KR20220039238A - System, server and method for managing fund investment based on rebalancing proportion of assets in portfolio - Google Patents

Abstract

The present invention relates to a system, a server, and a method for fund investment management based on intra-portfolio asset rebalancing. The present invention includes: a portfolio initial setting module applying an investor's investment propensity to a fund item selected in accordance with a pre-defined condition to set the investor's portfolio by setting the initial ratio between bond fund-based low-risk and stock fund-based high-risk assets; a portfolio resetting determination module determining a reference band, which is a reference for rebalancing between the low-risk and high-risk assets, based on the gap between the rates of return of the low-risk and high-risk assets calculated with respect to a first period and comparing the reference band with the gap between the rates of return of the low-risk and high-risk assets calculated with respect to a second period to determine whether to perform rebalancing between the low-risk and high-risk assets in the portfolio; and a portfolio resetting execution module executing buying and selling of the low-risk and high-risk assets to perform rebalancing between the low-risk and high-risk assets in the portfolio in accordance with the determination result of the portfolio resetting determination module.

Description

{SYSTEM, SERVER AND METHOD FOR MANAGING FUND INVESTMENT BASED ON REBALANCING PROPORTION OF ASSETS IN PORTFOLIO}

The present invention relates to a fund investment management system, server and method based on the rebalancing of the asset weight in a portfolio, and more particularly, to a portfolio consisting of a bond-type fund and a stock-type fund by resetting the portfolio in a manner that readjusts the weight of each asset. To a fund investment management system, server and method based on rebalancing of assets in a portfolio, which manages an investor's investment in a fund.

In general, a fund refers to an indirect investment type financial product that collects a small amount of money from a large number of people and distributes it according to the profits obtained by investing in stocks or bonds. When a fund product is selected and sold, a fund fund is created with the amount paid by users who purchased this product, and the fund manager of the fund management institution invests according to the purpose of the fund and evaluates the return at the end of the management period. It is distributed to users according to the rate of return.

The purpose of such fund investment is to secure safety through indirect investment by entrusting the investment to an expert who manages the fund, and to obtain a higher return on investment compared to direct investment. Fund products are always of interest to investors in order to minimize the risk of loss in the stock market, which has high volatility that is difficult for investors to predict. .

Although the return of a fund differs depending on the investment target, the conventional fund management system is a strategy to maximize the return and minimize the loss rate while buying or selling stocks/bonds according to a predetermined or appropriately modified ratio for the current situation. use However, the conventional fund management system has a limitation in that it does not provide objective standards for adjusting the weight of bond-type funds and stock-type funds constituting an investor's portfolio. A strategy for maximizing the rate of return is required.

The background technology of the present invention is disclosed in Korean Patent Publication No. 10-2001-0100479 (published on January 14, 2001).

An object according to one aspect of the present invention is to present a quantitative and objective standard for rebalancing the weight of each asset with respect to an investor's portfolio consisting of a bond-type fund and a stock-type fund, and to continuously maintain the weight of each asset in the portfolio according to the presented standard It is to provide a fund investment management system, server and method based on rebalancing of assets in a portfolio that can maximize an investor's return by rebalancing it to

A fund investment management system based on asset weight rebalancing in a portfolio according to an aspect of the present invention applies an investor's investment propensity to selected fund items according to predefined conditions, and risks composed of safe assets composed of bond-type funds and stock-type funds a portfolio initial setting module for setting the investor's portfolio in a manner of setting an initial weight between assets; Based on the difference between the return on the safe asset and the return on the risky asset calculated for the first period, a reference band as a basis for adjusting the weight of the safe asset and the risky asset is determined, and the calculated value for the second period is determined. a portfolio reset determination module that compares the gap between the return on the safe asset and the return on the risky asset with the reference band to determine whether to adjust the weight between the safe asset and the risky asset of the portfolio; and a portfolio resetting execution module that executes the trading of the safe assets and the risky assets, and adjusts the weights between the safe assets and the risky assets of the portfolio according to the determination result of the portfolio resetting determination module; do.

In the present invention, the portfolio reset determination module includes a safe asset index defined as the sum of the reference prices of the funds belonging to the safe assets in the portfolio and the sum of the reference prices of the funds belonging to the risk assets in the portfolio. It is characterized in that the rate of return of the safe asset and the rate of return of the risky asset are calculated using the risk asset index.

