JPH11338918A - Fund operated result analyzer - Google Patents

Abstract

PROBLEM TO BE SOLVED: To provide a fund operated result analyzer capable of obtaining the respective sector tilt effects and brand selection effects of a portion possessed at the beginning of a period, a portion purchased during the period and a portion sold during the period. SOLUTION: This analyzer is composed of an input device, a processor, a storage device and an output device. The processor is provided with a factor decomposition means 1 and the factor decomposition means 1 is provided with a period beginning possession effect/in-period purchase effect/in-period selling effect calculation part 2 and a sector tilt effect/brand selection effect calculation part 3. The period beginning possession effect/in-period purchase effect/in-period selling effect calculation part 2 is provided with a period beginning possession effect calculation part 2a, an in-period purchase effect calculation part 2b and an in-period selling effect calculation part 2c and the period beginning possession effect calculation part 2a, the in-period purchase effect calculation part 2b and the in-period selling effect calculation part 2c respectively calculate a period beginning possession effect, an in-period purchase effect and an in-period selling effect. The sector tilt effect/brand selection effect calculation part 3 calculates the respective sector tilt effects and brand selection effects of the portion possessed at the beginning of the period, the portion purchased during the period and the portion sold during the period.

Description

DETAILED DESCRIPTION OF THE INVENTION

[0001]

BACKGROUND OF THE INVENTION 1. Field of the Invention The present invention relates to an apparatus for analyzing the results of asset management such as stock investment and the like, and in particular, decomposes the results of asset management into initial holding effects, purchase effects during the period, and sales effects during the period. The present invention relates to an asset management result analyzer that calculates these sector tilt effects and issue selection effects.

[0002]

2. Description of the Related Art Generally, in the asset management industry based on stock investment and the like, a person who deposits funds from an investor (called a fund manager) uses the funds to obtain an advantageous type (hereinafter referred to as a sector). Buy or sell stocks and bonds (hereinafter referred to as “stocks”) of companies that are advantageous in, and invest in assets to obtain profits greater than the initial investment.
In this case, the profits obtained greatly depend on the way the fund manager manages the assets.

[0003] This asset management method involves selecting a diversified investment to invest in which stock in which sector and with what weight (an asset obtained by this advantageous diversified investment is referred to as a portfolio), and at what time a stock is invested. And the like, and have the speculative aspect of whether or not they have purchased or sold, or held without buying or selling. Asset management methods are these 2
It can be evaluated from the aspect.

[0004] When a profit or loss due to asset management (collectively referred to as an asset management result) is obtained, it is necessary to analyze a factor that has caused the asset management result by examining a future asset management policy or investing in a fund. This has important implications for evaluating the performance (good or bad) of a manager. For this reason, conventionally, there has been proposed an apparatus for analyzing the results of asset management from the aspect of diversified investment or from the perspective of speculation using a computer.

[0005] The following is a description of the conventional asset management result analysis device. Note that the asset management result analysis device is actually composed of a computer having an input device, a processing device, a storage device, and an output device. Since the essential part of the operation result analysis device is described below, the method of factor decomposition of the asset management result will be mainly described below.

The results of asset management (hereinafter simply referred to as return or excess return) are generally calculated based on assets at the beginning of the period, assets at the end of the period, and cash flows during the period. Here, the beginning of the period is the beginning of the calculation period, the end of the period is the end of the calculation period, and the assets are actually stocks and bonds. The calculation period refers to the period for measuring the performance of an investment by dividing the investment into a period of a predetermined length for a continuous investment.

As a method of calculating the return of the asset management, a return r by the following modified Dietz method for each asset is often calculated.

R = (V1−V0−ΔtCt) / (V0 + ΔtCt × (1−t)) (10) Here, the length of the period for measuring investment performance is 1
And V0 and V1 are the market value of the portfolio at the beginning and end of the period, respectively, and Ct is the cash flow generated at time t (0 <t <1). This Ct is defined as positive inflow of funds into the portfolio (purchase of assets) and negative in outflow of funds from the portfolio (sale of assets).

[0009] By comparing the return r by the modified Dietz method for each asset with the return R of the benchmark index, which is the basis of the profit, the quality of the asset management result is determined by the magnitude of the excess return (r-R). You can judge. Conceptually, the return R of this benchmark index is a profit that can be obtained without special asset management such as interest on deposits. In the world of Japanese equity investment, the Tokyo Stock Exchange Index (TOPIX)
) Is often used as the benchmark index return R.

[0010] The method of analyzing the cause of the excess return (r-R) is called factor decomposition, and the conventional factor decomposition by the asset management result analyzer is the following two methods. Was by the way.

The first method is a method of decomposing asset management results into a sector tilt effect and a brand selection effect.
Here, the sector means one set of investment targets, and in the world of equity investment, it usually refers to the type of business as described above. The sector tilt effect is the effect of changing the type of sector in the portfolio and the weight occupied by each sector. In addition, the issue selection effect refers to the effect of eliminating issues that cannot make a profit in the same sector and selecting issues that can make a lot of profits.

