily information storage unit are up to the distribution date reflecting time t Is the daily return {P (k) -P (k-1)} / P (k-1) on which the distribution information is not reflected as the daily return Rf (k) of the closing date k, and the closing date The daily return {P (a) -P (a-1)} / P (a-1) of each operation date a in the quasi-predetermined period from the previous day of k is used, and the distribution reflected date After the elapse of t, the daily return {P (k) + DP (k-1)} / P (k-1) reflecting the distribution information as the daily return Rf (k) of the settlement date k And the daily return {P (a) -P (a-1)} / P (a-1) of each operating day a in the quasi-predetermined period immediately before the settlement date k. Suppose it is updated.

Further, the excess return on the management date a before the settlement date k stored in the investment trust daily information storage unit is calculated from the base price P (a) on the management date a to the base price P on the previous day of the management date a. From the investment trust daily return {P (a) -P (a-1)} / P (a-1) divided by the base price P (a-1) the day before (a-1) minus the benchmark It is a value obtained by subtracting the daily return B (a) on the operating date a, and the excess return of the closing date k stored in the investment trust daily information storage unit is the information of the distribution D of the closing date k. The amount obtained by subtracting the base price P (k-1) of the closing date k from the base price P (k) of the closing date k until the distribution date reflecting date t reflected in the storage information of the investment trust daily information storage unit Investment trust daily return {P (k) -P (k-1)} / P (k-1) divided by the previous day base price P (k-1) This is the value obtained by subtracting the BM daily return B (k) for the closing date k, and after the distribution date and time t has elapsed, the distribution D for the closing date k is added to the base price P (k) for the closing date k. Corrected daily return {P (k) + DP (k-1)} obtained by dividing the previous day's base value P (k-1) by the previous day's base value P (k-1) from the settlement date k / P (k-1) is updated to the value obtained by subtracting the BM daily return B (k) for the settlement date k, and the excess of the most recent specified period from the settlement date k stored in the investment trust daily information storage unit. The average value Rαav (k) and standard deviation σα (k) for the return are settled from the base value P (k) on the settlement date k as the excess return Rα (k) on the settlement date k until the distribution date t Investment trust daily Rita divided by the previous day's base price P (k-1) minus the previous day's base price P (k-1) Using the value obtained by subtracting the BM daily return B (k) of the settlement date k from the current {P (k) -P (k-1)} / P (k-1) After the elapse of t, as the excess return Rα (k) of the closing date k, the distribution amount D of the closing date k is added to the reference value P (k) of the closing date k, and then the previous reference amount P (k− 1) Subtract the amount minus the previous day's base price P (k-1) from the revised daily return {P (k) + DP (k-1)} / P (k-1) It is assumed that the BM daily return B (k) is updated to a value obtained by subtracting the BM daily return B (k).
Specifically, the average value Rαav (k) and the standard deviation σα (k) for the excess return for the most recent predetermined period from the closing date k stored in the investment trust daily information storage unit are until the distribution reflected date t , From the investment trust daily return {P (k) −P (k−1)} / P (k−1) that does not reflect the distribution information as excess return Rα (k) at the closing date k Minus the BM daily return B (k) and the daily return {P (a) -P (a-1)} / of each operating day a in the quasi-predetermined period from the previous day of the closing date k The value obtained by subtracting the BM daily return B (a) in the corresponding quasi-predetermined period corresponding to P (a-1) is used. Modified daily return {P (k) + DP−k (k−) in which distribution information is reflected as excess return Rα (k) )} / P (k-1) minus the BM daily return B (k) at the closing date k, and the investment trust daily return for each operating date a in the quasi-predetermined period from the day before the closing date k Updated using {P (a) -P (a-1)} / P (a-1) minus the corresponding BM daily return B (a) in the last quasi-predetermined period. Let's say.

Distribution distribution date and time t is, for example, around 4:00 pm the day after the closing date k, and the base value of the investment trust management date is distributed by the Investment Trusts Association (Investment Trusts Association) around 7:00 pm on the management day. Shall be provided. For example, a data vendor that stores information such as the daily return and excess return of an investment trust in the investment trust daily information storage unit can acquire information on the base value of the closing date k of the investment trust from the investment trust association. When it is too late to obtain information on the amount of investment trust distribution D from the Investment Trusts Association, the data vendor first sets the base value for the closing date k of the investment trust from the Investment Trusts Association as daily returns and excess returns on the settlement date k. And the index information of the benchmark is acquired and the value when there is no payment of distribution is stored in the mutual fund daily information storage unit, and then the data vendor independently collects the amount information of distribution D on the closing date k When the distribution amount D is paid, the daily return and excess return of the settlement date k may be updated to values reflecting the distribution amount D at the distribution amount reflection time t on the next day of the settlement date. In such a case, it is convenient if the daily return and excess return on the closing date k of the investment trust can be easily checked.