In the present invention, the reference band is a first reference band used to change the weight between the safe asset and the risky asset of the portfolio to the initial weight, and a first reference band used to change the weight according to a predefined weight transfer condition. It is characterized in that it includes two reference bands.

In the present invention, the portfolio reset determination module determines the reference band in a manner that determines the width of the reference band using the average of the gap between the return of the safe asset and the return of the risky asset calculated for the first period However, it is determined that the width of the second reference band is greater than the width of the first reference band.

In the present invention, the second period corresponds to a shorter period than the first period, and the portfolio reset determination module determines that the gap between the return on the safe asset and the return on the risky asset calculated for the second period is It is characterized in that it is determined whether to adjust the weight of the safe asset and the risky asset of the portfolio based on an area located within the first and second reference bands.

In the present invention, the region includes a first region within the first reference band, a second region outside the first reference band, which is a region within the second reference band, and a third region outside the second reference band. It is characterized in that it includes an area.

In the present invention, the portfolio reconfiguration determination module is, when the difference between the return of the safe asset and the return of the risky asset calculated for the second period is maintained in the first area, the portfolio resetting module It is characterized in that it is determined to maintain the weight between the safe asset and the risky asset.

In the present invention, the portfolio reset determination module is configured to, when the gap between the return on the safe asset calculated for the second period and the return on the risky asset is located in the second region, the safe asset of the portfolio and the It is characterized in that it is determined to change the ratio between risk assets to the initial ratio.

In the present invention, the portfolio reset determination module is configured to, when the gap between the return on the safe asset calculated for the second period and the return on the risky asset is located in the third region, the safe asset and the It is characterized in that it is determined to change the ratio between the risky assets according to the pre-defined weight transfer condition.

In the present invention, the portfolio reset determination module includes a gap between the return of the safe asset and the return of the risky asset calculated for the second period or when a specific time point according to a preset period occurs in the second region or When moving from the third area to the first area, it is characterized in that it is determined as the highest priority to change the weight between the safe asset and the risky asset of the portfolio to the initial weight.

In the present invention, the portfolio reset determination module is configured to recrystallize the first and second reference bands whenever the first period elapses.

In the present invention, the portfolio reset execution module, the portfolio resetting decision module according to the judgment result of the portfolio resetting decision module only when the difference between the return on the safe asset and the return on the risky asset calculated for the third period is equal to or greater than a preset reference value is configured to adjust the proportion between the safe asset and the risky asset of the third period, characterized in that the third period corresponds to a shorter period than the second period.

The fund investment management server based on asset weight rebalancing in a portfolio according to an aspect of the present invention applies the investor's investment propensity to selected fund items according to predefined conditions, and risks composed of safe assets composed of bond-type funds and stock-type funds. Set the investor's portfolio in a manner that sets the initial weight between assets, and adjust the weight between the safe asset and the risky asset based on the difference between the return on the safe asset and the return on the risky asset calculated for the first period A reference band as a reference is determined, and the difference between the return on the safe asset and the return on the risky asset calculated for the second period is compared with the reference band to adjust the weight between the safe asset and the risky asset in the portfolio It is determined whether or not the safe asset and the risky asset are traded, and the ratio between the safe asset and the risky asset of the portfolio is adjusted according to the determination result of whether the ratio is adjusted.

According to an aspect of the present invention, the fund investment management method based on the rebalancing of the asset weight in the portfolio applies the investor's investment propensity to the fund items selected according to predefined conditions, and the risk composed of safe assets composed of bond-type funds and stock-type funds. setting the investor's portfolio in a manner of setting an initial weight between assets; Based on the difference between the return on the safe asset and the return on the risky asset calculated for the first period, a reference band as a basis for adjusting the weight of the safe asset and the risky asset is determined, and the calculated value for the second period is determined. comparing the gap between the return on the safe asset and the return on the risky asset with the reference band, and determining whether to adjust the weight of the safe asset and the risky asset in the portfolio; and executing the trading of the safe assets and the risky assets, and adjusting the weights between the safe assets and the risky assets of the portfolio according to the determination result of whether to adjust the weights.

