KR100742164B1 - Portfolio and quantitative stock selection method in stock asset management system - Google Patents

Abstract

The present invention manages equity assets that enable individual investors and institutional investors to easily select the optimal investment portfolio that matches the stock market situation and investors' personal preferences through multi-faceted evaluation from a portfolio of a large number of multifactorial combinations constructed through simulation. The present invention relates to a method of selecting stock items by a portfolio and a quantitative method in the system. The present invention provides individual investors and institutional investors with more reliable stock investment information through a network, and at the same time maximizes the investors' return on investment. Excellent effect.

Stock asset management system, stock selection, portfolio,

Description

PORTFOLIO AND QUANTITATIVE STOCK SELECTION METHOD IN STOCK ASSET MANAGEMENT SYSTEM}

1 is a conceptual diagram of a stock asset management system through a network;

2 is an operation flowchart showing a stock item selection method by a portfolio and a quantitative method in a stock asset management system according to an embodiment of the present invention;

3 is a view showing a simulation main screen capable of setting simulation conditions;

4 is a view showing a simulation result view screen capable of filtering a large number of factor combinations and their combinations;

5A to 5C are reference views for explaining a method of evaluating average profitability through an annual average return rate on a simulation result view screen as shown in FIG. 4;

6 is a reference diagram for explaining a method of evaluating average risk through standard deviation in a simulation result view screen as shown in FIG. 4;

7 is a reference view showing a search result input screen related to yield on the simulation result view screen as shown in FIG. 4;

8 is a reference view showing a condition comparison search condition input screen in the simulation result view screen as shown in FIG. 4;

9 is a reference view showing a plurality of factor combinations in the simulation result view screen as shown in FIG. 4;

10A to 10J are reference views for explaining a fifty step S50 in the method of selecting a stock item by the portfolio and the quantitative method in the stock asset management system according to FIG. 2;

11 is a reference diagram showing a stock item corresponding to the final factor combination,

12 is a reference diagram illustrating a result screen in which a basket basket function is performed in a stock item selection method using a portfolio and a quantitative method in the stock asset management system according to FIG. 2.

<Explanation of symbols for the main parts of the drawings>

10: user computer 20: securities company server

The present invention relates to a method of selecting a portfolio and a quantitative stock item in a stock asset management system, and more particularly, a large amount of factors formed by simulation by individual investors and institutional investors. The multi-faceted valuation of the portfolio allows the union to easily select the optimal investment portfolio that suits the stock market situation and the investor's personal preferences, providing more reliable stock investment information and maximizing the investor's return on investment. To select stock options by portfolio and quantitative method in a stock asset management system.

In general, investors investing in securities such as stocks are the most urgent task in finding stocks that are likely to make a good return on their investment. At this time, the main methods used by stock investors are basic analysis methods that analyze the company's basic values through financial statements, and technical analysis that predicts whether stock prices will rise or fall based on data on past stock price trends. There is a method, among which general investors mainly use technical analysis.

Under these circumstances, programs have been developed to select stocks or construct portfolios according to the preferences of stock investors using the network. However, conventionally developed programs for stock selection and portfolio composition have been used to select stocks or construct portfolios and provide them to investors using only a few financial factors, without considering factors such as future estimates. As a result, it was impossible to select stocks and portfolios using the comprehensive characteristics of each company. As a result, it was not possible to provide stock investors with more stable and strategic stock investment information.

In addition, most general investors who use traditional stock selection and portfolio composition algorithms often misinterpret simulation results because they have assessed stock performance through one or two basic performance indicators without the ability to analyze information. Occurred. That is, if, for example, an average investor interprets performance over a period of time as a single performance indicator, such as the average annual rate of return, the return of the entire simulation period is incorrect even if the return in the first specific month is high and the performance in the last month is poor. There is a risk of commentary. Therefore, in such a case, the general investor may suffer economic loss by increasing the risk of selecting a non-investment item due to a misinterpretation, and it is difficult for the service provider to provide more reliable information. There was a falling issue.

Accordingly, the present invention has been made to solve the above-mentioned conventional problems, and an object of the present invention is to allow individual investors and institutional investors to simulate the situation of the stock market through a multi-faceted evaluation from a portfolio of a large number of multifactorial combinations formed through simulation. And portfolios and quantitative measures in the stock asset management system to enable investors to easily select the optimal investment portfolio that suits their individual preferences, providing more reliable stock investment information and maximizing the return on their investment. The present invention provides a method of selecting stock items by the method.