Therefore, the investment trust return check device 100 checks whether or not the date and time condition that the current date and time is earlier than the distribution date and time t for checking the daily return and excess return on the closing date k of the investment trust. The distribution date indicating whether or not the distribution D of the closing date k of the investment trust to be checked is 0 when the date / time condition determination unit and the date / time condition determination unit determine that the date / time condition is satisfied. Information and the base value P (k− on the day before the closing date k after adding the distribution amount D on the closing date k to the base value P (k) of the closing date k of the investment trust when the distribution D of the investment trust is not 0 1) the subtracted daily basis value P (k-1) minus the revised daily return and the daily return B (k) from the revised daily return to the closing date k of the investment trust benchmark Overcorrected Rita minus An input screen that prompts the operator of the terminal device of the investment trust return check device 100 to input the input is displayed on the display unit, and the distribution presence / absence information and correction date input by the operator using a keyboard, mouse, etc. Next return {P (k) + DP (k-1)} / P (k-1) and corrected excess return [{P (k) + DP (k-1)} / P (k-1)- B (k)] may be provided. The date / time condition determination unit associates the investment trust identification information with the date information indicating the date of the closing date k of the investment trust and stores it in correspondence with the investment trust identification information to be checked. The closing date determination unit that determines whether the check target operating date is the closing date k by determining whether the closing date k stored in the closing date storage unit matches the check target operating date. It is also possible to determine whether or not the date and time condition that the operation date to be checked is the settlement date k and the current date and time is earlier than the distribution amount reflection date and time t is determined. The result may be provided to the data acquisition unit and the return determination unit together with the identification information of the investment trust to be checked. In the input screen, a first input field for inputting whether or not the distribution amount of the investment trust is 0, a second input field for inputting the corrected daily return of the investment trust, and the investment The third entry field for entering the trust's over-corrected return is displayed, and the first entry field contains information on whether there is no distribution, indicating that the distribution is 0. 2nd and 3rd input when there is input of distribution amount presence / absence information with distribution indicating that distribution is not 0 in the 1st input field. Input to the field may be permitted, and the input may be simplified by using a check box or a radio button as the first input field. In the date / time condition judgment section, the base value of the closing date k of the investment trust is provided to the data vendor, and information such as the daily return and excess return of the investment trust is stored in the investment trust daily information storage section. If the trust closing date k is around 7:00 pm, is the date and time condition that the current date and time is after 7:00 pm on the closing date k of the investment trust and is earlier than the distribution reflected date t? It may be configured to determine whether or not.

  When the investment trust return check device 100 checks the daily return and excess return of the closing date k of the investment trust, the data acquisition unit has the distribution fund presence / absence information entered in the input unit as the distribution D. If there is a distribution indicating non-zero, in the investment trust stored in the investment trust daily information storage unit in association with the information indicating the day before the closing date k and the identification information of the investment trust to be checked The first average value Rfav (k−1) and standard deviation σf (k−1) for the daily return on the operating date a in the most recent predetermined period from the previous day of the closing date k, and the closing date k of the investment trust Obtain the first average value Rαav (k-1) and standard deviation σα (k-1) for excess returns on the operating date a for the most recent predetermined period from the previous day, and whether the investment trust benchmark closing date k When the standard deviation σbm (k) for the daily return of the most recent predetermined period is acquired and the distribution presence / absence information input to the input unit indicates that the distribution D is 0, the settlement date k The daily return Rf (k) of the closing date k of the investment trust and the closing date of the investment trust stored in the investment trust daily information storage unit in association with the information indicating the identification information of the investment trust to be checked 2nd average value Rfav (k) and standard deviation σf (k) for daily returns for the most recent predetermined period from k, excess return Rα (k) on closing date k of the investment trust and closing of the investment trust Obtain the second average value Rαav (k) and standard deviation σα (k) for the excess return for the most recent predetermined period from the day k, and also the daily return for the most recent predetermined period from the closing date k of the investment trust benchmark Nitsu To get the standard deviation σbm (k) of Te.

Then, if there is a distribution, the return determination unit 260 corrects the daily return {P (k) + DP (k-1)} / P (k-1) of the settlement date k input to the input unit. Is within the range of n times the first standard deviation σf (k−1) centered on the first average value Rfav (k−1) relating to the daily return acquired by the data acquisition unit. If it is not within the range, a warning is output. If there is no distribution, the daily return Rf (k) of the settlement date k acquired by the data acquisition unit is the daily return acquired by the data acquisition unit. It is determined whether it is within a range n times the second standard deviation σf (k) centered on the second average value Rfav (k), and a warning is output if it is not within that range. This shows a determination function as the first daily return determination unit.
Moreover, the return judgment part 260, when there is a distribution money, the correction daily return {P (k) + DP (k-1)} / P (k-1) of the settlement date k input to the input part. Is within the range of n times the standard deviation σbm (k) of the benchmark centered on the first average value Rfav (k−1) relating to the daily return acquired by the data acquisition unit, If it is not within the range, a warning is output. If there is no distribution, the daily return Rf (k) of the settlement date k acquired by the data acquisition unit is the second regarding the daily return acquired by the data acquisition unit. Is determined to be within a range n times the standard deviation σbm (k) of the benchmark centered on the average value Rfav (k), and a warning is output if not within the range. This shows a determination function as the second daily return determination unit.
