JP6167163B2 - Portfolio analyzer - Google Patents

Description

  The present invention relates to a portfolio analyzer for analyzing a portfolio when operating a corporate pension or the like.

  The management of corporate pensions has become increasingly complex in recent years. Alternative investments were initially centered on hedge funds, but recently, investment targets are diversifying, such as those investing in real assets such as real estate and infrastructure funds, private equity, and insurance strategies. Even traditional assets such as stocks and bonds move considerably differently from asset benchmarks, such as smart beta and non-benchmark management for stocks, and management called unconstrained strategy with high manager's freedom and less restrictions on bonds. Operation is expanding rapidly.

  While the inclusion of investment products is diversifying, portfolio profits and risks are generally managed from the perspective of “assets” that have been used for a long time. For example, in many pension funds, asset management such as domestic bonds and domestic stocks manages the risk of assets under management from the perspective of how much risk is taken compared to benchmarks for each asset such as NOMURA-BPI and TOPIX. There are many. Investment portfolios are diversified, but portfolio profits and risk management remain the same. This means that it is not possible to properly grasp what the portfolio's earnings are obtained from and what causes the portfolio's risk, and it can be said that there is an increasing need for sophisticated risk management.

  Patent Document 1 proposes a portfolio risk information providing apparatus that supports investment information provided to a customer by a fund provider that provides the customer with a fund. This portfolio risk information providing device uses multiple regression analysis with risk factor groups selected by the classification of each fund constituting the fund portfolio as explanatory variables as risk information of the fund portfolio handled by the fund provider, A risk analysis method that calculates the risk sensitivity of each risk factor obtained as a regression coefficient of each risk factor, and a customer portfolio that calculates the risk of the portfolio held by the customer based on the risk information of the fund obtained by the risk analysis method A risk calculating means.

JP 2010-3194 A

  Understanding what portfolio returns and risks come from is the first step in risk management. However, it is not always sufficient to manage portfolio risk only in the “asset” category, which is generally used, in the current situation where investment products are diversified. The reason will be described using an example.

  Referring to FIG. 1, let us consider a case where a foreign fund is invested in a passive fund whose benchmark is “Barclays General (no currency hedging)”. Since the fund holds foreign bonds, the asset classification is “foreign bonds”. Next, digging a step further and looking at what types of securities are held, about 80% of foreign bonds are government bonds, while the remaining 20% are corporate bonds. JGBs are affected by overseas interest rates, while corporate bonds are also affected by overseas credit (credit) risks in addition to interest rates. In addition, both government bonds and corporate bonds are denominated in foreign currencies and are affected by “exchange”.

  Therefore, when grasping the source of revenue and risk of this fund, it is not sufficient to recognize the effects of credits and the like only by what “assets” are held.

  The risk factors used in Patent Document 1 (paragraph [0018]) are classified into one of the five major categories of stock risk, bond risk, credit risk, interest rate risk, and foreign exchange risk. It is attached and stored in the database. However, the “asset” category such as each risk factor in Patent Document 1 includes a plurality of fluctuation factors that summarize domestic and overseas assets, and the customer can easily recognize the risk information of each risk factor. Is not enough.

  Therefore, an object of the present invention is to provide a novel portfolio analysis apparatus. In addition, the present invention provides a portfolio analyzer using a profit factor (factor) different from the conventional asset classification in order to grasp more specifically what factors the investment object is influenced by. For the purpose.

The present invention is configured as follows to solve the above problems.
(Aspect 1) An input unit for inputting portfolio information, a storage unit for storing information on the portfolio and premise values, a data processing unit for obtaining a risk and return of the portfolio based on the information, and displaying the risk and return A storage unit that stores a plurality of revenue elements, and the plurality of revenue elements are preset so that a correlation value is equal to or less than a predetermined value based on the portfolio. And the data processing unit obtains the risk and return for each of the plurality of profit factors.

  (Aspect 2) In the portfolio analysis device according to Aspect 1, when the data processing unit displays the obtained risk and return on each of the plurality of profit factors on the display unit, A portfolio analyzing apparatus, characterized in that it is displayed as a rectangle or a box with the return as the other side. (Aspect 3) The portfolio analysis apparatus according to Aspect 2, wherein the plurality of profit elements are arranged in a staircase shape using the plurality of rectangles. (Aspect 4) The portfolio analysis apparatus according to Aspect 2, wherein the plurality of profit elements are arranged so that diagonals of one of the rectangles are connected at the vertices of the other rectangle. .