In order to achieve the above object, the stock item selection method by the portfolio and the quantitative method in the stock asset management system of the present invention includes a portfolio in the stock asset management system in which a plurality of user computers and securities company servers are connected through a network. In the stock item selection method by the quantitative method,

A tenth step of, when the authentication process with a specific user computer is completed, the securities company server displaying a simulation main screen on which a simulation condition can be set through a web browser of the corresponding user computer;

When the user selects a desired factor among a number of factor items classified into simulation conditions, basic factors, estimation factors, momentum factors, and evaluation factors, and executes a simulation, the server of the securities company according to a large number of factor combinations Displaying a simulation result view screen capable of filtering the combinations of the factors and their combinations;

A thirty step for the securities company server to repeatedly find and display the filtered factor combinations when the user repeatedly performs a basic filtering operation based on average profitability, risk, and stability of a period on a simulation result view screen;

Step 40, when the user performs an operation for finding only factor combinations having high individual performance indicators among the filtered factor combinations, the securities company server searching for and displaying the corresponding factor combinations on a group view screen; And

If the user selects the final factor combination by analyzing the performance indicators that have not been previously considered among the factor combinations with high individual performance indicators, the securities company server displays the stock items corresponding to the final factor combination to the user. It is characterized by consisting of 50 steps.

Hereinafter, a method of selecting a stock item by a portfolio and a quantitative method in a stock asset management system according to an embodiment of the present invention will be described in detail with reference to the accompanying drawings.

1 is a conceptual diagram of a stock asset management system through a network applied to the present invention, which is connected to a server 20 of a securities company through a network, in which individual investors and institutional investors simulate the situation of the stock market and individual tastes of investors. A plurality of user computers 10 for selecting and manipulating an optimal investment portfolio for each; And a network connected to the plurality of user computers 10 to provide individual and institutional investors with relevant services so that individual investors and institutional investors can select an optimal investment portfolio according to the situation of the stock asset management stock market and the investors' personal preferences. And a securities company server 20 that provides other stock asset management services.

At this time, the stock item selection method by the portfolio and the quantitative method according to the present invention provided by the securities company server 20 to each user computer 10 through a network is quantitatively selected and optimized through simulation. As part of a stock asset management system for constructing a portfolio of companies, the factors used in the present invention can be used for comprehensive analysis of corporate characteristics using historical estimate data as well as future estimate data.

In addition, the present invention is equipped with a simulation function as well as a simple search function, it is possible to measure the investment performance for each factor according to the investment period desired by the investor.

Next, a method of selecting a stock item by a portfolio and a quantitative method in a stock asset management system according to an embodiment of the present invention having the above configuration will be described with reference to the accompanying drawings. 2 is a flowchart illustrating a method of selecting a stock item by a portfolio and a quantitative method in a stock asset management system according to an exemplary embodiment of the present invention.

First, when the authentication process with the specific user computer 10 shown in FIG. 1 is completed, the securities company server 20 displays a simulation main screen for setting simulation conditions as shown in FIG. 3. Display through (S10). In the tenth step S10, the service medium providing the present invention includes an emulator for processing the present invention.

At this time, the simulation condition setting menu displayed on the simulation main screen is set as shown in FIG. 3, period setting, universe type, presence / absence of outliers, benchmark, transaction cost, factor combination selection, top Top / Bottom stocks, weighting method, market cap and trading value, whether or not managed stocks and factors are selected.

Then, when the user selects the desired factors from among the simulation conditions and a plurality of factor items in the main screen shown in FIG. 3, and executes the simulation, the securities company server 20 is associated with a large number of factor combinations. A simulation result view screen capable of filtering the combination of factors is displayed on the user computer 10 as shown in FIG. 4 (S20).

At this time, the number of factor items displayed through the simulation main screen as shown in Figure 3 are the basic factors measuring the financial status of the actual company represented in the following [Table 1], the future expressed in the following [Table 2] Estimating factors using the company's estimated financial indicators, momentum factors expressed in Table 3 below, and valuation factors expressed in Table 4 below.