In addition, when there is a distribution, the return determination unit 260 indicates that the corrected excess return of the settlement date k input to the input unit is the first average value Rαav (k−1) related to the excess return acquired by the data acquisition unit. It is determined whether or not it is in the range of n times the first standard deviation σα (k−1) centered on, and a warning is output if it is not within the range, and if there is no distribution, data The excess return Rα (k) of the settlement date k acquired by the acquisition unit is n of the second standard deviation σα (k) centered on the second average value Rαav (k) related to the excess return acquired by the data acquisition unit. It is determined whether or not it is within the double range, and if it is not within the range, a warning is output. This indicates a determination function as an excess return determination unit.
By doing in this way, even if the value that does not reflect the distribution information as the daily return and excess return of the closing date k of the investment trust is stored in the investment trust daily information storage unit, The return check can be easily performed using the corrected daily return and the overcorrected return reflecting the distribution amount input to the input unit, and convenience can be improved.

  As mentioned above, although this invention was demonstrated using embodiment, the technical scope of this invention is not limited to the range as described in the said embodiment. Various modifications or improvements can be added to the above embodiment. It is apparent from the scope of the claims that the embodiments added with such changes or improvements can be included in the technical scope of the present invention.

It is a block diagram which shows an example of a structure of the investment trust return check system 110 which concerns on one Embodiment of this invention. 2 is a block diagram illustrating an example of a functional configuration of an investment trust return check device 100. FIG. It is explanatory drawing which shows an example of the return check result by the investment trust return check apparatus. 4 is a flowchart showing an example of a check processing flow by the investment trust return check device 100. It is a flowchart which shows an example of the processing flow of a warning routine. It is a conceptual diagram for demonstrating an example of the transition of the daily return of an investment trust and a benchmark, and the timing when a warning is issued.

Explanation of symbols

100 Investment Trust Return Check Device 110 Investment Trust Return Check System 170 External Database 200 User 210 Investment Trust Information Acquisition Unit 220 Daily Return Calculation Unit 230 Investment Trust Average Calculation Unit 240 Benchmark Average Calculation Unit 250 Excess Return Calculation Unit 260 Return Determination Unit 270 Warning output determination unit 280 Daily return storage unit 290 Recording medium

Claims (12)

Average value and standard deviation of the daily return of the investment trust on the management day and the daily return of the investment trust for the predetermined period most recently from the management date, and the predetermined the latest from the management date on the investment trust benchmark Check the daily return of a specific day of the investment trust using the storage information of the mutual fund daily information storage unit that stores the standard deviation of the daily return of the period in association with the date information indicating the management date Investment trust return check equipment
The daily return of the investment trust on the specific date stored in the investment trust daily information storage unit in association with the date information indicating the specific date and the date of the investment trust in the predetermined period most recently from the specific date An acquisition unit for acquiring an average value and a standard deviation for a next return, and a standard deviation for a daily return of the predetermined period most recently from the specific date in the benchmark;
The daily return on the specific day of the investment trust acquired by the acquisition unit is n times the standard deviation of the investment trust centered on the average value of the daily return of the investment trust acquired by the acquisition unit ( However, a first daily return determination unit that determines whether or not within a range of 2 ≦ n ≦ 4) and outputs a warning when not within the range;
The daily return on the specific day of the investment trust acquired by the acquisition unit is n times the standard deviation of the benchmark centered on the average value of the daily return of the investment trust acquired by the acquisition unit. A second daily return determination unit that determines whether or not the range is within the range and outputs a warning if the range is not within the range ;
A first expected probability storage unit that stores an expected probability that the first daily return determination unit outputs a warning;
A first counting unit that counts the number of times the first daily return determination unit outputs a warning during the predetermined period;
A second expected probability storage unit that stores an expected probability that the second daily return determination unit outputs a warning;
A second counting unit that counts the number of times the second daily return determination unit outputs a warning during the predetermined period;
The number of warnings counted by the first counting unit is greater than an expected value obtained by multiplying the expected probability stored in the first expected probability storage unit by the number of days in the predetermined period, or the second When the number of warnings counted by the counting unit is larger than the predicted value obtained by multiplying the predicted probability stored in the second predicted probability storage unit by the number of days in the predetermined period, A warning output determination unit that outputs information indicating that
With
Check the daily return of the investment trust on the management day or the next day of the investment trust,
The expected probability that the first daily return determination unit and the second daily return determination unit will output a warning is the fluctuation value from the average daily return value of the investment trust indicated by n times the standard deviation. Investment trust return check device that is the probability of being outside the permissible range . Average value and standard deviation of the daily return of the investment trust on the management day and the daily return of the investment trust for the predetermined period most recently from the management date, and the predetermined the latest from the management date on the investment trust benchmark Check the daily return of a specific day of the investment trust using the storage information of the mutual fund daily information storage unit that stores the standard deviation of the daily return of the period in association with the date information indicating the management date Investment trust return check equipment