According to the first method, equation (10) is modified as follows. r = ｛Σs (Vs1−Vs0−Σt Cst)｝ / ｛V0 + Σt Ct × (1-t)｝ = Σs [｛(Vs0 + Σt Cst × (1-t)) / (V0 + Σt Ct × (1-t) )｝ × {(Vs1-Vs0-Σt Cst) / (Vs0 + Σt Cst × (1-t))}] (11) Here, Vs1, Vs0, and Cst are Vs in each sector s.
1, V0 and Ct. That is, V1 = Σs Vs1, V2
= Σs Vs2, Ct = ΣCst.

Next, in equation (11), 、 (Vs0 + Σt Cst × (1-t)) / (V0 + Σt Ct ×
(1-t))｝ is the investment weight xs for sector s, and {(Vs1−V
Assuming that s0− {t Cst) / (Vs0 + {t Cst × (1−t))} is the return rs of the sector s portion, the equation (11) is expressed by the following equation (12).
Rewrite the expression.

R = Σs (xs × rs) (12) where xs is the investment weight for sector s,
s xs = 1.

Similarly, the benchmark index return R is rewritten into the following equation (13) using the sector benchmark index return Rs.

R = Σs (ps × Rs) (13) where ps is the weight of sector s in benchmark index return R, and Σs ps
= 1.

Next, using the above equations (12) and (13), the excess return (r−R) is modified as shown in the following equation (14).

R−R = Σs (xs−ps) × (Rs−R) + Σsxs × (rs−Rs) (14) The first term of the above equation (14) is the term “excess return (r−R)”. Sector tilt effect. "

That is, this term is defined as overweight (xs> ps) for sectors where Rs> R and underweight (xs <ps) for sectors where Rs <R. This indicates that the excess return (rR) contributes to be positive.

In other words, the first term in equation (14) is that the sector benchmark index return Rs has many sectors with better (higher investment profitability) than the benchmark index return R, If the sector benchmark index return Rs is set to have fewer sectors (lower return on investment) than the benchmark index return R, the overall excess return (r-R) can be increased. Indicates that you can do it.

The second term in equation (14) is the excess return (r−
The “brand selection effect” in R) is shown.

That is, (rs−Rs) in the second term is
This indicates that the excess return (r-R) can be increased by selecting a better issue in the same sector s, because it increases by selecting a better issue in the sector s.

The above is the method of decomposing the excess return into the sector tilt effect and the brand selection effect, which has been performed by the conventional asset management result analysis device.

On the other hand, the second conventional method of factor decomposition of asset management results is a method of factorizing excess return (rR) into a portion held at the beginning of the period and a portion traded during the period.

In the second factorization method of the asset management result, a hypothetical portfolio called an initial frozen portfolio is considered. The term-initial frozen portfolio is an asset that is held as it is until the end of the term without buying or selling the portfolio at the beginning of the term. Assuming that the return in this case is rh, rh can be calculated by equation (10).

Using this rh, the actual excess return (r-R) is developed into the following equation (15).

R−R = (r−R) + (r−rh) (15) The first term of the above equation (15) is the excess return due to the initial holding (or the initially frozen portfolio), and the second term is Excess returns from trading during the period are shown.

The above is a method of decomposing the excess return into the initial holding effect and the trading effect during the period, which is performed by the conventional asset management result analyzing apparatus.

The conventional asset management performance analysis device has decomposed the excess return into one of a sector tilt effect and a brand selection effect, or an initial holding effect and a trading effect during the period, as necessary.

[0030]

However, in the above-mentioned conventional asset management result analyzer, any of the sector tilt effect and the stock selection effect, or the initial holding effect and the trading effect during the period can be calculated from the excess return. However, it was not possible to determine the sector tilt effect and stock selection effect for the initial holdings, or the sector tilt effect and stock selection effect for the trading stock during the period.

If it is considered that holding an asset is also an asset management activity, the asset management activity performs holding, purchasing, and selling by performing sector tilt (sector allocation) and brand selection at the beginning and during the period, respectively. Will be. Therefore, unless the performance of the asset management activities (sector tilt effect, stock selection effect) at each time is evaluated, the factor decomposition of the asset management is not truly realized.

On the other hand, the conventional asset management result analysis device cannot perform such detailed factor decomposition, and therefore, development of a device capable of performing such factor decomposition has been awaited.

Therefore, an object of the present invention is to solve the above-mentioned problems of the conventional asset management result analysis apparatus and to obtain the sector tilt effect and the stock selection effect of the initial holding, the purchase during the period, and the sale during the period. An object of the present invention is to provide an asset management result analysis device capable of performing the above.