The basic factors expressed in [Table 1] include changes in return on equity (CH_ROE), dividend yield (DY), profit return (EY), cash flow compared to stock price (CEY), sales growth rate (RGR), and sustainable ROE ( S_ROE), Return on Equity (ROE), and Stock to Price Ratio (PBR). The estimated factors represented in Table 2 above are the FY1 estimated EPS change rate (3 months) (F_CH_FY1_3M) and the FY1 estimated EPS change rate [6]. Months] (F_CH_FY1_6M), 12-month forward EPS growth rate (3 months) (F_CH_F1FD12_3M), 12-month forward profit growth (F_EGR_1Y), 24-month forward profit growth (F_EGR_2Y), FY2 estimated EPS change from FY1 estimated EPS (F_CH_FY2) It consists of a monthly forward return (F_EY_12M), earnings estimate change rate (F_IREV_3M), and estimated return on equity (F_ROE).

Meanwhile, the momentum factors expressed in [Table 3] include one-month price change rate (PM_1M), three-month price change rate (PM_3M), six-month price change rate (PM_6M), 12-month price change rate (PM_12M), and past one-year profit growth rate. (HEGR_1Y) and past five-year profit growth (HEGR_5Y), and the valuation factors represented in Table 4 consist of market cap (CAP) and debt ratio (DE).

Subsequently, when the user repeatedly performs the basic filtering operation based on the average profitability, risk and stability of the period in the simulation result view screen as shown in FIG. 4, the securities company server 20 may select a small number of factor combinations. It is repeatedly found and displayed on the user computer 10 (S30). In this case, the average profitability in the filtering operation is evaluated based on the annual average return, and the average risk is evaluated based on the standard deviation.

5A to 5C are reference views for explaining a method of evaluating average profitability through an annual average return on a simulation result view screen as shown in FIG. 4, and when evaluating average profitability through an annual average return, FIGS. 5A and 5B. As long as the yields of the Top and Bottom differ between the upward patterns, the combination of investment indicators (Y) on which the investment is based should be consistent and meaningful. In other words, if Y is going to invest in a Top Group that is large and there is no upward pattern, that is, if there is no regular pattern as shown in Fig. 5C and the fourth group is the highest, it will be difficult to invest with this combination of factors. To evaluate.

FIG. 6 is a reference diagram for explaining a method of evaluating average risk through standard deviation in a simulation result view screen as shown in FIG. 4. At this time, the average risk check is rather difficult to assess, because the higher the profit, the greater the risk, and the more difficult the combination of maximum profit and minimum risk. Therefore, it is desirable to find a combination that maximizes returns at a level that satisfies the average risk to some degree. 6, the top group is smaller than the bottomum, which can be seen as shown in FIG. 5A. That is, according to FIG. 6, the top group is significantly better than the bottomum group, but the risk is lower, which means that the top is less risky and more profitable than the bottomum, except that the degree of risk is higher than the benchmark. Able to know.

After the user evaluates the average profitability and the risk by the method described above, if the user selects the conditions for the profit and the risk in the search result input screen of the profit rate of the simulation result view screen as shown in FIG. A number of combinations of factors emerge.

The user then needs to find a combination that has reliably profited over the time period invested, and whether or not the safety of these periods is a percentage (% Periods> Benchmark) where portfolio returns were higher than benchmark returns over the entire simulation period. The rate at which portfolio returns were higher than benchmark returns (% Periods> Bench up Mkt) during periods where benchmark returns increased during the period, and the rate at which portfolio returns were higher than benchmark returns during periods when benchmark returns fell during the entire simulation period. This can be evaluated based on (% Periods> Bench Down Mkt).

In other words, if the user wants to check the stability over the entire period, the user can look at "% Periods> Benchmark", whose performance indicator value should be more than 60%, and the stability of the period when the market rises is "% Periods> Bench". up Mkt ", and the stability of the period when the market is down can be evaluated as"% Periods> Bench Down Mkt ". Therefore, the user inputs the values of "% Periods> Benchmark", "% Periods> Bench up Mkt", and "% Periods> Bench Down Mkt" described above in the condition comparison search condition input screen of the simulation result view screen as shown in FIG. The comparison conditions can be selected.