The daily return of the investment trust on the specific date stored in the investment trust daily information storage unit in association with the date information indicating the specific date and the date of the investment trust in the predetermined period most recently from the specific date An acquisition unit for acquiring an average value and a standard deviation for a next return, and a standard deviation for a daily return of the predetermined period most recently from the specific date in the benchmark;
The daily return on the specific day of the investment trust acquired by the acquisition unit is n times the standard deviation of the investment trust centered on the average value of the daily return of the investment trust acquired by the acquisition unit ( However, a first daily return determination unit that determines whether or not within a range of 2 ≦ n ≦ 4) and outputs a warning when not within the range;
The daily return on the specific day of the investment trust acquired by the acquisition unit is n times the standard deviation of the benchmark centered on the average value of the daily return of the investment trust acquired by the acquisition unit. A second daily return determination unit that determines whether or not the value is within a range and outputs a warning if the value is not within the range;
An expected probability storage unit for storing an expected probability that a warning is output from the first or second daily return determination unit;
A first counting unit that counts the number of times a warning is output from the first daily return determination unit during the predetermined period;
A second counting unit that counts the number of times a warning is output from the second daily return determination unit during the predetermined period;
A summing unit for calculating a total number of times that the number of warnings counted by the first counting unit and the number of warnings counted by the second counting unit are totaled;
Designates which number of warnings to be selected from the number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the total number of times calculated by the totaling unit A selection specification information storage unit for storing selection specification information to be
The number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the total number of times calculated by the totaling unit are selected as the number of times. A selection unit that selects based on the selection designation information stored in the designation information storage unit;
When the number of times selected by the selection unit is greater than an expected value obtained by multiplying the expected probability stored in the expected probability storage unit by the number of days in the predetermined period, the number of times that the warning has occurred exceeds the expected value. A warning output determination unit that outputs information;
Bei to give a,
Check the daily return of the investment trust on each management day or the next day of the investment trust ,
The expected probability that the first daily return determination unit and the second daily return determination unit will output a warning is the fluctuation value from the average daily return value of the investment trust indicated by n times the standard deviation. Investment trust return check device that is the probability of being outside the permissible range . Average value and standard deviation of the daily return of the investment trust on the management day and the daily return of the investment trust for the predetermined period most recently from the management date, and the predetermined the latest from the management date on the investment trust benchmark Check the daily return of a specific day of the investment trust using the storage information of the mutual fund daily information storage unit that stores the standard deviation of the daily return of the period in association with the date information indicating the management date Investment trust return check equipment
The daily return of the investment trust on the specific date stored in the investment trust daily information storage unit in association with the date information indicating the specific date and the date of the investment trust in the predetermined period most recently from the specific date An acquisition unit for acquiring an average value and a standard deviation for a next return, and a standard deviation for a daily return of the predetermined period most recently from the specific date in the benchmark;
The daily return on the specific day of the investment trust acquired by the acquisition unit is n times the standard deviation of the investment trust centered on the average value of the daily return of the investment trust acquired by the acquisition unit ( However, a first daily return determination unit that determines whether or not within a range of 2 ≦ n ≦ 4) and outputs a warning when not within the range;
The daily return on the specific day of the investment trust acquired by the acquisition unit is n times the standard deviation of the benchmark centered on the average value of the daily return of the investment trust acquired by the acquisition unit. A second daily return determination unit that determines whether or not the value is within a range and outputs a warning if the value is not within the range;
An expected probability storage unit for storing an expected probability that a warning is output from the first or second daily return determination unit;
A first counting unit that counts the number of times a warning is output from the first daily return determination unit during the predetermined period;
A second counting unit that counts the number of times a warning is output from the second daily return determination unit during the predetermined period;
A third counting unit that counts the number of days that a warning is output during the predetermined period from the first daily return determination unit or the second daily return determination unit;
Which number should be selected from the number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the number of days counted by the third counting unit A selection specification information storage unit for storing selection specification information for specifying
Any one of the number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the number of days counted by the third counting unit, A selection unit for selecting based on the selection designation information stored in the selection designation information storage unit;
When the number selected by the selection unit is greater than an expected value obtained by multiplying the expected probability stored in the expected probability storage unit by the number of days in the predetermined period, the number of occurrences of warning exceeds the expected value. A warning output determination unit that outputs information;
Bei to give a,