According to one aspect of the present invention, in a state in which the proportions of safe assets (bond-type funds) and risky assets (stock-type funds) in a portfolio are initially set in consideration of an investor's investment propensity, the difference in the returns of each asset in the portfolio Based on this, a reference band is determined based on the adjustment of the weight of each asset, the gap between the return on safe assets and the return on risky assets is compared with the reference band, and then the weight of each asset is readjusted according to the comparison result. By adopting it, it is possible to present quantitative and objective criteria for rebalancing the weight of each asset in the portfolio, thereby maximizing the return within the range that meets the investor's investment propensity.

1 is a block diagram for explaining a fund investment management system and server based on readjustment of the proportion of assets in a portfolio according to an embodiment of the present invention.
2 and 3 are exemplary diagrams for explaining the operation of the fund investment management system based on the rebalancing of the asset weight in the portfolio according to an embodiment of the present invention.
4 is a flowchart for explaining a method for managing a fund investment based on a rebalancing of an asset weight in a portfolio according to an embodiment of the present invention.

Hereinafter, an embodiment of a fund investment management system, server, and method based on rebalancing the asset weight in a portfolio according to the present invention will be described with reference to the accompanying drawings. In this process, the thickness of the lines or the size of the components shown in the drawings may be exaggerated for clarity and convenience of explanation. In addition, the terms to be described later are terms defined in consideration of functions in the present invention, which may vary according to the intention or custom of the user or operator. Therefore, definitions of these terms should be made based on the content throughout this specification.

1 is a block diagram illustrating a fund investment management system and server based on rebalancing of asset weight in a portfolio according to an embodiment of the present invention, and FIGS. 2 and 3 are assets in a portfolio according to an embodiment of the present invention. It is an exemplary diagram for explaining the operation of a fund investment management system based on weight rebalancing.

Referring to FIG. 1 , the fund investment management system (hereinafter, the fund investment management system 10) based on the rebalancing of the asset weight in the portfolio according to an embodiment of the present invention includes a database 100, a portfolio initial setting module 200, It may include a portfolio reset determination module 300 and a portfolio reset execution module 400 . In FIG. 1 , each module 100 , 200 , 300 , and 400 is illustrated as a sub-component of the fund investment management system 10 of this embodiment, but according to the embodiment, each sub-component is integrated into the fund investment management server 10 . and may be implemented. Hereinafter, the operation of the fund investment management system 10 of the present embodiment will be described in detail for each module.

In the database 100, funds to be invested may be classified and stored in advance by type. For example, the investment target fund may be classified and stored in advance into the types of domestic bond type, developed country bond type, global bond type, US stock type, Asian stock type, European stock type, Korean stock type, Latin American stock type, and furthermore, theme funds (raw materials, dollars) may be additionally stored. In this case, funds with a fund balance of less than a set amount (eg 50 billion won) and funds whose elapsed date after the fund establishment date is less than a reference period (eg 1 year) may be excluded. In the present embodiment, among the funds stored in the database 100, the bond-type fund constitutes a safe asset, and the stock-type fund constitutes a risky asset.

The portfolio initial setting module 200 applies the investor's investment propensity to the selected fund items according to predefined conditions, and sets the initial weight between safe assets composed of bond-type funds and risky assets composed of stock-type funds. You can set up a portfolio. That is, the portfolio initial setting module 200 filters each fund item stored in the database 100 according to a predefined condition to select an investment target fund item, and then applies the investor's investment propensity to the selected fund item. By setting the initial weight between safe assets (bond-type funds) and risky assets (equity-type funds), it functions as a module to initially set up an investor's portfolio.

Table 1 below shows examples of the predefined conditions described above.

filtering order explanation ① Selected the 20 stocks with the highest 12-month return by type among all stocks ② Among the 20 stocks selected in ①, the 15 stocks with the highest 9-month return were selected. ③ Select the 10 stocks with the highest 6-month return among the 15 stocks selected in ② ④ Select the 5 stocks with the highest 3-month return among the 10 stocks selected in ③ ⑤ Among the 5 stocks selected in ④, the stock with the highest beta index is finally selected ⑥ If the beta index is the same, the stock with the highest one-month return is finally selected. ⑦ If the one-month rate of return is the same, the stock with the largest net asset is finally selected.

The conditions in Table 1 can be commonly applied to bond-type funds and stock-type funds, and as a result of filtering according to the conditions in Table 1, the bond-type funds and stock-type funds selected for each type constitute safe and risky assets in the portfolio, respectively.