Then, the securities company server 20 displays only a plurality of factor combinations filtered through the thirtieth step S30.

Then, when the user performs an operation for finding only the factor combinations having a high individual performance indicator among the plurality of factor combinations filtered on the simulation result view screen as shown in FIG. 9, the securities company server 20 may perform a corresponding factor. The combinations are found and displayed on the user computer 10 through the group view screen (S40).

In the 40th step S40, when the user finds only the factor combinations having high individual performance indicators among the plurality of factor combinations filtered, the user descends according to the annual average yield when the user presses a top as shown by the arrow of FIG. 9. If the user presses it once more, the user can sort in ascending order. This process finds the combination with the highest performance indicator value or the lowest performance indicator value among the filtered factor combinations. That is, the highest annual average yield when the top of the annual average yield is pressed in FIG. 9 becomes "▲ PBR / ▼ ROE", and the lowest yield is displayed on the screen when pressed again.

In this way, the best combination of individual performance indicators is found on the screen as shown in FIG.

1.Combination with the highest annual average return: ▲ PBR / ▼ ROE (63.12%)

2. The combination with the lowest standard deviation (annual average rate of return): ▲ PBR / ▼ DY / ▼ F_RV (22.55)

3. Combination with the highest cumulative return over the last two years: ▲ PBR / ▼ ROE / ▼ CH_ROE (314.83%)

4. Combination with "% Periods> Benchmark" highest: ▲ PBR / ▼ CH_ROE / ▼ F_ROE (71.42%), ▲ PBR / ▼ CH_ROE / ▼ F_RV / ▼ F_ROE (71.42%), ▼ ROE / ▼ CH_ROE / ▼ F_RV (71.42%)

5. Highest combination of "% Periods> Bench up Mkt": ▲ PBR / ▼ CH_ROE / ▼ F_ROE (75%), ▼ ROE / ▼ CH_ROE / ▼ F_RV (75%)

6. Highest combination of "% Periods> Bench Down Mkt": ▼ DY / ▼ CH_ROE / ▼ F_RV (90.47%)

7. The combination with the highest relative score: ▲ PBR / ▼ ROE / ▼ CH_ROE / ▼ F_RV (5), ▲ PBR / ▼ CH_ROE / ▼ F_ROE (5), ▲ PBR / ▼ ROE / ▼ CH_ROE / ▼ F_ROE (5 )

As such, after a combination of factors having high individual performance indicators is found and the user selects a final factor combination by performing a comprehensive analysis on performance indicators not previously considered among factor combinations having a high individual performance indicator, the securities company server 20 Finds the stocks corresponding to the final factor combination and displays them to the user (S50).

The process of the 50th step S50 will be described by taking the combination of "▲ PBR / ▼ CH_ROE / ▼ F_ROE" as an example. First, we can see that this combination is the highest combination of "% Periods> Bench up Mkt". The average annual yield is high, while the top is high while the bottom is up, as shown in Fig. 10A. It is a state. On the other hand, the standard deviation (annual average rate of return) is as shown in Figure 10b, the risk of the tower is lower than the bottom, while higher than the benchmark, so the risk is low compared to the profitability, the risk is also satisfactory.

In addition, "% Periods> Benchmark" was 71.42% as shown in FIG. 10C, which was the highest among the combinations, and "% Periods> Bench up Mkt" was highest as shown in FIG. 10D, and "% Periods". > Bench Down Mkt "is somewhat satisfactory as it came out at 66.66% during the downturn as shown in FIG. 10E. In addition, the maximum excess performance is an absolute value of both the maximum excess positive yield and the maximum excess negative yield as shown in FIGS. 10F and 10G, and it can be seen that the top is larger than the bottom. This means that the risk (volatility) you have in a particular month is high.

On the other hand, the annual cumulative yield (based on 100 per year) and relativity continued to be good from 2001 to 2004 as in Fig. 10h, and were similar only in 2005. Able to know. In addition, it can be seen that the cumulative yield of the last two years is the highest as shown in FIG. Finally, the monthly cumulative rate of return as a monthly report is shown in Figure 10j.

When the final factor combination is obtained through this process, the securities company server 20 finds a stock item corresponding to the final factor combination as shown in FIG. 11 and displays the stock item to the user (S50).