[0034]

The asset management result analysis device according to the present invention comprises an input device, a processing device, a storage device, and an output device, wherein the processing device has factor decomposition means,
The factor decomposition means includes an initial holding effect, an interim purchase effect, and an interim sale effect calculation unit, and a sector tilt effect and a stock selection effect calculation unit. In the asset management result analysis device comprising a period initial holding effect calculation unit, an interim purchase effect calculation unit, and an interim sale effect calculation unit, the input device includes initial period holding balance data, purchase transaction data, and sales transaction data. ,
The market value at the beginning and end of the term and the interest / dividend data and the benchmark return for each asset are input, and the storage device stores the data input by the input device as necessary, and the initial holding effect calculation unit of the factor decomposition means And an interim purchase effect calculation unit and an interim sale effect calculation unit are respectively stored in the storage device or input at the beginning by the input device, the initial balance data, the purchase transaction data, the sale transaction data, and the beginning and end of the period. The market price and interest / dividend data and the benchmark return by asset are input, the initial holding effect, the purchase effect during the period, and the sale effect during the period are calculated, and the sector tilt effect / brand selection effect calculation unit of the factor decomposition means is used. ,
The initial holding effect calculation unit, the interim purchase effect calculation unit, the interim sales effect calculation unit calculates the initial holding effect, the interim purchase effect,
Enter the effect of the sale during the period and calculate the sector tilt effect and stock selection effect of the initial holding, the sector tilt effect and the stock selection effect of the purchase during the period, and the sector tilt effect and the stock selection effect of the sale during the period. An asset management result analysis device characterized in that:

[0035]

In the asset management result analysis device according to the present invention, the input device converts the balance at the beginning of the period, the purchase transaction data, the sale transaction data, the market value at the beginning and the end of the period, the interest / dividend data, and the benchmark return for each asset. input. These data are temporarily stored in a storage device or processed directly by a processing device.

The processing device manages and controls the entire analysis device, activates the factor decomposition means in response to a request from the user, and analyzes the asset management result.

The factor decomposing means is activated by an instruction of the processing device, and stores the initial balance data, purchase transaction data, sale transaction data, and the
Enter the market value at the end of the period, interest and dividend data, and the benchmark return by asset, and calculate the effects of the initial holding, purchase during the period, and sale during the period of the asset management results.

Subsequently, the factor decomposition means calculates the respective sector tilt effects and brand selection effects from the respective effects of the above-mentioned initial investment held during the period, purchase during the period, and sale during the period.

The output device outputs the sector tilt effect and the brand selection effect of the initial holding, the purchase during the period, and the sale during the period calculated by the factor decomposition means in the form of paper, a display screen, and an electronic file.

[0040]

Next, an embodiment of the asset management result analyzing apparatus according to the present invention will be described below.

The asset management result analysis device according to the present invention comprises an input device, a storage device, a processing device, and an output device, but the main part of the invention resides in the factor decomposition means of the processing device. This will be mainly described. Note that the factor decomposition means may be a device specifically configured for analyzing asset management results, or may load a software program into a processing device of a general-purpose computer and cause the processing device to perform an operation described below. It may be constituted by the following.

FIG. 1 schematically shows the structure of the factor decomposition means and the flow of its processing. As shown in FIG.
The factor decomposition means 1 is roughly divided into an initial holding effect / interim purchase effect / interim sale effect calculating section 2 and a sector tilt effect / brand selecting effect calculating section 3.

The initial holding effect / interim purchase effect / interim sale effect calculation section 2 further includes an initial holding effect calculation section 2a, an interim purchase effect calculation section 2b, and an interim sale effect calculation section 2c.

The factor decomposing means 1 stores the initial balance data 4
, Purchase transaction data 5, sale transaction data 6,
Enter the market value at the end of the period, interest and dividend data 7 and the benchmark return 8 for each asset, calculate the asset management results from these data, and use this asset management result as the sector tilt effect at the beginning of the period and the issues at the beginning of the period. The factors are decomposed into the selection effect, the sector tilt effect of the purchase during the period, the stock selection effect of the purchase during the period, the sector tilt effect of the sale during the period, and the selection effect of the sale during the period.

Since there has been no means for performing such factor decomposition in the past, the factor decomposition of the asset management result performed by the factor decomposition means 1 is hereinafter referred to as Akeda factor decomposition for convenience of the inventor. Also, the above-mentioned initial holding sector tilt effect, initial holding stock selection effect, purchase during the period sector tilt effect, purchase during the period stock selection effect, sale during the period sector tilt effect, and sale during the period effect Are collectively referred to as a factor decomposition calculated value 9 by the Akeda factor decomposition.

Although not shown in FIG. 1, the asset management result analyzing apparatus according to the present invention comprises the above-mentioned initial balance data 4, purchase transaction data 5, sale transaction data 6, beginning and end market value and interest. An input device for inputting the dividend data 7 and the benchmark return 8 for each asset, a storage device for storing the data input by the input device, and an output device for outputting the result of the factor decomposition by the factor decomposition means 1 doing.

The method of Akeda factor decomposition by the factor decomposition means 1 will be described below.

In the Akeda factorization method, the following preparations are made for the market values V0 and V1 of the portfolio at the beginning and end of the period (assets diversified) and the cash flow Δt Ct during the period to be used for calculating the returns from asset management. Do.

V0 and V1 are defined by the following formula (1)
It can be described as 6) and (17).

V0 = Σj mj (0) × pj (0) (16) V1 = Σj mj (1) × pj (1) (17) Here, 0 indicates the beginning of the term and 1 indicates the end of the term.

Mj (t) indicates the quantity of the stock j held at the time t (when t = 0 or t = 1) or the trading quantity (when 0 <t <1).

Pj (t) is the price of brand j at time t.

The above mj (1) and mj (0) are obtained by the following equation (18)
Have a relationship.