Check the daily return of the investment trust on each management day or the next day of the investment trust ,
The expected probability that the first daily return determination unit and the second daily return determination unit will output a warning is the fluctuation value from the average daily return value of the investment trust indicated by n times the standard deviation. Investment trust return check device that is the probability of being outside the permissible range . Average value and standard deviation of the daily return of the investment trust on the management day and the daily return of the investment trust for the predetermined period most recently from the management date, and the predetermined the latest from the management date on the investment trust benchmark Check the daily return of a specific day of the investment trust using the storage information of the mutual fund daily information storage unit that stores the standard deviation of the daily return of the period in association with the date information indicating the management date Investment trust return check equipment
The daily return of the investment trust on the specific date stored in the investment trust daily information storage unit in association with the date information indicating the specific date and the date of the investment trust in the predetermined period most recently from the specific date An acquisition unit for acquiring an average value and a standard deviation for a next return, and a standard deviation for a daily return of the predetermined period most recently from the specific date in the benchmark;
The daily return on the specific day of the investment trust acquired by the acquisition unit is n times the standard deviation of the investment trust centered on the average value of the daily return of the investment trust acquired by the acquisition unit ( However, a first daily return determination unit that determines whether or not within a range of 2 ≦ n ≦ 4) and outputs a warning when not within the range;
The daily return on the specific day of the investment trust acquired by the acquisition unit is n times the standard deviation of the benchmark centered on the average value of the daily return of the investment trust acquired by the acquisition unit. A second daily return determination unit that determines whether or not the value is within a range and outputs a warning if the value is not within the range;
A first warning output information storage unit that stores warning presence / absence information indicating whether or not the first daily return determination unit outputs a warning in association with date information indicating the specific date;
A second warning output information storage unit that stores warning presence / absence information indicating whether or not the second daily return determination unit outputs a warning in association with date information indicating the specific date;
When there is a date information associated with the warning presence / absence information indicating that the warning is output in the first warning output information storage unit indicating two consecutive days, or the second warning output information A warning output determination unit that outputs a message indicating that there is a date indicating two consecutive days in the date information associated with the warning presence / absence information indicating that the warning is output in the storage unit;
Bei to give a,
Check the daily return of the investment trust on each management day or the next day of the investment trust ,
The expected probability that the first daily return determination unit and the second daily return determination unit will output a warning is the fluctuation value from the average daily return value of the investment trust indicated by n times the standard deviation. Investment trust return check device that is the probability of being outside the permissible range . N is a value from 2.5 to 3.5;
The average value and standard deviation for the daily return for the predetermined period most recently from the specific date in the investment trust is the average value and standard deviation for the daily return for the most recent 90 days from the specific date in the investment trust,
The standard deviation for the daily return of the predetermined period most recently from the specific date in the benchmark is the standard deviation for the daily return of the most recent 90 days from the specific date in the benchmark. The investment trust return check device according to any one of to 4 . Daily return obtained by subtracting the previous day's base price P (a-1) of the management date a from the base price P (a) of the investment trust's management day a by the previous day's base price P (a-1) { P (a) -P (a-1)} / P (a-1) and the average value Rfav (a) and standard deviation σf for the daily return of the investment trust in the predetermined period most recent from the management date a (A) the standard deviation σbm (a) for the daily return of the predetermined period most recent from the management date a in the benchmark of the investment trust, and the benchmark from the daily return of the investment trust on the management date a The excess return Rα (a) obtained by subtracting the daily return of the investment date a and the average value Rαav (a) and the standard deviation σα (a ) In the investment trust return check device that checks the daily return of the closing date k of the investment trust using the storage information of the investment trust daily information storage unit that is stored in association with the date information indicating the business date a,
The distribution date information indicating whether or not the distribution amount D of the closing date k is 0, and the reference value P (k) of the closing date k of the investment trust when the distribution amount D is not 0, the closing date. The corrected daily return {P (k) obtained by adding the distribution amount D of k and then subtracting the previous day's base value P (k-1) of the settlement date k by the previous day's base value P (k-1) + D−P (k−1)} / P (k−1) and an input unit for inputting the corrected excess return obtained by subtracting the daily return at the closing date k of the investment trust benchmark from the corrected daily return When,