When a bond-type fund and a stock-type fund to configure the safe and risky assets are selected, the portfolio initial setting module 200 may set the initial weight between the safe and risky assets by applying the investor's investment propensity. The portfolio initial setting module 200 may determine the investor's investment propensity in such a way that the investor's investment propensity information input by the investor is transmitted from the user terminal to the user terminal possessed by the investor. Age, retirement age, income status, income outlook, proportion of financial assets in total assets, expected investment period, investment product group with investment experience, investment purpose, investment risk acceptance range, expected return, etc. may be applicable. When the investment propensity of the investor as described above is identified, the portfolio initial setting module 200 may determine the investment type of the corresponding investor by complexly analyzing each investment propensity information (analysis algorithm for determining the investment type from the investment propensity information) It may be predefined in the portfolio initial setting module 200), and an initial weight between safe assets and risky assets in the portfolio may be set with a weight mapped to the determined investment type. Table 2 below shows the initial weights between investment types and safe and risky assets that are mapped and stored.

Investment type explanation Safe assets: risky assets
initial weight Absolutely stable It is suitable for investors who need short-term investment for less than one year or short-term fund management for the purpose of preserving principal. We aim for a stable investment at the level of interest income and dividend income while minimizing the risk of loss of the investment principal. 90% : 10% stable It is suitable for investors with an investment period of 1-2 years or less. Recognizing that there is a corresponding investment risk in investment, pursuing a return above the level of interest and dividend income, and aiming for an investment that can bear a small level of risk of loss. 75% : 25% stable balanced growth type It is suitable for investors with an investment period of 2-3 years or less. We aim for an investment that is suitable for investors who are fully aware that there is a corresponding investment risk, can take a certain level of loss risk, and can take a small loss risk. 50% : 50% stability type It is suitable for investors with an investment period of 3-4 years or less. We fully recognize that there is a corresponding investment risk, expect a return at the market average level, and aim for an investment that can bear a certain level of risk of loss. 40% : 60% growth type It is suitable for investors who have secured an investment period of 4-5 years or less. We aim to invest in pursuit of a high level of investment return that bears risks rather than the preservation of the investment principal. 25% : 75% absolute growth type It is suitable for investors who have secured an investment period of 5 years or more. We pursue a high level of investment return that far exceeds the market average rate of return. 15% : 85%

Meanwhile, although not specifically indicated in Table 2, the weight of each type of bond-type fund constituting safe assets and the weight of each stock-type fund by type constituting risky assets may also vary for each investment type. For example, in the case of absolute stability, 90% of safe assets can be composed of 25% domestic bonds, 45% bonds in developed countries, and 20% in global bonds. It may consist of 5%. And, in the case of stable assets, 75% of safe assets can consist of domestic bond types 25%, developed country bond types 35%, and global bond types 15%. It may consist of 5% European Equity. Even in the case of other investment types, the weight of each type of bond-type fund and the weight of each type of stock-type fund constituting risk assets may be set differently.

When an investor's portfolio is initially set by the portfolio initial setting module 200 , the fund investment management system 10 of the present embodiment may operate to manage the investor's fund investment based on the set portfolio. In this process, the portfolio reset determination module 300 determines a reference band, which is a criterion for adjusting the weighting between safe assets and risky assets, based on the difference between the return on the safe asset and the return on the risky asset calculated for the first period, By comparing the difference between the return on the safe asset and the return on the risky asset calculated for the second period with the reference band, it is possible to determine whether or not to adjust the weighting between the safe asset and the risky asset in the portfolio.

Prior to a detailed description of the portfolio reset determination module 300, first, a safe asset index (Fixed Income Index) and a risk asset index (Growth Index) are defined as reference indices employed in this embodiment. In this embodiment, the safe asset index is defined as the sum of the reference prices of each fund belonging to the safe assets in the portfolio, and the risk asset index is defined as the sum of the reference prices of each fund belonging to the risk assets in the portfolio. Accordingly, the portfolio reset determination module 300 calculates the return on safe assets based on the fluctuation rate of the safe asset index, similarly calculates the return on the risk asset based on the fluctuation rate of the risk asset index, and the return and risk of the safe asset It may operate to determine whether or not to reset the portfolio in such a way as to determine the reference band and determine whether to adjust the weight based on the gap between the returns of the asset. Table 3 below shows examples of safe asset indices and risky asset indices and returns for each period.

reference index reference index price Yield by period 1 month 2 months 3 months 4 months 5 months 6 months 9 months 1 year Safe Asset Index 13,530 1.15 2.39 1.44 2.21 2.9 3.52 8.44 12.24 Risk Asset Index 448,715 -1.99 -3.24 -12.76 -16.4 -24.5 -24.96 -25.34 -28.41

Based on the above description, a method of determining the reference band will be described in detail.