Mj (1) = mj (0) + Σt (buy) mj (t) −Σt (sell) mj (t) (18) Here, Σt (buy) mj (t) is the period for the issue j和 t
(sell) mj (t) means the sum of the sales volume of stock j at all times during the period.

That is, the term-end holding quantity mj of brand j
(1) is to add the purchase quantity during the period Σt (buy) mj (t) to the quantity at the beginning of the period mj (0),
l) It can be said that mj (t) is subtracted.

On the other hand, cash flow during the period Δt Ct
Can be broken down into trading and interest and dividends received by brand as shown in the following equation (19). Σt Ct = Σj (buy) Σt mj (t) × pj (t)-Σj (sell) Σt mj (t) × pj (t)-Σj (hold) mj (0) × dj (0 ')-Σj ( buy) Σt mj (t) × dj (t ′) + Σj (sell) Σt mj (t) × dj (t ') (19) Here, the first term of the expression (19) is the brand j at the time t. Is the sum of the payment amount mj (t) × pj (t) at the time of purchase and for all purchase points and brands purchased. In addition,
The first term is a purchase, so it is a cash inflow, and the sign is positive.

The second term of the equation (19) is the sum of the received amount mj (t) × pj (t) when the brand j is sold at the time t, for all the selling points and the brands sold. Yes, it corresponds to a cash outflow, so the sign is negative.

The third term of equation (19) is the sum of the interest and dividends received during the period for the holding amount mj (0) of the issues held at the beginning of the period. Note that dj (0 ') is the time point 0' (0 <0 ') for the stock j held at the time point 0 (early period).
Interest and dividend per unit quantity received in <1). Since the interest and dividend received are the outflow (cash out) of funds from assets, the sign in the third term is negative.

The fourth term of equation (19) is the sum of the interest and dividend received at time t 'for the brand purchased at time t during the period, and dj (t') is the brand j purchased at time t. At the time point t ′ (t <t ′ <1). Since this term is also cashed out, the sign is negative.

The fifth term of the equation (19) is the sum of the deduction of the interest and dividend for the brand already sold at time t from the interest and dividend received at time t 'during the period. Where d
j (t ′) is the interest / dividend per unit quantity that could be received at time t ′ (t <t ′ <1) if the issue j sold at time t was not sold. Since this term is a deduction for interest and dividend received, the sign is positive.

By substituting the formulas (16) to (19) prepared as described above into the formula (10) of the return r by the modified Dietz method by asset described above and calculating the excess return r−R, The following equation (20) can be obtained.

R−R = whold × ｛Σj (hold) xj (0) × rj ′ (0) −R｝ + wbuy × ｛Σj (buy) yj (*) × rbj ′ (*) − R｝ −wsell × ｛Σj (sell) zj (*) × rsj '(*) −R｝ (20) where whold represents the investment weight of the initial holding (Vhold) in the average balance of assets during the period, and is given by the following formula. It is represented by (21).

Whold = Vhold / (V0 + Δt Ct × (1-t)) (21) wbuy is the purchase amount during the period (Vbuy
) Indicates the investment weight, and is represented by the following equation (22).

Wbuy = Vbuy / (V0 + ΣtCt × (1−t)) (22) wsell represents the investment weight of the sale during the period in the balance of the assets during the period, and is expressed by the following equation (23). You.

Wsell = Vsell / (V0 + ΣtCt × (1-t)) (23) Vhold, Vbuy and Vsell of the above equations (21), (22) and (23) are further obtained by the following equations (24) and (24). 25) and (26).

Vhold = Σj (hold) ｛mj (0) × [pj (0) -dj (0 ′) × (1-0 ′)]｝ (24) Vbuy = Σj (buy) Σt {mj (t) × [pj (t) −dj (t ′) × (1-t ′) / (1-t)] × (1-t) ｔ (25) Vsell = Σj (sell) Σt ｛mj (t) × [ pj (t) -dj (t ') x (1-t') / (1-t)] x (1-t)｝ (26) In equation (20), xj (0) is held at the beginning of the period. Brand j
At the beginning of the period, and is expressed by the following equation (27).

Xj (0) = mj (0) × {pj (0) −dj (0 ′) × (1-0 ′)} / Vhold (27) rj ′ (0) indicates the stock j held at the beginning of the term at the end of the term. It shows the modified Dietz method return when holding up to
9) t = 0 in rj '(t) represented by (9).

Rj ′ (t) = rj (t) / (1−t) (28) rj (t) = {pj (1) −pj (t) + dj (t ′)} / Δpj (t) − dj (t ') × (1-t') / (1-t) ｔ (29) From the above equations (28) and (29), the denominator of rj '(t) is {p
j (t) -dj (t ') * (1-t') / (1-t)｝ /
(1-t), and the value obtained by multiplying the quantity by the quantity mj (t) corresponds to the average balance during the period of the brand j purchased at the time point t. This is tabulated for all purchases during the period.
buy.

Y j (*) indicates the investment weight of the issue j purchased during the period when the portion purchased during the period is regarded as a portfolio, and is expressed by the following equations (30) and (31).