  (Aspect 5) In the portfolio analysis device according to any one of Aspects 2 to 4, the plurality of profit elements represent at least a first rectangle representing the first profit element and a second profit element. And a second rectangular shape, wherein the first vertex of the first rectangle is arranged so as to contact the vertex of the second rectangle. (Aspect 6) The portfolio analysis apparatus according to Aspect 5, wherein the second vertex of the first rectangle is arranged at the origin of the risk and return. (Aspect 7) In the portfolio analysis apparatus according to Aspect 5 or 6, the first profit element or the second profit element displays the profit elements in a predetermined order of the type and area of the profit elements. A characteristic portfolio analyzer. (Aspect 8) The portfolio analysis apparatus according to any one of Aspects 2 to 7, wherein a bar graph indicating the accumulation of risk contributions is arranged in parallel with the one side. (Aspect 9) The portfolio analysis apparatus according to any one of Aspects 2 to 8, wherein a bar graph indicating the accumulation of profit contribution is arranged in parallel with the other side.

  (Aspect 10) The portfolio analysis apparatus according to any one of aspects 2 to 9, further comprising a printing unit that prints the rectangle or the box shape. (Aspect 11) In the portfolio analysis device according to any one of aspects 1 to 10, the risk is a standard deviation or VaR (value at risk) of the profit factor, and the return is a value of the profit factor. A portfolio analyzer characterized by an expected rate of return. (Aspect 12) The portfolio analysis apparatus according to any one of aspects 1 to 11, wherein the profit factor is preset based on a region and a type. (Aspect 13) The portfolio analysis apparatus according to Aspect 12, wherein the regions are domestic and developed countries other than the domestic and emerging countries, or domestic and foreign. (Aspect 14) The portfolio analysis apparatus according to Aspect 12 or 13, wherein the type includes at least stock, interest rate, credit, real thing, and exchange rate.

  Since the portfolio analysis apparatus of the present invention manages a portfolio with profit factors, the following two advantages arise. The first point is that even if a variety of investment products are incorporated, the earnings and risk factors of the portfolio can be analyzed appropriately. Secondly, since the profit factor is selected in consideration of the correlation and the like, it is expected to enjoy the effect of diversified investment by building a portfolio by diversifying the profit factor.

It is a chart which shows the composition of a foreign bond. It is a chart which shows the example of composition of the profit factor used with the portfolio analysis device concerning the embodiment of the present invention. It is a chart which shows a correlation with a risk return about conventional assets. FIG. 3 is a chart showing a correlation between risk / return and the profit factor of FIG. 2. It is a block diagram which shows the structure of the portfolio analyzer which concerns on embodiment of this invention. It is a flowchart which shows the process in the portfolio analyzer of FIG. It is a chart which shows the asset composition of portfolio A and B used as an example of analysis. It is a graph which shows the analysis according to assets of the risk return of portfolio A and B. It is a graph which shows the holding ratio of a profit factor about portfolio A and B. It is a figure which shows a risk return return analysis about the profit component of portfolio A. It is a figure which shows a risk-return contribution analysis about the profit factor of portfolio B.

I. Outline An embodiment according to a portfolio analysis apparatus of the present invention will be described with reference to the drawings. The portfolio analysis apparatus of the present invention provides a method for managing from the viewpoint of profit factors in addition to the management based on the asset classification such as domestic bonds and domestic stocks so far when considering the return and risk of the entire portfolio. In order to deepen the understanding of the concept of profit factors, the portfolio analysis apparatus according to the embodiment of the present invention is used to introduce a new (“A” balanced investment that invests in traditional four assets ”and“ (B) alternative investment ”. An analysis example that analyzes two portfolios of “balanced type management” is provided, and the merits of managing from the viewpoint of profit factor through the analysis example are described.

II. Concept of risk management based on profit factors Reasons for Analysis by Revenue Factor Considering the “Revenue Factor” in view of FIG. 1 again. The fund's profits and risks in Fig. 1 are composed of "overseas interest rates" representing the price fluctuation factors of government bonds, "foreign credits" representing the price fluctuation factors of corporate bonds, and "exchange". In this way, rather than simply thinking of revenue as “foreign bonds”, it is appropriate to determine what the fund's revenue and risk are brought about by decomposing it into “international interest rate + exchange rate + overseas credit”. It becomes possible to grasp.