In addition, a number of performance indicators, which measure variously the simulation results provided by the method, consist of 29 performance indicators, which include annualized average return, cumulative return, and standard deviation of portfolio returns (risk). (Std Deviation of return), Average annual excess return-Rm, Average annual excess return-Rf, Risk of excess return against benchmark, Risk-free return Risk of excess return versus T-test (statistic that verifies that the average excess return is different from "0"), systematic risk (beta), alpha (alpha as the y-axis deviation of the regression equation), and coefficient of coefficient (Coefficient) Average market cap, the percentage by which portfolio returns were higher than benchmark returns for the entire simulation period (% Periods> Benchmark), overall simulation The rate at which the portfolio returns were higher than the benchmark returns during the period when the benchmark returns increased during the migration period (% Periods> Bench up Mkt), and the rate at which the portfolio returns were higher than the benchmark returns during the period during which the benchmark returns fell during the entire simulation period. (% Periods> Bench Down Mkt), continuous overperformance and maximum number of benchmarks, maximum over positive returns, maximum over negative returns, negative returns over positive returns, period of negative returns, period of negative returns, maximum negative Yield period, maximum continuous amount of yield period, yearly cumulative return, relative performance, cumulative return over the last two and five years, factor mean, median factor, and factor standard deviation (risk).

Meanwhile, when the user selects the basket mode in the main screen as shown in FIG. 12 during the operation of the present invention, the investor combines a plurality of factors and stores a combination of the combined factors and the corresponding items as a plurality of strategies, respectively. The searched items are displayed in a single screen, and this function is called the basket function.

That is, after selecting the factor combinations stored as shown in FIG. 12 and clicking the "search" button, items matching each condition are searched. At this time, the conditions of the item can be selected up to five conditions at the same time. For example, if the condition item is "ABCD" as shown in FIG. 12, it means that the item satisfies the conditions "A, B, C, D" at the top. Then, after clicking the conditions of FIG. 12 with a mouse and clicking a "delete" button such as "1" of FIG. 12 or double-clicking conditions, the conditions may be deleted from the basket.

Although the present invention has been described in more detail with reference to the examples, the present invention is not necessarily limited to these embodiments, and various modifications can be made without departing from the spirit of the present invention.

As described above, according to the portfolio selection method by the portfolio and the quantitative method in the stock asset management system according to the present invention, the individual investor and the institutional investor can perform the multi-faceted evaluation from the portfolio of the multi-factor combination composed of the simulations. Through this, it is easy to select the optimal investment portfolio according to the stock market situation and the investors' personal preferences, thereby providing more reliable stock investment information and maximizing the investor's return on investment.

Claims (11)