When the distribution amount presence / absence information input to the input unit is a distribution amount indicating that the distribution amount D is not 0, the investment trust daily information is stored in association with information indicating the day before the settlement date k. The first average value Rfav (k−1) and standard deviation σf (k−1) for the daily return for the predetermined period most recently from the previous day of the settlement date k in the investment trust, the investment The standard deviation σbm (k) for the daily return of the predetermined period most recent from the closing date k of the trust benchmark, and the excess return of the predetermined period immediately before the closing date k of the investment trust A distribution money that obtains a first average value Rαav (k−1) and a standard deviation σα (k−1) and indicates that the distribution money D is 0 in the distribution money presence / absence information input to the input unit. If no, before Daily return {P (k) -P (k-1)} / P of the investment trust's closing date k stored in the investment trust daily information storage unit in association with the information indicating the closing date k (K-1) and the second average value Rfav (k) and standard deviation σf (k) for the daily return in the predetermined period most recent from the settlement date k in the investment trust, the settlement of the investment trust benchmark The standard deviation σbm (k) for the daily return for the predetermined period most recently from the date k, and the second average value Rαav (k for the excess return for the predetermined period most recent from the settlement date k in the investment trust ) And standard deviation σα (k),
When the distribution is present, the corrected daily return {P (k) + DP (k−1)} / P (k−1) of the settlement date k input to the input unit is the acquisition unit. N times (where 2 ≦ n ≦ 4) of the first standard deviation σf (k−1) centered on the first average value Rfav (k−1) of the daily return acquired by It is determined whether or not it is within the range, and if it is not within the range, a warning is output. If there is no distribution, a daily return {P (k) of the settlement date k acquired by the acquisition unit −P (k−1)} / P (k−1) is the second standard deviation σf centered on the second average value Rfav (k) for the daily return acquired by the acquisition unit. A first daily return determination unit that determines whether or not it is within the range of the n times of (k) and outputs a warning if it is not within the range;
When the distribution is present, the corrected daily return {P (k) + DP (k−1)} / P (k−1) of the settlement date k input to the input unit is the acquisition unit. Is determined to be within the range of n times the standard deviation σbm (k) of the benchmark centered on the first average value Rfav (k−1) for the acquired daily return. If it is not within the range, a warning is output, and if there is no distribution, daily return {P (k) -P (k-1)} / P of the settlement date k acquired by the acquisition unit Whether or not (k−1) is within the range of n times the standard deviation σbm (k) of the benchmark centered on the second average value Rfav (k) acquired by the acquisition unit. A second daily return determination unit that determines and outputs a warning if not within the range;
When the distribution is present, the corrected excess return of the settlement date k input to the input unit is centered on the first average value Rα (k−1) for the excess return acquired by the acquisition unit. It is determined whether or not it is within the range of the n times the first standard deviation σα (k−1), and if it is not within the range, a warning is output. The second standard deviation σα (k) centered on the second average value Rαav (k) of the excess return acquired by the acquisition unit is the excess return of the settlement date k acquired by the acquisition unit. And an excess return determination unit that determines whether or not it is within the range of n times and outputs a warning when it is not within the range. Daily return obtained by subtracting the previous day's base price P (a-1) of the management date a from the base price P (a) of the investment trust's management day a by the previous day's base price P (a-1) { P (a) -P (a-1)} / P (a-1) and the average value Rfav (a) and standard deviation σf for the daily return of the investment trust in the predetermined period most recent from the management date a An investment trust return that checks a daily return on the closing date k of the investment trust using storage information in an investment trust daily information storage unit that stores (a) in association with date information indicating the management date a In the check device,
The distribution date information indicating whether or not the distribution amount D of the closing date k is 0, and the reference value P (k) of the closing date k of the investment trust when the distribution amount D is not 0, the closing date. The corrected daily return {P (k) obtained by adding the distribution amount D of k and then subtracting the previous day's base value P (k-1) of the settlement date k by the previous day's base value P (k-1) + D−P (k−1)} / P (k−1) is input,
When the distribution amount presence / absence information input to the input unit is a distribution amount indicating that the distribution amount D is not 0, the investment trust daily information is stored in association with information indicating the day before the settlement date k. The first average value Rfav (k−1) and standard deviation σf (k−1) for the daily return of the predetermined period most recently from the previous day of the closing date k in the investment trust is stored. If the distribution amount presence / absence information input to the input unit indicates that there is no distribution amount indicating that the distribution amount D is 0, the investment trust daily information is stored in association with the information indicating the settlement date k. The daily return {P (k) -P (k-1)} / P (k-1) of the closing date of the investment trust stored in the section and the closing date k of the investment trust A second average value Rfav (k) for daily returns for a given period and An acquisition unit for acquiring a standard deviation σf (k);
When the distribution is present, the corrected daily return {P (k) + DP (k−1)} / P (k−1) of the settlement date k input to the input unit is the acquisition unit. Is within the range of n times (where 2 ≦ n ≦ 4) the first standard deviation σf (k−1) centered on the first average value Rfav (k−1) acquired. If it is not within the range, a warning is output. If there is no distribution, a daily return {P (k) −P (k−1) of the settlement date k acquired by the acquisition unit. )} / P (k−1) is in the range of n times the second standard deviation σf (k) centered on the second average value Rfav (k) acquired by the acquisition unit. whether the judged, Bei example a daily return determining section for outputting a warning when not within the range,
The daily return Rf (a) on the management date a prior to the previous day of the closing date k stored in the investment trust daily information storage unit is calculated from the base value P (a) of the management date a on the management date a. The value obtained by dividing the previous day's base price P (a-1) by the previous day's base price P (a-1) is {P (a) -P (a-1)} / P (a-1). ,
The daily return Rf (k) of the closing date k stored in the investment trust daily information storage unit reflects the information on the distribution D of the closing date k in the storage information of the investment trust daily information storage unit. Until the distribution date reflecting date t, the amount obtained by subtracting the base price P (k-1) the previous day of the closing date k from the base price P (k) of the closing date k is the base price P (k-1) of the previous day. ) Divided by {) (P (k) −P (k−1)} / P (k−1)), and after the distribution date reflecting time t, the base price P (k) of the settlement date k The value obtained by adding the distribution amount D on the closing date and then subtracting the previous day base value P (k-1) of the closing date k by the previous day base value P (k-1) {P (k) + D−P (k−1)} / P (k−1),