As described above, the portfolio reset determination module 300 may determine the reference band based on the difference between the return of the safe asset and the return of the risky asset calculated for the first period, and in this embodiment, the reference band is the safe asset and risk It functions as a band that serves as a basis for weight adjustment between assets. The first period corresponds to a period selectable by the manager as a mid- to long-term period, and may be preset in the portfolio reset determination module 300 as a period of, for example, three months. Assuming an example in which the first period is set to 3 months, the portfolio reset determination module 300 is based on the gap between the return on the safe asset and the return on the risky asset for the past 3 months based on the current time point at which the reference band is determined The reference band can be determined, and in order to sufficiently reflect the return of each asset during the three-month period, the reference band is determined using the average of the gap between the return on the safe asset and the return on the risky asset calculated for the first period. can In order to avoid overlapping description, in this specification, the 'average of the gap between the return on the safe asset and the return on the risky asset calculated for the first period' is denoted as the 'gap average'.

In this embodiment, the reference band includes a first reference band used to change the weight between safe and risky assets of the portfolio to the initial weight, and a second reference band used to change the weight according to a predefined weight transfer condition. can do. In this case, the portfolio reset determination module 300 may determine the reference band by using the gap average to determine the width of the reference band, and the width of the second reference band may be greater than the width of the first reference band. Table 4 below shows the process of determining the reference band.

No. first period
yield gap Gap Average magnification 1 magnification 2 first reference band second reference band safe assets risky assets maximum lower limit maximum lower limit One 0.76 -3.34 4.10 1.42 0.5 0.75 0.71 -0.71 1.06 -1.06 2 0.71 -3.06 3.77 1.42 0.5 0.75 0.71 -0.71 1.06 -1.06 3 0.96 -2.35 3.31 1.42 0.5 0.75 0.71 -0.71 1.06 -1.06 4 1.15 -4.35 5.50 1.42 0.5 0.75 0.71 -0.71 1.06 -1.06 5 1.15 -6.69 7.84 1.42 0.5 0.75 0.71 -0.71 1.06 -1.06 6 1.2 -6.69 7.86 4.90 0.5 0.75 2.45 -2.45 3.68 -3.68 7 1.23 -7.31 8.54 4.90 0.5 0.75 2.45 -2.45 3.68 -3.68

No. in Table 4 above. When described as a specific example with reference to 1, the average of the gap between the return on safe assets and the return on risky assets for the first past period (3 months) was calculated as 1.42, and based on the average of the calculated gaps, the first and second criteria The width of the band is determined. In this case, the widths of the first and second reference bands may be determined differently by applying different magnifications to the calculated disparity averages. Table 4 shows an example in which magnification 1 and magnification 2 are set to 0.5 and 0.75, so that the upper limit of the first reference band is 1.42 * 0.5 = 0.71, and the lower limit is 1.42 * -0.5 = -0.71 (that is, the first reference The width of the band is 1.42), the upper limit of the second reference band is 1.42 * 0.75 = 1.06, and the lower limit is 1.42 * -0.75 - -1.06 (ie, the width of the second reference band is 2.12).

The reference band determined as described above is determined based on the average of the gap between the return on the safe asset and the return on the risky asset for the first period in the past from the time when the reference band is determined to represent the relative return between the safe asset and the risky asset. It can function as a band that serves as a basis for adjusting the weighting between safe and risky assets in the portfolio. That is, the reference band determined based on the average of the gap is based on the first period in the past from the determination time, and therefore, it is necessary to presumptuously reflect the fluctuation trend of the safe asset index and risk asset index during the first period after the determination time. Therefore, it can function as a band that serves as a basis for adjusting the weighting between safe and risky assets in the portfolio during the first period in the future.