2. What kind of profit factor should be disaggregated? There are many ways to break down a portfolio by profit factor, but it is not good to simply disaggregate it. For example, decomposition by principal component analysis has the advantage that the correlation between components becomes zero, but it is difficult to interpret each component and is not suitable for practical use. Principal component analysis is a statistical method for consolidating information held in data with as few factors as possible without losing information as much as possible.

  Thus, the method of decomposing only by the statistical method is not always good, and the understandability on the customer side is also practically important. Furthermore, in addition to detailed analysis of portfolio profits by profit factor, the possibility of investing is also important in order to lead to risk management of the portfolio by diversifying investment of profit factors.

  In the embodiment of the present invention, the types of revenue are disassembled as shown in FIG. In light of the diversification of investment products, the types of revenue factors (horizontal classification) include “stocks” and “interest rates”, “credits” such as corporate bonds and high yield bonds, and real estate and price-linked government bonds. They are classified into 6 types: “Real”, “Exchange”, and “Alpha (α)” depending on the skills of the fund manager. In addition, each type of revenue element is divided into three regions: domestic, developed and emerging countries. However, some profit factors are set across multiple regions in consideration of investment practices. The number of revenue elements can be, for example, 32 in total, but the structure of the revenue elements shown in FIG. 2 is shown by organizing and consolidating highly similar items into types and regions.

  Explaining the source of return for each revenue component, “equity” refers to the revenue obtained from the country's economic growth and business performance growth. “Interest rate” is the income earned from bonds, which includes both price fluctuations and interest income. “Credit” is the income obtained from the credit risk of corporate bonds, and “actual and others” includes income from real investments such as real estate, REIT and infrastructure investment, as well as income from commodities and price-linked government bonds. “Foreign exchange” refers to revenue from fluctuations in exchange rates, and “alpha (α)” is active revenue, which means revenue obtained from managers' choice of stocks and market forecasting power.

  Of these revenue components, domestic and developed country equities and interest rates correspond to the traditional four assets traditionally classified as asset classes by corporate pensions. In other words, the risk characteristics of domestic stock earnings factors are domestic stock asset classes (asset benchmark: TOPIX), and the risk characteristics of domestic bond earnings factors are domestic bond asset classes (asset benchmark: NOMURA-BPI comprehensive), developed country stocks. The risk characteristics of the profit component of the foreign countries are the foreign equity asset class (asset benchmark: MSCI-KOKUSAI), and the risk characteristics of the profit factors of the developed country interest rates are the foreign bond asset class (asset benchmark = Citi World Government Bonds (excluding Japan)). Match. However, for foreign assets, the foreign exchange is separated as an independent revenue component, and the hedge component without foreign exchange risk is used as the revenue component.

  The treatment using the asset benchmark of the traditional four assets as a profit factor takes into consideration practical usability. Even if an investor tries to invest in a certain profit factor, an investment opportunity cannot be obtained unless an investment product that invests in that profit factor is found. If a major asset benchmark is directly used as a revenue factor, there are many funds that use this revenue factor as a benchmark. Therefore, when investing in a diversified manner, it is possible to easily access an excellent fund manager at a low cost, and it is possible to construct a portfolio based on the revenue factor.

3. Benefits of risk management by profit factor It is often said that diversified investment is important, but in order for diversified investment to be truly effective, it is important that the correlation between the investment targets of diversified investment (revenue relevance) is low . If you invest in two investment targets that are fully correlated with a correlation of 1, you cannot expect a diversification effect at all. It can happen that the effect is not achieved because it is distributed.

  FIG. 3 shows the risk / return of each asset and the correlation between each asset, which has been generally used in the past. In the vertical direction at the left end of FIG. 3, asset classification is described. FIG. 3 shows the estimated return (expected rate of return), risk (standard deviation), and correlation between assets for each asset. These are estimates of risk / return in the medium term by the applicant over the next five years, and are called medium-term scenarios. Many asset classes have a fairly high correlation between assets of 0.5 or higher. In asset class diversification, the risk may actually be less diversified.