In a stock asset selection method by a portfolio and a quantitative method in a stock asset management system in which a plurality of user computers and a securities company server are connected through a network, A tenth step (S10) of, when the authentication procedure with a specific user computer 10 is completed, the securities company server 20 displaying a simulation main screen on which a simulation condition can be set through a web browser of the corresponding user computer; When the user selects a desired factor among a plurality of factor items classified into simulation conditions, basic factors, estimation factors, momentum factors, and evaluation factors, and executes the simulation, the securities company server 20 accordingly performs a large number of factors. A twentieth step (S20) of displaying a simulation result view screen capable of filtering manipulations of the factor combinations and the factor combinations; If the user repeatedly performs the basic filtering operation based on the average profitability, risk, and stability of the period on the simulation result view screen, the securities company server 20 repeatedly searches for and displays the filtered factor combinations corresponding thereto. Step S30; When the user performs an operation for finding only the factor combinations having high individual performance indicators among the filtered factor combinations, the securities company server 20 searches for and displays the corresponding factor combinations on the group view screen. Step S40; And When the user selects the final factor combination by analyzing the performance indicators that have not been previously considered among the factor combinations having high individual performance indicators, the securities company server 20 presents the stock items corresponding to the final factor combination to the user. A stock item selection method using a portfolio and a quantitative method in a stock asset management system, characterized in that the display comprises a fifty step (S50). The method of claim 1, In the tenth step (S10), the simulation condition setting menu displayed on the simulation main screen includes: period setting, universe type, presence / absence of outliers, benchmark, transaction cost, selection of factor combination, top / bottom (Top) / Bottom) A method of selecting stock items by portfolio and quantitative method in a stock asset management system, which comprises a number of items, weighting method, market cap and trading value, whether or not to manage items, and selection of factors. The method of claim 1, In the twentieth step (S20), a plurality of factor items displayed on the simulation main screen may include basic factors for measuring actual corporate financial status, estimated factors using future financial indicators, momentum factors, and the like. A method of selecting stock items by portfolio and quantitative method in a stock asset management system characterized by being classified into valuation factors. The method of claim 3, wherein The basic factors include change in return on equity (CH_ROE), dividend yield (DY), profit on return (EY), cash flow against stock (CEY), sales growth (RGR), sustainable ROE (S_ROE), return on equity A method of selecting stock items by portfolio and quantitative method in a stock asset management system, comprising: ROE and PBR. The method of claim 3, wherein The estimated factors included FY1 estimated EPS change rate (3 months) (F_CH_FY1_3M), FY1 estimated EPS change rate (6 months) (F_CH_FY1_6M), 12-month lead EPS change rate (3 months) (F_CH_F1FD12_3M), and 12-month forward profit growth rate (F_EGR_1Y). , 24-month forward profit growth (F_EGR_2Y), FY2 estimated EPS change (F_CH_FY2_FY1), 12-month forward profit rate (F_EY_12M), profit estimate change rate (F_IREV_3M), and estimated equity return (F_ROE). Equity stock selection method by portfolio and quantitative method in stock asset management system. The method of claim 3, wherein The momentum factors include one-month price change rate (PM_1M), three-month price change rate (PM_3M), six-month price change rate (PM_6M), 12-month price change rate (PM_12M), past one-year profit growth rate (HEGR_1Y), and past five-year profits. A stock picking method by portfolio and quantitative method in a stock asset management system characterized by the growth rate (HEGR_5Y). The method of claim 3, wherein The valuation factors include a stock market capitalization (CAP) and a debt ratio (DE). The method of claim 1, In the thirtieth step (S30), the average profitability is evaluated based on the average annual rate of return, and the average risk is evaluated based on the standard deviation. . The method of claim 1, In the 30th step (S30), the stability of the period is the ratio of the portfolio return over the benchmark return for the entire simulation period (% Periods> Benchmark), the portfolio return benchmark during the period during which the benchmark return for the entire simulation period increased. Is evaluated based on a percentage higher than the yield (% Periods> Bench up Mkt), and a percentage higher than the benchmark yield (% Periods> Bench Down Mkt) during the period when the benchmark yield fell during the entire simulation period. How to select stock items by portfolio and quantitative method in stock asset management system. The method of claim 1, In this method, the securities company server 20 is the annual average return, cumulative return, the standard deviation (risk) of the portfolio return, the average annual excess return compared to the benchmark, the average annual excess return compared to the risk-free return, the risk of excess return compared to the benchmark , Risk of excess return relative to risk-free return, T-test (statistic that verifies that the average excess return is different from "0"), systematic risk (beta), alpha (alpha, the y-axis deviation of the regression equation), coefficient of determination, average Market cap, percentage of portfolio returns above benchmark returns during the entire simulation period (% Periods> Benchmark), and percentage of portfolio returns above benchmark returns during the period during which benchmark returns rose during the entire simulation period (% Periods> Bench up Mkt), while portfolio returns fell over benchmark returns over the entire simulation period. High percentage (% Periods> Bench Down Mkt), continuous overperformance and maximum number of benchmarks, maximum excess positive return, maximum negative return, negative rate of return to positive rate, negative rate of return ratio, maximum duration Various measures of simulation results consisting of negative yield periods, maximum consecutive positive yield periods, cumulative yields per year, relative performance, cumulative returns over the last two and five years, factor mean, median factor, and factor standard deviation (risk). A method of selecting stock items by portfolio and quantitative method in a stock asset management system, characterized by providing a plurality of performance indicators. The method of claim 1, In the above method, when the user selects the basket mode in the main screen, the securities company server 20 stores the combination of the combination factors calculated by the investor by combining a plurality of factors and the corresponding items in a basket, respectively, and a plurality of strategies. The method of selecting stock items by portfolio and quantitative method in the stock asset management system, which further includes a basket function that displays items retrieved through the strategy of one screen.

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