In addition, the portfolio reset determination module 300 periodically reflects the fluctuation trend of the safe asset index and risky asset index, and at the same time, to prevent the frequent execution of 'REBALANCING' and 'UPGRADING', which will be described later, the first period is It may be configured to periodically recrystallize the first and second reference bands each time they elapse. FIG. 2 shows an example in which the first and second reference bands are periodically recrystallized to have different widths each time the first period elapses.

When the reference band is determined through the above process, the portfolio reset determination module 300 compares the gap between the return of the safe asset and the return of the risky asset calculated for the second period with the reference band, and the safe asset and risk of the portfolio It is possible to determine whether or not to adjust the weighting between assets. Here, the second period corresponds to a period selectable by the manager as a medium-term period shorter than the first period, which is a time period applied to determine the reference band, and corresponds to a period selectable by the manager, for example, a portfolio reset determination module as a time period of one month (300) may be preset. Accordingly, the portfolio reset determination module 300 determines the first and second reference bands through the average of the gap between the returns of each asset based on the first period, which is a mid- to long-term time period, and determines the second period, which is a medium-term period. It may operate to determine whether to adjust the weighting between safe assets and risky assets in the portfolio based on regions in which the gap between the returns of each asset as a reference is located in the first and second reference bands. In order to avoid overlapping description, in the present specification, 'the gap between the return on the safe asset and the return on the risky asset calculated for the second period' is referred to as the 'second period gap'.

Meanwhile, the regions in the first and second reference bands include a first region within the first reference band, a second region outside the first reference band that is a region within the second reference band, and a region outside the second reference band. It may be divided into a third area.

The process of adjusting the proportion between safe assets and risky assets for each area is described. First, if the state in which the second period gap is located in the first area is maintained, the portfolio reset determination module 300 determines the safe assets and risks of the portfolio. It can be determined to maintain the weight between assets.

That is, if the state in which the second period gap is located in the first region is maintained, the trend of the gap between the safe asset index and the risky asset index from the second past period to the present time is the range estimated according to the first reference band Since it can be viewed as a case within the range, in this case, the portfolio reset determination module 300 may determine to maintain the weight between the safe asset and the risky asset of the currently set portfolio.

Next, when the second period gap is located in the second area, the portfolio reset determination module 300 determines to change the weight between the safe asset and the risky asset of the portfolio to the initial weight set by the portfolio initial setting module 200 . It can be done (in this specification, this case is defined in terms of 'REBALANCING').

That is, when the gap in the second period is located in the second region, the trend of the gap between the safe asset index and the risk asset index from the second period of the past to the present time is out of the range estimated according to the first reference band. From a mid-term point of view, this is a case where the gap between the safe asset index and the risky asset index has widened over a certain level. Since it is necessary to return to the initial weight, in this case, the portfolio reset determination module 300 may determine to change the weight between the safe asset and the risky asset to the initial weight set by the portfolio initial setting module 200 .

Next, when the second period gap is located in the third region, the portfolio reset determination module 300 may determine to change the weight between the safe asset and the risky asset of the portfolio according to a predefined weight transfer condition (this In the specification, this case is defined as the term 'UPGRADING').

That is, when the second period gap is located in the second region, the trend of the gap between the safe asset index and the risk asset index from the second past period to the present time is out of the range estimated according to the second reference band. This corresponds to a case in which the gap between the safe asset index and the risky asset index widens compared to the case of deviating from the first reference band, from a medium-term point of view. Therefore, from the investor's point of view, it is necessary to adjust the ratio between safe and risky assets in order to realize profits, maximize returns, and make more stable investments. Accordingly, the portfolio reset determination module 300 may determine to change the proportion between the safe asset and the risky asset of the portfolio according to the predefined weight transfer condition, and the predefined weight transfer condition is, for example, from the safe asset to the risky asset. Or, it may be set in advance by the manager under the condition to transfer 10% or 20% of the proportion from risky assets to safe assets (eg, safe assets: risky assets = 70%: 30% → safe assets: risky assets) = 50%: 50%) (In this case, information on the flag (FLAG) indicating the direction of weight transfer between safe assets and risky assets may be applied, and the flag above may be determined according to the values of the safe asset index and the risk asset index ). On the other hand, the upper limit of the weight of each asset may be predefined for each type of investment described above, and the transfer of weight according to the pre-defined conditions for weight transfer may be performed within a range greater than or equal to the lower limit defined for each type of investment. Table 5 below shows examples of the lower limit of the weight of each asset by investment type.