Yj (*) = Σt (buy) yj (t) (30) yj (t) = ｛mj (t) × [pj (t) −dj (t ′) × (1-t ′) / ( 1−t)] × (1−t)｝ / Vbuy (31) Note that the symbol “*” means the sum of investment activities for the same issue when a plurality of investments are made during the period. That is, since the purchase of the brand j is not limited to one time during the period, the weight obtained by summing up the purchases of the brand j during the period is yj (*) in equation (30).

Rbj '(*) is the modified Diet's method return of the weighted average of the stocks j purchased during the period, and is represented by the following equation (32).

Rbj ′ (*) = Σt (buy) ((yj (t) / yj (*)) × rj ′ (t) (32) Note that the purchase is made during the period according to the same concept as the above yj (*). Term return rj '(t) of all issues j
Is weighted using yj (t) as the weight, and the return of the brand j is rbj '(*) in equation (32).

Z j (*) is the investment weight of the issue j during the term when the part sold during the term is regarded as a portfolio, and is expressed by the following equations (33) and (34).

Z j (*) = Σt (sell) z j (t) (33) z j (t) = ｛m j (t) × [p j (t) −dj (t ′) × (1-t ′) / ( 1−t)] × (1−t)｝ / Vsell (34) rsj ′ (*) is the adjusted Diet's method return of the stock for sale j during the period, and is expressed by the following equation (35).

Rsj ′ (*) = Σt (sell) (zj (t) / zj (*)) × rj ′ (t) (35) Using the above equations (21) to (35), Formulas can be calculated.

The first term of the equation (20) represents the excess return on the initial holding of the asset management, the second term represents the excess return on the purchase during the term, and the third term represents the excess return on the sale during the term. It has the important characteristic that excess return can be decomposed into sector tilt effect and stock selection effect.

In other words, according to equation (20), the effects of initial holding, purchase during the period, and sale during the period from the first to the third terms are all the adjusted dates for each asset in the equation (12) described above. It has the same shape as the return r by the modulus. For this reason, the excess return (r-R) is decomposed into the sector tilt effect and the stock selection effect in the same manner as in equation (14), and the initial holding sector tilt effect, the initial stock selection effect, It is possible to obtain the sector tilt effect of the purchase during the period, the stock selection effect of the purchase during the period, the sector tilt effect of the sale during the period, and the selection effect of the sale during the period.

A specific factor decomposition method will be described below.

The return of the portfolio portion in each excess return in equation (20) is the sum of the product of the weight by brand and the return by brand, and is in the form of Σj xj × rj. Into sectoral returns.

Here, if the sum of xj for sector s is xs, and the sector return calculated by averaging rj by weighted by xj is rs, the following formulas (36) and (37) are obtained.

Xs = Σj xj (36) rs = Σj ((xj / xs) × rj) (37) Here, Σj indicates the sum of all issues j belonging to the sector s.

At this time, Σj xj × rj can be transformed into the following equation (38).

Σj xj × rj = Σs xs × Σj ((xj / xs) × rj) = Σs xs × rs (38) By this method, the first to third terms of the equation (20) are converted into the initial holding effect. = Whold × ｛Σj (hold) xj (0) × rj '(0) -R｝ (1) Purchase effect during the period = wbuy × ｛Σj (buy) yj (*) × rbj' (*) -R｝ (2 ) Selling effect during the period = wsell × ｛Σj (sell) zj (*) × rsj '(*)-R｝ (3), the above equations (1), (2) and (3) are Equation (4)-
The factor can be decomposed into (9).

Sector tilt effect at the beginning of holding = whold × ｛Σs (xs (hold) −ps) × (Rs−R)} (4) Selection effect of stocks at the beginning of holding = whold × ｛Σs xs (hold) × (rs (hold) −Rs)｝ (5) Sector tilt effect for purchases during the period = wbuy ×) s (xs (buy) −ps) × (Rs −R)} (6) Selection effect for purchases during the period = wbuy × ｛Σs xs (buy) × (rs (buy) −Rs)｝ (7) Sector tilt effect for sale during the period = wsell × ｛Σs (xs (sell) −ps) × (Rs−R)} (8) Stocks sold during the period Selection effect = wsell × {s xs (sell) × (rs (sell) −Rs)} (9) where xs (hold) = Σj, s (hold) xj (0); j, s (ho
ld) is the stock j in the initial holding of sector s, Rs is what is called the sector benchmark index return, the benchmark index return of sector s, and ps is the weight of sector s in the benchmark. R = Σs (ps × Rs), rs (hold) = Σj, s (hold) ((xj (hold) / xs (hold))
× rj '(0)) xs (buy) = Σj, s (buy) yj (*); j, (buy) is the issue j in the purchase during the period of sector s, rs (buy) = Σj, s (buy ) ((yj (*) / xs (buy)) × rb
j '(*)) xs (sell) = Σj, s (sell) zj (*); j, (sell) is the issue j in the sector s sold during the period, rs (sell) = Σj, s (sell) ((zj (*) / xs (sell))
× rsj ′ (*)) The above is the method of the Akeda factor decomposition. The factor decomposition unit 1 in FIG. 1 is an apparatus for realizing the above method. This will be described with reference to FIG.

In FIG. 1, the initial holding effect calculating section 2a, the mid-term purchasing effect calculating section 2b, and the mid-term selling effect calculating section 2c are provided by Equation (20) or (1), (2),
Equation (3) is obtained individually.