  Next, FIG. 4 shows the risk / return of each revenue element and the correlation between each revenue element for the revenue element classification used in the embodiment of the present invention. In the vertical direction at the left end of FIG. FIG. 4 is an estimate of the return (expected rate of return), risk (standard deviation), and correlation between revenue factors in the applicant's medium-term scenario for each revenue component. It can be seen that many of the correlations between the revenue factors are generally low at 0.3 or less. In other words, if diversified by profit factor, there is a high possibility that the final portfolio is also risk diversified. Further, comparing FIG. 3 and FIG. 4, it can be said that the correlation between the profit factors is lower than the correlation between the assets, and the selection of the profit elements is functioning well. Therefore, it is possible to construct a portfolio that can enjoy the diversification effect more by managing and diversifying the portfolio by profit factor than managing and diversifying the portfolio by assets. Note that the revenue component is obtained by dividing the revenue component from each asset in advance so that a combination having a relatively low correlation (correlation coefficient) is preferable, for example, based on the past 20 years. .

II. Revenue Factor Calculation Method The configuration of the portfolio analysis apparatus 100 that uses a revenue component will be described with reference to FIG. The portfolio analysis apparatus 100 includes a data processing unit (CPU) 102 that performs data processing based on a program for analyzing a risk / return of a profit factor, and an input unit (a premise value such as various numerical values related to the profit factor). A keyboard) 104, a storage unit (RAM, ROM) 106 for storing the input premise values, a data processing program, and the like, and a display unit (display) 108 for displaying a data input screen, processed profit factors, etc. Consists of The portfolio analysis apparatus 100 can be preferably a personal computer, a portable information terminal, a network server, or the like. Further, the portfolio analysis apparatus 100 is preferably connected to a printing unit (printer) 200, which can print a chart showing processed profit factors.

  Processing executed by the portfolio analysis apparatus 100 in FIG. 5 will be described with reference to FIG. As shown in FIG. 6, when the process starts, basic setting information is input from the input unit 102 in step S1, and the process proceeds to step S2. Basic information includes customer name, various portfolios (current status, Proposal 1, Proposal 2, etc.), market fluctuation scenarios (domestic and / or foreign interest rates, stocks, exchange rate fluctuations, and credit spread expansion rate), etc. . For basic information, we set the characteristics of investment products using the minimum available information (benchmark and excess profit target, etc.). As a result, it is possible to analyze the managed products of other companies using the portfolio analyzer 100. In step S2, a policy asset mix is set, and the process proceeds to step S3. Policy asset mix is the composition ratio of individual assets. Specifically, the composition ratio is set for each of domestic bonds, domestic stocks, foreign bonds, foreign stocks, alternatives, multi-sets, short-term assets, etc. included in each portfolio.

  In step S3, customer portfolio information is input, and the process proceeds to step S4. The portfolio information is the name of the managed product that includes each profit factor and the component ratio. In step S4, a premise value such as information on the profit factor (factor) F of the managed product is input, and the process proceeds to step S5. In step S5, premise values such as a risk and return related to the profit factor F, a correlation value between the profit factors F, and the like are input, and the process proceeds to step S6. In step S6, it is determined whether or not to display a portfolio based on the input profit factor F. When displaying the portfolio in step S6, the process proceeds to step S7, the portfolio (FIGS. 7 and 8) is displayed on the display unit 108, and the process proceeds to step S8. If the portfolio is not displayed in step S6, the process immediately proceeds to step S8.

  In step S8, the data processing unit 102 calculates the risk / return for each profit factor F, preferably using covariance, and proceeds to step S9. In step S9, the risk / return analysis result calculated for each profit factor F is displayed on the display unit 108, and the process proceeds to step S10. In step S10, it is determined whether to print the analysis result. When the analysis result is printed in step S10, the analysis result is printed using the printing unit 200 in step S11. The analysis result is, for example, as shown in FIGS. 10 and 11 described later. If the analysis result is not printed in step S10, the process ends.

  In the flowchart of FIG. 6, it is also possible to further analyze and display the fall risk for each profit factor from the risk / return calculation based on the profit factor performed in step S8. The fall risk analysis analyzes the impact of stress scenarios and assumed market fluctuations for each revenue component. Furthermore, the composition of the profit factor can be optimized based on the risk / return calculation based on the profit factor performed in step S8. It is also possible to automatically calculate and display the composition of the revenue element with the lowest risk in the target return.

III. Specific examples of portfolio management based on profit factors The use of the portfolio analysis apparatus 100 of the present invention shows how the analysis of portfolio revenue / risk changes in comparison with conventional asset-based analysis. Look through the case. Portfolio A is the “new type of balanced management of traditional four assets” by the applicant, and portfolio B is a new type of balanced management of four traditional assets with various asset management strategies such as alternative assets. Balanced operation ”. As shown in Table 1, in portfolios A and B based on the applicant's medium-term scenario, the expected return is higher in portfolio B, but the standard deviation is lower in portfolio B.