The average value Rfav (k) and the standard deviation σf (k) for the daily return for the most recent predetermined period from the settlement date k stored in the investment trust daily information storage unit is until the distribution date reflecting time t. , As the daily return Rf (k) of the closing date k, the amount obtained by subtracting the preceding base date P (k−1) of the closing date k from the closing date base value P (k) of the closing date k k−1) is used, and the value {P (k) −P (k−1)} / P (k−1) is used. As the daily return Rf (k), the distribution amount D of the closing date k is added to the reference value P (k) of the closing date k, and then the previous day reference value P (k−1) of the closing date k is subtracted. The value {P (k) + DP (k-1)} / P (k-1) obtained by dividing the amount by the base price P (k-1) on the previous day was used. Updated to stuff
A date / time condition determining unit for determining whether a date / time condition that the current date / time is earlier than the distribution money reflecting date / time t is satisfied;
When the date / time condition determination unit determines that the date / time condition is satisfied, the input unit includes distribution amount presence / absence information indicating whether or not the distribution amount D of the settlement date k is 0, and the distribution amount D The amount obtained by adding the distribution amount D of the closing date k to the reference value P (k) of the closing date k of the investment trust when it is not 0 and then subtracting the reference value P (k-1) the previous day of the closing date k Is displayed on the display unit, and the distribution presence / absence information input in accordance with the input screen and the corrected daily return { An investment trust return check device that acquires P (k) + DP (k-1)} / P (k-1) . Daily return obtained by subtracting the previous day's base price P (a-1) of the management date a from the base price P (a) of the investment trust's management day a by the previous day's base price P (a-1) { P (a) -P (a-1)} / P (a-1), the excess return Rα (a) obtained by subtracting the daily return of the investment trust benchmark on the management date a, and the investment trust Investment trust daily information storage for storing the average value Rαav (a) and standard deviation σα (a) for the excess return of the predetermined period most recently from the management date a in association with the date information indicating the management date a In the investment trust return check device that checks the excess return Rα (k) on the closing date k of the investment trust using the stored information of the investment trust,
The distribution date information indicating whether or not the distribution amount D of the closing date k is 0, and the reference value P (k) of the closing date k of the investment trust when the distribution amount D is not 0, the closing date. The corrected daily return {P (k) obtained by adding the distribution amount D of k and then subtracting the previous day's base value P (k-1) of the settlement date k by the previous day's base value P (k-1) An input unit for inputting an overcorrected return obtained by subtracting a daily return at the closing date k of the benchmark from + D−P (k−1)} / P (k−1);
When the distribution amount presence / absence information input to the input unit is a distribution amount indicating that the distribution amount D is not 0, the investment trust daily information is stored in association with information indicating the day before the settlement date k. The first average value Rαav (k−1) and standard deviation σα (k−1) for the excess return of the predetermined period most recently from the previous day of the settlement date k in the investment trust, When the distribution amount presence / absence information input to the input unit indicates that there is no distribution amount indicating that the distribution amount D is 0, the investment trust daily information storage unit is associated with information indicating the settlement date k. And the second average value Rαav (k) and standard for the excess return Rα (k) of the investment trust on the closing date k and the excess return of the investment trust for the predetermined period most recently from the closing date k Get to get deviation σα (k) And,
In the case where the distribution is present, the overcorrected return of the closing date k input to the input unit is the first average centered on the first average value Rαav (k−1) acquired by the acquisition unit. It is determined whether it is within the range of n times the standard deviation σα (k−1) (where 2 ≦ n ≦ 4), and if it is not within the range, a warning is output. In this case, the excess return Rα (k) of the settlement date k acquired by the acquisition unit is the second standard deviation σα (centered on the second average value Rαav (k) acquired by the acquisition unit. it is determined whether within the scope of the n times k), e Bei the excess return determining section for outputting a warning when not within the range,
The excess return Rα (a) of the management date a prior to the previous day of the settlement date k stored in the investment trust daily information storage unit is calculated from the base value P (a) of the management date a to the previous day of the management date a. Investment trust daily return {P (a) -P (a-1)} / P (a-1) divided by base price P (a-1) minus the previous day's base price P (a-1) Is the value obtained by subtracting the daily return on the operation date a of the benchmark from
In the excess return Rα (k) of the closing date k stored in the investment trust daily information storage unit, the distribution D information of the closing date k is reflected in the storage information of the investment trust daily information storage unit. Until the distribution date reflecting date t, the amount obtained by subtracting the base price P (k-1) of the previous settlement date k from the base price P (k) of the settlement date k is the previous day base price P (k-1). The value obtained by subtracting the daily return at the closing date k of the benchmark from the daily return {P (k) -P (k-1)} / P (k-1) divided by After the reflection date t has elapsed, the amount obtained by adding the distribution amount D on the closing date k to the reference value P (k) on the closing date k and then subtracting the previous reference amount P (k-1) on the closing date k Divided by the previous day's base price P (k-1), the modified daily return {P (k) + DP (k-1)} / P (k- 1) is updated to the value obtained by subtracting the daily return at the closing date k of the benchmark.