In the initial holding effect calculation section 2a, the initial holding balance data 4, purchase transaction data 5, and sale transaction data 6
And the market value at the beginning and end of the term and the interest / dividend data 7 are calculated, whold, xj (0), rj '(0) are calculated (step 20), and then the benchmark return data 8 by asset is inputted. , Whold calculated in step 20, xj
(0), the weight at the beginning of the period and the excess return are calculated from rj '(0) (step 21).

FIG. 2 shows a more detailed configuration of the initial holding effect calculation section 2a and its processing flow.

As shown in FIG. 2, the initial holding effect calculation unit 2
a is the calculation unit 100 of the period return rj '(0) for each brand.
And a brand-specific weight xj (0) calculating unit 101, a term-starting-part total average Vhold calculating unit 102, and a term-starting-part weight calculating unit 103.

The above-described brand-specific period return r j ′ (0) calculating section 100 and the brand-specific weight x j (0) calculating section 101.
The initial part total balance Vhold calculation unit 102 and the initial part weight calculation unit 103 include the initial period balance data 4, purchase transaction data 5, sale transaction data 6, the market value at the beginning and end of the period, and the interest and dividend data. 7, the stock price at the end of the term pj
(1), the initial quantity and stock price mj (0), pj (0), interest and dividend income data dj (0 '), and the total balance of the assets are obtained.
Calculate the values of j '(0), xj (0), whold.

At this time, the term return by brand rj '(0)
, A brand-specific weight xj (0) calculating unit 101, a beginning-of-period total average remaining Vhold calculating unit 102, and a beginning-of-period weight calculating unit 103 are respectively represented by equations (28) and (2).
7), (24), and (21) are calculated to obtain the desired value.

On the other hand, the interim purchase effect calculation unit 2b inputs the initial balance data 4, purchase transaction data 5, sale transaction data 6, and the beginning and end market value and the interest and dividend data 7, and inputs wbuy, yj ( *) And rbj '(*) are calculated (step 22), and then the benchmark return data 8 for each asset is input, and wbuy and yj calculated in step 22 are input.
(*), The weight for the purchase during the period and the excess return are calculated from rbj '(*) (step 23).

FIG. 3 shows a more detailed configuration in the above-mentioned interim purchase effect calculation section 2b and a processing flow thereof.

[0093] As shown in FIG.
b is the calculation unit 110 of the transaction-specific period return rj '(t).
, A weighted return calculation unit 111 for each brand, a calculation unit 112 for a weight yj (t) for each transaction, a weighted weight calculation unit 113 for each brand, and a calculation unit 11 for the purchased partial total balance Vbuy.
4 and a weight calculation unit 115 for a purchased part.

A calculation unit 110 for the above-mentioned transaction-specific period return r j ′ (t), a weighted return calculation unit 111 for each brand,
The calculating unit 112 for the transaction-specific weight yj (t), the weighting calculating unit 113 for each brand, the calculating unit 114 for calculating the total balance Vbuy of the purchased part, and the weight calculating unit 115 for the purchased part are:
From the initial balance balance data 4, purchase transaction data 5, sale transaction data 6, and market price and interest / dividend data 7 at the beginning and end of the term, the stock price pj (1) at the end of the term and the purchase transaction data mj
(T), pj (t), interest and dividend data dj
(T '), the total balance of the asset is obtained, and rbj' (*), yj
(*), Calculate the value of wbuy.

At this time, the transaction-specific period return rj '(t)
Calculation unit 110 and a weighted return calculation unit 111 for each brand.
And a transaction-specific weight yj (t) calculating unit 112, a brand-specific weighting weight calculating unit 113, and a purchase partial total balance Vbu.
y calculation unit 114 and purchase weight calculation unit 115
Calculates the target values by calculating the equations (28), (32), (31), (30), (25), and (22), respectively.

In the interim sales effect calculation section 2c, the initial balance data 4, purchase transaction data 5, sales transaction data 6, initial / end market value and interest / dividend data 7 are inputted, and wsell, zj ( *), Rsj '(*) is calculated (step 24). Next, the data 8 of the benchmark return by asset is input, and wsell,
Calculate the weight and excess return for the sale during the period from zj (*) and rsj '(*) (step 25).

FIG. 4 shows a more detailed configuration of the in-term sales effect calculation section 2c and a processing flow thereof.

As shown in FIG. 4, during-term sales effect calculation section 2
c is the calculation unit 120 of the transaction-specific period return rj '(t).
, A weighted return calculation unit 121 for each brand, a calculation unit 122 for a transaction-specific weight zj (t), a weighting weight calculation unit 123 for each brand, and a calculation unit 12 for the sold partial total balance Vsell.
4 and a weight calculation unit 125 for a sale part.

The above-described period-by-transaction return rj '(t) calculation unit 120, the weighted return calculation unit 121 for each brand, the calculation unit 122 for the transaction-specific weight zj (t), and the weighted weight calculation unit 123 for each brand. The calculation unit 124 of the sales portion total average Vsell and the weight calculation unit 125 of the sales portion include the initial balance data 4, purchase transaction data 5, sale transaction data 6, the market value at the beginning and end of the period, and the interest and dividend. Data 7
From the term-end stock price pj (1), purchase transaction data mj
(T), pj (t), interest and dividend data dj
(T '), the total balance of the asset is obtained, and rsj' (*), zj (*)
, Wsell are calculated.