1. Analysis by asset Figure 7 shows the asset composition of portfolios A and B. Portfolio A is about 45% domestic bonds and about 20% domestic and foreign stocks. On the other hand, compared with portfolio A, portfolio B has a slightly lower ratio of traditional 4 assets, and 8% of alternative assets are included instead. Domestic stocks and foreign stocks include some REITs and absolute return funds as alternatives to stocks, and it is not possible to fully grasp the diversification of investment products.

  Fig. 8 shows the risk-return contributions of portfolios A and B by asset. Looking at the expected earnings contributions by asset in the left figure in Figure 8, it can be seen that most of the earnings in portfolio A are due to the contributions of 1.4% domestic stocks and 1.5% foreign stocks. On the other hand, in Portfolio B, in addition to the total of domestic and foreign stocks of 2.8%, the contribution of domestic bonds is 0.5%. However, this figure of contribution includes investment products held as domestic bond substitutes and stock substitutes.

  In addition, looking at the risk contribution by asset in the right diagram of FIG. 8, it can be seen that both the portfolios A and B have a large risk contribution of domestic and foreign stocks, as in the case of expected profit contribution. However, the level of contribution from domestic bond substitution and equity substitution, and what revenue factors contribute to alternative assets, cannot be determined by asset analysis.

2. Risk / Return Analysis of Revenue Factors First, let's look at how many revenue factors are held in order to analyze in detail what revenue and risk sources are. FIG. 9 shows the holding ratio of the profit factors of portfolios A and B. This figure shows how many revenue factors other than alpha are incorporated. For example, “20% of domestic revenue component is linked to domestic equity factor (more specifically, TOPIX)” This means that the company holds 20% of the entire portfolio. Looking at the share of portfolio A's profit component, the largest is domestic interest, followed by foreign exchange, domestic stocks and developed country stocks. This is because Portfolio A has the highest share of domestic bonds at 44% and the total of foreign currency assets is 32%.

  On the other hand, the composition of the profit component of portfolio B is significantly different from that of portfolio A. The first point is that the rate of domestic interest rate is significantly lower than that of Portfolio A, and instead the interest rate of developed countries and the holding rate of credit are increasing. Second, the ratio of domestic stocks and developed country stocks is lower than that of portfolio A, and the proportion of real products and others is increasing. The first reason for the difference is that Portfolio B incorporates foreign bonds that hedge foreign exchange as an alternative to domestic bonds. The second point is that Portfolio B incorporates REITs in place of domestic and foreign stocks.

  In this way, it is possible to grasp the status of the portfolio in more detail than the case of analyzing from the viewpoint of assets from the holding ratio of the profit factor. Note that, as in the case of foreign bonds, one asset may have multiple revenue factors, so the total holding ratio of revenue factors may exceed 100%.

  It is possible to grasp how much each profit factor contributes to the expected profit and risk by applying the expected profit and risk of each profit factor to the holding ratio of this profit factor. That is the risk / return contribution analysis of the revenue component in FIG. First, how to view FIG. 10 will be described. The horizontal axis is risk (standard deviation), and the vertical axis is the expected rate of return (return). The size of risk / return for each revenue element is indicated by a box (rectangle). The width of the box (the length of the horizontal side) is the magnitude of the contribution to risk, and the height of the box (the length of the vertical side) is the magnitude of the contribution to earnings. Starting from the starting point (b), it moved to the risk contribution of domestic stocks and moved to the return contribution of domestic stocks (b) is the risk and return of domestic stocks. Similarly, (c) is the place where all profit factors are stacked. Since the risk of the entire portfolio is reduced by the diversification effect of each revenue component, the total risk / return of the portfolio is (d). (E) is a stacked bar graph of risk contribution, and (f) is a stacked bar graph of profit contribution. Here, domestic stocks, developed country stocks and emerging country stocks are summed up to represent stocks, and domestic interest rates, developed country interest rates and emerging country interest rates are combined to represent interest rates. In FIG. 10, the risk / return values of the entire portfolio are indicated by diamonds.