The average value Rαav (k) and standard deviation σα (k) for the excess return for the most recent predetermined period from the settlement date k stored in the investment trust daily information storage unit is until the distribution date reflecting time t, As the excess return Rα (k) at the closing date k, an amount obtained by subtracting the previous base date P (k−1) of the closing date k from the base date P (k) of the closing date k is the previous base date P (k The value obtained by subtracting the daily return at the closing date k of the benchmark from the daily investment trust return {P (k) -P (k-1)} / P (k-1) divided by -1) After the distribution date reflecting time t has elapsed, the distribution D on the closing date k is added to the base value P (k) on the closing date k as the excess return Rα (k) on the closing date k. The amount obtained by subtracting the previous day's base value P (k-1) of the closing date k from the previous day's basis Subtract the daily return at the closing date k of the benchmark from the modified daily return {P (k) + DP (k-1)} / P (k-1) divided by the amount P (k-1) Updated to those using
A date / time condition determining unit for determining whether a date / time condition that the current date / time is earlier than the distribution money reflecting date / time t is satisfied;
When the date / time condition determination unit determines that the date / time condition is satisfied, the input unit includes distribution amount presence / absence information indicating whether or not the distribution amount D of the settlement date k is 0, and the distribution amount D The amount obtained by adding the distribution amount D of the closing date k to the reference value P (k) of the closing date k of the investment trust when it is not 0 and then subtracting the reference value P (k-1) the previous day of the closing date k An input screen for prompting the input of the excess excess return obtained by subtracting the daily return at the closing date k of the benchmark from the corrected daily return divided by the base price P (k-1) on the previous day, An investment trust return check apparatus , wherein the distribution presence / absence information input according to the input screen and the corrected excess return are acquired . A first expected probability storage unit that stores an expected probability that the first daily return determination unit outputs a warning;
A first counting unit that counts the number of times the first daily return determination unit outputs a warning during the predetermined period;
A second expected probability storage unit for storing an expected probability that the second daily return determination unit outputs a warning;
A second counting unit that counts the number of times the second daily return determination unit outputs a warning during the predetermined period;
The number of warnings counted by the first counting unit is greater than an expected value obtained by multiplying the expected probability stored in the first expected probability storage unit by the number of days in the predetermined period, or the second When the number of warnings counted by the counting unit is larger than the predicted value obtained by multiplying the predicted probability stored in the second predicted probability storage unit by the number of days in the predetermined period, A warning output determination unit that outputs information indicating that the
Check the daily return of the investment trust on each management day or the next day of the investment trust ,
The expected probability that the first daily return determination unit and the second daily return determination unit will output a warning is the fluctuation value from the average daily return value of the investment trust indicated by n times the standard deviation. The investment trust return check device according to claim 6, wherein the investment trust return check device has a probability of being out of an allowable range . An expected probability storage unit for storing an expected probability that a warning is output from the first or second daily return determination unit;
A first counting unit that counts the number of times a warning is output from the first daily return determination unit during the predetermined period;
A second counting unit that counts the number of times a warning is output from the second daily return determination unit during the predetermined period;
A summing unit for calculating a total number of times that the number of warnings counted by the first counting unit and the number of warnings counted by the second counting unit are totaled;
Designates which number of warnings to be selected from the number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the total number of times calculated by the totaling unit A selection specification information storage unit for storing selection specification information to be
The number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the total number of times calculated by the totaling unit are selected as the number of times. A selection unit that selects based on the selection designation information stored in the designation information storage unit;
When the number of times selected by the selection unit is greater than an expected value obtained by multiplying the expected probability stored in the predicted probability storage unit by the number of days in the predetermined period, the number of warning occurrences exceeds the expected value. A warning output determination unit that outputs information, and
Check the daily return of the investment trust on each management day or the next day of the investment trust ,
The expected probability that the first daily return determination unit and the second daily return determination unit will output a warning is the fluctuation value from the average daily return value of the investment trust indicated by n times the standard deviation. The investment trust return check device according to claim 6, wherein the investment trust return check device has a probability of being out of an allowable range . An expected probability storage unit for storing an expected probability that a warning is output from the first or second daily return determination unit;
A first counting unit that counts the number of times a warning is output from the first daily return determination unit during the predetermined period;
A second counting unit that counts the number of times a warning is output from the second daily return determination unit during the predetermined period;
A third counting unit that counts the number of days that a warning is output during the predetermined period from the first daily return determination unit or the second daily return determination unit;
Which number should be selected from the number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the number of days counted by the third counting unit A selection specification information storage unit for storing selection specification information for specifying
Any one of the number of warnings counted by the first counting unit, the number of warnings counted by the second counting unit, and the number of days counted by the third counting unit, A selection unit for selecting based on the selection designation information stored in the selection designation information storage unit;
When the number selected by the selection unit is larger than an expected value obtained by multiplying the expected probability stored in the expected probability storage unit by the number of days in the predetermined period, the number of warning occurrences exceeds the expected value. And a warning output determination unit that outputs information,
Check the daily return of the investment trust on each management day or the next day of the investment trust ,
The expected probability that the first daily return determination unit and the second daily return determination unit will output a warning is the fluctuation value from the average daily return value of the investment trust indicated by n times the standard deviation. The investment trust return check device according to claim 6, wherein the investment trust return check device has a probability of being out of an allowable range . A program for causing a computer to function as a mutual fund return check apparatus according to any one of claims 1 to 11.

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