At this time, the transaction-specific period return rj '(t)
Calculation unit 120 and a weighted return calculation unit 121 for each brand.
, A calculation unit 122 for the weight zj (t) for each transaction, a weight calculation unit 123 for each brand, and
ll calculator 124 and weight calculator 125 for the sale part
Calculates the target values by calculating the equations (28), (35), (34), (33), (26), and (23), respectively.

In this manner, the initial holding effect calculating section 2a
And interim purchase effect calculator 2b and interim sale effect calculator 2c
However, after calculating the weight and excess return of the initial holding, purchase during the period, and sale during the period, respectively,
The results of these calculations are input to the sector tilt effect and stock selection effect calculation unit 3 of the above, and the sector tilt effects of the initial holdings, the purchases during the period, and the sales during the period are calculated by the above-described formulas (4) to (9). And the issue selection effect are calculated. These calculation results are the factor decomposition calculated value 9 by the Akeda factor decomposition in FIG.

The factor decomposition means 1 shown in FIG. 1 includes an initial holding effect calculation section 2a, an interim purchase effect calculation section 2b, and an interim sale effect calculation section 2c, but these calculation sections are independent of each other. It is. Therefore, the initial holding effect calculation unit 2a, the purchase effect calculation unit 2b during the period, and the sale effect calculation unit 2 during the period
It is also possible to configure an asset management result analyzer equipped with only part of c. Such an analyzer is also within the scope of the present invention.

In this case, the sector tilt effect / brand selection effect calculation unit 3 determines only a part of the formulas (4) to (9) according to the configuration of the initial holding effect / interim purchase effect / interim sale effect calculation unit 2. It is configured to calculate That is, the sector tilt effect / brand selection effect calculation unit 3 calculates the sector tilt effect / brand selection effect calculation unit for the initial holdings that calculates equations (4) and (5), and calculates the equations (6) and (7). , And at least one of a sector tilt effect / brand selection effect calculation unit for calculating the formulas (8) and (9), and a sector tilt effect / brand selection effect calculation unit for calculating the formulas (8) and (9).

Next, the output of the asset management result analyzing apparatus according to the present invention provided with the factor decomposition means 1 of FIG. 1 will be described.

FIG. 5 shows an example of the result of factor decomposition of the asset management result analysis apparatus provided with the factor decomposition means 1 of FIG. The result of the factor decomposition of the asset management result is output from the processing device via the output device. The output device includes a printer, a screen display device, a storage device for storing as an electronic file, and the like. For this reason, the result of the factor decomposition of the asset management result can take any form of paper, a screen of a display device, or an electronic file.

In the example of FIG. 5, “equity portfolio return: 6.06%” is a return r by the modified Dietz method, “benchmark return (topix): 5.23%” is a benchmark index return R, and “excess return (ab) ): 0.83% "indicates rR.

The “sub-portfolio return” column contains “contribution weights”, ie, whold, wbuy, wse
It shows the sector tilt effect and the stock selection effect of the initial holdings, purchases during the period, and sales during the period before ll is multiplied (see Equations (4) to (9)).

In the column of “contribution weight”, whold, wbuy,
The value of wsell is shown.

The column of “return factor decomposition” is a numerical value obtained by multiplying the value of the column of “sub-portfolio return” by the value of the column of “contribution weight”, that is, the initial value shown in equations (4) to (9). It shows the holding sector tilt effect, stock holding selection effect at the beginning of the period, sector tilt effect purchased during the period, stock purchase effect during the period, sector tilt effect sold during the period, and stock selection effect during the period.

In the case of the example of FIG. 5, for example, the excess return for the purchase during the period Σj (buy) yj (*) × rbj '(*)-R is calculated as follows.
As a result of the decomposition into two as in equation (14), the sector tilt effect is 1.95% and the brand selection effect is 3.98%.
On the other hand, the weight wbuy for the purchase during the term is 0.04
Therefore, the sector tilt effect of interim purchases on the entire portfolio is 0.043 x 1.95 =
0.08.

When the factor decomposition by the asset management result analysis device of the present invention is compared with the conventional asset management result analysis device, conventionally, for example, the sector tilt in the “total” column at the bottom of FIG. While only the effect -0.77 was obtained, according to the asset management result analysis device of the present invention, the sector tilt effect -0.77 was further reduced to the initial holding sector tilt effect -0.95, Factors can be decomposed into a sector tilt effect of 0.08 for the purchase during the period and a sector tilt effect of 0.09 for the sale during the period.

As a result, it became clear that the negative sector tilt effect was attributed to the sector tilt effect of the initial holdings, and it was necessary to further examine the diversification investment method of the initial holdings. Will be possible.

As is clear from the comparison between the equations (15) and (20), the conventional factor decomposition into the initial holdings and the trading during the period is performed by multiplying the contribution weights whold, wbuy, and wsell. It can be said that the factor decomposition was not performed correctly. On the other hand, the analyzer of the present invention performs the contribution weights whold, wbuy, wse
ll can be obtained, and this can be properly factored into initial holdings and trading during the period.