Investment type Lower limit for safe asset share Lower limit for risky assets Absolutely stable 75% 5% stable 50% 10% stable balanced growth type 35% 15% stability type 20% 20% growth type 12.50% 25% absolute growth type 5% 30%

On the other hand, the portfolio reconfiguration determination module 300 is the difference between the return of the safe asset and the return of the risky asset calculated for the second period when a specific time comes according to the preset period (ie, regular REBALANCING) or the second period (that is, the first 2 period gap) moves from the second area or the third area to the first area, it may be determined as the highest priority to change the weighting between safe and risky assets in the portfolio to the initial weight. In other words, the above two cases correspond to the highest priority forcibly applied compared to the weight adjustment in the three cases mentioned above.

When it is determined by the portfolio reset determination module 300 whether to adjust the weight between the safe assets and the risky assets, the portfolio reset execution module 400 executes the trading of the safe assets and the risky assets to determine the portfolio resetting determination module 300 Depending on the result, the proportion between safe and risky assets in the portfolio can be adjusted. That is, the portfolio reset execution module 400 may operate to finally execute the trading of the safe assets and the risk assets so that the weight between the safe assets and the risk assets can be adjusted according to the determination result of the portfolio reset determination module 300 .

At this time, the portfolio reset execution module 400 determines the safety of the portfolio according to the judgment result of the portfolio reset judgment module 300 only when the gap between the return on the safe asset and the return on the risky asset calculated for the third period is equal to or greater than a preset reference value. It may be configured to reconcile weights between assets and risk assets. Here, the third period is a shorter period of time shorter than the second period and corresponds to a period selectable by the administrator, for example, may be preset in the portfolio reset execution module 400 as a period of one day. . In order to avoid overlapping description, in this specification, 'the gap between the return on the safe asset and the return on the risky asset calculated for the third period' is referred to as the 'third period gap'.

If the third period gap, which corresponds to the shortest gap, is less than the preset reference value, it can be estimated that the market situation corresponds to a trend in which the gap between the safe asset index and the risk asset index is decreasing. Even if it is determined that REBALANCING or UPGRADING should be performed based on the second period gap by the third period, if the third period gap is less than a preset reference value, the portfolio reset execution module 400 may withhold the weight adjustment. That is, whether the third period gap is equal to or greater than a preset reference value serves as a condition for finally executing the weight adjustment. The above-described reference value may be set by the manager as an appropriate value in consideration of market conditions and the like. In this case, the condition for whether the third period gap is greater than or equal to the preset threshold may not be applied in the case of prior to the weight of the highest priority, which changes the weight between safe and risky assets in the portfolio to the initial weight. Table 6 below shows the results of the final determination of weight adjustment between safe assets and risky assets. The No. of Table 6 matches the No. of Table 4.

No. reference date 3rd period yield
(1 day) 3rd period gap baseline final action safe assets risky assets One 20200102 0 0 0.00 One No Action 2 20200103 -0.05 0.56 0.61 One No Action 3 202000106 0.07 0.49 0.42 One No Action 4 202000107 0.02 0.18 0.16 One No Action 5 202000108 0.07 -1.58 1.65 One UPGRADING 6 202000109 0.1 0.48 0.38 One No Action 7 20200110 0.12 0.56 0.44 One No Action

Even if the second period gap corresponding to No. 1 to 7 in Table 4 is located in the second or third region and is determined as REBALANCING or UPGRADING, in Table 6, when the third period gap is greater than or equal to the standard value, only No. 5 is applicable Therefore, UPGRADING is performed at the time of No. 5 (assuming that the second period gap is located in the third area).

An example of the specific gravity adjustment process described above will be described with reference to FIG. 3 .

First, in a state in which the initial weight between safe assets and risky assets is set by the portfolio initial setting module 200, in section ① in which the second period gap is maintained in the first area, the initial weight between safe assets and risky assets is maintain.

If the second period gap moves from the first area to the second area (section ②), REBALANCING is performed, and the current weight is maintained because the weight between safe and risky assets is the initial weight.