  From the risk / return analysis of the profit factors of portfolio A in FIG. First, domestic stocks and developed country stocks contribute significantly to both expected profits and risks. This means that the profit structure of portfolio A is highly dependent on domestic and foreign stocks. Second, the domestic interest rate is the revenue factor with the highest share of the revenue component shown in Fig. 9, but both the revenue and risk contributions are small, and the risk contribution is relatively large. This means that although the holding ratio of domestic bonds is high, it does not contribute to the risk and return of the portfolio and the investment efficiency is not good. Third, although the exchange rate has a large risk contribution, the profit contribution is almost zero (slightly negative) based on the applicant's medium-term scenario, and the risk taken is not rewarded.

  For portfolios such as portfolio A, which have a high risk contribution from domestic and foreign stocks and foreign exchange, taking only the past two to three years, they are performing well thanks to the yen depreciation against the backdrop of Abenomics and the rise in stock prices. It is true that it has shown performance. However, considering the future, such stock price increases and yen depreciation may not always continue. Portfolio A, whose risk diversification is not sufficient when the market moves in the opposite direction, may have a large loss.

  Next, when comparing the risk / return analysis of the profit component of portfolio B in FIG. The first is that the size of the box, which represents the risk / return size of the profit factor, has been relaxed from that centered on domestic and foreign stocks. The second is the increase in the types of profit factors such as credits and actual products. These mean that portfolio B is more profitable than portfolio A and is expected to earn more stably.

  As described above, we have analyzed portfolio B, which is a new type of balanced type, which incorporates various investment strategies such as portfolio A, which consists of four traditional assets, and alternatives. As a result, it was shown that it is possible to grasp in detail the sources of revenue and risk rather than simply analyzing by asset category. Comparing portfolios A and B, portfolio A is a portfolio with domestic and foreign stocks as revenue drivers, while portfolio B is a portfolio with a diversified revenue component and a relaxed stock structure. .

  As shown in FIG. 10 and FIG. 11, the portfolio analysis apparatus according to the embodiment of the present invention is a rectangle in which one side is a risk value and the other side is a return value for each profit element constituting the portfolio. Or it is expressed in a box shape. Furthermore, each rectangle is arranged so as to touch at each vertex. The lower left vertex of the first rectangle (first revenue element) is placed at the origin, and the upper right vertex of the first rectangle that is the diagonal of the lower left vertex of the first rectangle is the second rectangle (first (2 rectangular elements) are arranged so as to touch the lower left vertex. Subsequently, the upper right vertex of the (n−1) th rectangle (the (n−1) th revenue element) is arranged so as to be in contact with the lower left vertex of the nth rectangle. If each rectangle is arranged so that only vertices on a diagonal line (not shown) are in contact with each other, each rectangle or box shape is arranged in a staircase pattern. By arranging the rectangle or box shape of each revenue element in this way, each revenue element included in the entire portfolio can be integrally recognized while individually recognizing the risk / return of each revenue element. It should be noted that there is a risk that it is difficult to compare the risk / return because the rectangular arrangement positions are separated for the profit factor with the distant connection position. Therefore, as shown in FIGS. 10 and 11, a bar graph indicating the accumulation of risk contributions is arranged on the outside (lower side) of the horizontal axis (risk (standard deviation)), and the vertical axis (return (expected rate of return)). ) Outside (left side), a bar graph indicating the accumulation of profit contribution can be arranged. Also, the policy asset mix can be displayed in broken lines above FIGS. 10 and 11. In the embodiment of the present invention, the risk of the profit factor is expressed by the standard deviation, but the present invention is not limited to this. For example, the risk of the profit factor may be expressed by VaR (value at risk). VaR is an index for calculating the expected maximum loss of market risk using a statistical method. This means that if the asset (portfolio) that is currently held is assumed to be held for a certain period in the future, the amount of loss will be incurred due to market fluctuations within a certain probability range (confidence interval). It is a measure of the possibility.

IV. Summary The conventional portfolio management based on asset classification can only grasp which asset the portfolio profits and risks come from, and it is not always sufficient in the current situation where the investment products are diversified. According to the concept of the profit factor introduced in the present invention, it is possible to visually grasp which profit factor contributes to the profit and risk of the portfolio.

  Furthermore, by selecting a profit element having a low correlation and constructing a portfolio so that the profit elements are dispersed, it can be expected that a diversification effect is enjoyed rather than a portfolio construction based on the asset classification. Then, taking an example of balanced management of traditional four assets and a new type of balanced management that incorporates alternative assets, we conducted a risk / return analysis based on profit factors and explained the risk characteristics of both portfolios. In the present invention, it is possible to visualize what the risk and return of the portfolio come from by the profit factor, so that the portfolio is reviewed so that the risk and return of the factor are distributed based on the analysis result of the visualized portfolio Can do.