[0114]

As is apparent from the above description, according to the asset management result analysis device of the present invention, the excess return caused by asset management is calculated by the sector tilt effect of the initial holding, the purchase during the period, and the sale during the period. As it can be decomposed into the effect of stock selection, the asset management performance analyzer that can effectively examine the performance of asset management and the performance of fund managers at the beginning and during the term, and thereby effectively support future efficient asset management Can be obtained.

[Brief description of the drawings]

FIG. 1 is a diagram showing a configuration of a factor decomposing means of an asset management result analyzing apparatus of the present invention and a flow of its processing.

FIG. 2 is a diagram showing a configuration of an initial holding effect calculation unit of the asset management result analysis apparatus of the present invention and a flow of processing thereof.

FIG. 3 is a diagram showing a configuration of a mid-term purchase effect calculation unit of the asset management result analysis device of the present invention and a flow of processing thereof.

FIG. 4 is a diagram showing a configuration of a mid-term sales effect calculation unit of the asset management result analysis apparatus of the present invention and a flow of processing thereof.

FIG. 5 is a diagram showing an example of a result of factor decomposition by the asset management result analysis device of the present invention.

[Explanation of symbols]

1 Factor decomposition method 2 Initial holding effect, interim purchase effect, interim sale effect calculation section 2a Initial holding effect calculation section 2b Interim purchase effect calculation section 2c Interim sale effect calculation section 3 Sector tilt effect / brand selection effect calculation section 4 Initial holding Balance data 5 Purchase transaction data 6 Sale transaction data 7 Market value at the beginning and end of the term and interest and dividend data 8 Benchmark return by asset 9 Factor decomposition calculation value by Akeda factor decomposition 100 Calculation unit of period return rj '(0) by brand 101 By brand Calculator for weight xj (0) 102 Calculator for initial partial total balance Vhold 103 Calculator for initial portion of weight 110 Calculator for period-specific return rj '(t) 111 Weighted return calculator for each brand 112 Transaction weight yj (t) calculation unit 113 Weighted weight calculation unit for each brand 114 Calculation unit for total purchased average Vbuy 15 Weight calculation unit for purchase part 120 Calculation unit for transaction period return rj '(t) 121 Weighted return calculation unit for each brand 122 Calculation unit for weight zj (t) for each transaction 123 Weighted weight calculation unit for each brand 124 Total sold parts Average Vsell calculation unit 125 Weight calculation unit for sale whold Investment weight of initial holdings in asset balance during the period wbuy Investment weight of interim purchases in asset balance in the period wbuy Investment weight in assets during the period wsell Investment weight for sale, xj (0) Initial investment weight of initial holding j rj '(0) Modified Dietz method return R when initial holding j is held until the end of the period R Benchmark index return yj (*) Purchase during the period Investment weight of issue j purchased during the period when the portion is regarded as portfolio rbj '(*) Adjustment of the weighted average of purchase j during the period Diet's method return zj (*) Investment weight of stocks sold during the period j when considering the portion sold during the period as a portfolio rsj '(*) Adjusted weighted average of the stocks sold during the period during the period xs (hold) Beginning of each sector Initial investment weight of owned assets Rs Sector benchmark index return ps Weight of sector s in benchmark xs (buy) Investment weight of purchased assets of sector s during the period xs (sell) Investment weight of assets sold during the period of sector rs (hold ) Modified Dietz method return from assets held by sector s at the beginning of the period rs (buy) Modified Dietz method return from assets purchased during the period in sector s (sell) Modified Dietz method return from assets sold during the period in sector s

Claims (1)

[Claims] 1. An input device, a processing device, a storage device, and an output device, wherein the processing device has factor decomposition means, and the factor decomposition means calculates initial holding effects, interim purchase effects, and interim sales effects. And a sector tilt effect / brand selection effect calculation unit. The initial holding effect / interim purchase effect / interim sale effect calculation unit includes an initial holding effect calculation unit, an interim purchase effect calculation unit, and an interim sale effect calculation unit. In the asset management result analysis device comprising a calculation unit, the input device includes the balance at the beginning of the period, the purchase transaction data, the sale transaction data, the market value at the beginning and the end of the period and the interest and
Dividend data and a benchmark return for each asset are input. The storage device stores the data input by the input device as necessary. The initial holding effect calculator and the mid-term purchase effect calculator of the factor decomposition means. And the during-period sales effect calculation unit, respectively, the initial balance data, purchase transaction data, sales transaction data, and the beginning / end market value and interest / dividend data stored in the storage device or input by the input device. And the benchmark return by asset, calculate the initial holding effect, the purchase effect during the period, and the sales effect during the period, and calculate the sector tilt effect / brand selection effect calculating section of the factor decomposition means, and the initial holding effect calculating section Enter the initial holding effect, mid-term purchase effect, and mid-term sales effect calculated by the mid-term purchase effect calculation section and mid-term sale effect calculation section, and enter the Calculated Iruto effect and the stock selection effect, the period during the purchase amount of the sector tilt effects and stock selection effect, the sector tilt effects and stock selection effect during the period the sale amount,
An asset management result analyzer characterized by being configured as follows.