V. Calculation Logic The calculation logic used in the portfolio analysis apparatus according to the embodiment of the present invention will be supplementarily described.
1. Basic analysis (1) Expected return calculation method For individual products, when the number of factors is L, the following formula is used. The symbols are defined as follows.

The expected return of the portfolio can be obtained by the following formula when the number of owned products is N.

(2) Standard deviation calculation method The standard deviation of individual products can be calculated according to the following concept. Here, in order to simplify the notation, the calculation formula is described by taking as an example the case of having only two factors. In addition, the part of the risk of the individual product that cannot be explained by the factor is defined as σ _e and defined as having no correlation with the factor. The definitions of symbols are as follows.

Portfolio risk can be calculated by the following formula when the number of owned products is N.

2. Analysis of profit factor (factor) (1) Return contribution of factor part

(2) Factor contribution to risk

(3) Diversity effect “Diversification effect” = “Standard deviation of the entire portfolio”-Σ “Risk contribution of each factor”

DESCRIPTION OF SYMBOLS 100 Portfolio analyzer 102 Data processing part 104 Input part 106 Storage part 108 Display part 200 Printing part

Claims (13)

An input unit for inputting portfolio information, a storage unit for storing information on the portfolio and the premise value, a data processing unit for obtaining risk and return of the portfolio based on the information, and a display unit for displaying the risk and return A portfolio analysis apparatus comprising:
The storage unit stores a plurality of revenue elements, and the plurality of revenue elements are set in advance based on the portfolio such that a correlation value is a predetermined value or less,
The data processing unit obtains the risk and return for each of the plurality of profit factors ,
When the data processing unit displays the obtained magnitude of the risk and the magnitude of the return for each of the plurality of profit factors on the display unit, the risk is set as one side and the return is set as the other side. portfolio analyzer according to claim you to view a rectangular or box-shaped to the sides. The portfolio analysis apparatus according to claim 1 ,
The portfolio analysis apparatus, wherein the plurality of profit elements are arranged in a staircase shape using the plurality of rectangles. The portfolio analysis apparatus according to claim 1 ,
The portfolio analysis apparatus, wherein the plurality of profit elements are arranged such that one of the diagonal lines of the rectangles is connected at the vertex of the other rectangle. In the portfolio analysis apparatus according to any one of claims 1 to 3 ,
The plurality of revenue elements are composed of at least a first rectangle representing a first revenue element and a second rectangle representing a second revenue element, and the first vertex of the first rectangle is A portfolio analyzing apparatus, wherein the portfolio analyzing apparatus is arranged so as to be in contact with a vertex of the second rectangle. The portfolio analysis apparatus according to claim 4 ,
The portfolio analysis apparatus, wherein a second vertex of the first rectangle is arranged at an origin of the risk and return. In the portfolio analysis apparatus according to claim 4 or 5 ,
The portfolio analysis apparatus, wherein the first profit element or the second profit element displays the profit elements in a predetermined order of the type and area of the profit elements. In the portfolio analysis apparatus according to any one of claims 1 to 6 ,
A portfolio analyzer that arranges a bar graph indicating the accumulation of risk contributions in parallel with the one side. In the portfolio analysis apparatus according to any one of claims 1 to 7 ,
A portfolio analyzer that arranges a bar graph indicating the accumulation of profit contributions in parallel with the other side. In the portfolio analysis apparatus according to any one of claims 1 to 8 ,
A portfolio analysis apparatus comprising a printing unit that prints the rectangle or box. In the portfolio analysis apparatus according to any one of claims 1 to 9 ,
The portfolio analysis apparatus, wherein the risk is a standard deviation or VaR (value at risk) of the profit factor, and the return is an expected rate of return of the profit factor. In the portfolio analysis apparatus according to any one of claims 1 to 10 ,
The portfolio analysis apparatus, wherein the profit factor is preset based on a region and a type. The portfolio analysis apparatus according to claim 11 ,
The portfolio analysis apparatus characterized in that the region is a domestic country and a developed country and an emerging country other than the domestic country, or a domestic country and a foreign country. The portfolio analysis apparatus according to claim 11 or 12 ,
The portfolio analysis apparatus characterized in that the type includes at least stock, interest rate, credit, real thing, and exchange rate.