When the second period gap moves from the second area to the third area (section ③), UPGRADING is performed, and the weight between safe assets and risky assets is changed according to the pre-defined weight transfer conditions.

If the second period gap moves from the third area to the second area (section ④), it is a situation in which rebalancing must be performed. It is maintained at the changed weight in the section.

When the second period gap moves from the second area to the first area (section ⑤), the weight of the highest priority is adjusted, and the weight between safe assets and risky assets is changed to the initial weight.

4 is a flowchart for explaining a method for managing a fund investment based on a rebalancing of an asset weight in a portfolio according to an embodiment of the present invention. A method for managing a fund investment based on a rebalancing of an asset weight in a portfolio according to this embodiment will be described with reference to FIG. 4 , and descriptions of overlapping parts with the above will be omitted and will be mainly described with respect to a time-series configuration. Each of the following steps may be performed by each module 200 , 300 , 400 of the fund investment management system 10 , or the fund investment management server 10 .

First, the investor's portfolio is set by applying the investor's investment propensity to the fund items selected according to predefined conditions, and setting the initial weight between safe assets composed of bond-type funds and risky assets composed of stock-type funds (S100) ).

Then, based on the difference between the return on the safe asset and the return on the risky asset calculated for the first period, a reference band that is the basis for adjusting the proportion of the safe asset and the risky asset is determined, and the By comparing the gap between the rate of return and the rate of return of the risky asset with the reference band, it is determined whether the weight of the portfolio is adjusted between the safe asset and the risky asset (S200). Here, the reference band may include a first reference band applied to change the weight between safe assets and risky assets of the portfolio to an initial weight, and a second reference band applied to change according to a predefined weight transfer condition, , may be periodically re-determined whenever the first period elapses.

In step S200, the safety asset index is defined as the sum of the base prices of the funds belonging to the safe assets in the portfolio and the risk asset index is defined as the sum of the base prices of the funds belonging to the risk assets in the portfolio. Calculates the return on risky assets.

In addition, in step S200, the reference band is determined in such a way that the width of the reference band is determined using the average of the gap between the return on the safe asset and the return on the risky asset calculated for the first period, and the width of the second reference band is It may be larger than the width of the first reference band.

The second period in step S200 corresponds to a shorter period than the first period, and the gap between the return on the safe asset and the return on the risky asset calculated for the second period is located within the first and second reference bands. Based on this, it is judged whether or not to adjust the proportion between safe and risky assets in the portfolio. Here, the region within the reference band may include a first region within the first reference band, a second region deviating from the first reference band that is a region within the second reference band, and a third region deviating from the second reference band. there is.

Accordingly, if the difference between the return on the safe asset and the return on the risky asset calculated for the second period in step S200 is maintained in the first area, it is determined to maintain the weight between the safe asset and the risky asset in the portfolio do.

In addition, when the gap between the return on the safe asset and the return on the risky asset calculated for the second period in step S200 is located in the second region, it is determined to change the weight between the safe asset and the risky asset of the portfolio to the initial weight.

And, if the gap between the rate of return of the safe asset and the rate of return of the risky asset calculated for the second period in step S200 is located in the third area, the proportion between the safe asset and the risky asset in the portfolio is adjusted according to the pre-defined weight transfer condition. decide to change

On the other hand, in step S200, when a specific point in time according to a preset period or the difference between the return on the safe asset and the return on the risky asset calculated for the second period is moved from the second area or the third area to the first area In one case, it is determined as the highest priority to change the weight between safe and risky assets in the portfolio to the initial weight.

After the step S200, the safe and risky assets are traded, and the proportion between the safe and risky assets of the portfolio is adjusted according to the judgment result of the step S200 (S300). In step S300, only when the difference between the return on the safe asset and the return on the risky asset calculated for the third period is equal to or greater than the preset reference value, the proportion between the safe asset and the risky asset of the portfolio is adjusted according to the determination result of the step S200. The third period may correspond to a shorter period than the second period.

As such, in this embodiment, in a state in which the proportion of safe assets and risky assets in the portfolio is initially set in consideration of the investor's investment propensity, the reference band serving as a criterion for adjusting the proportion of each asset based on the difference in the rate of return of each asset in the portfolio In order to readjust the weight of each asset in the portfolio by determining By being able to present quantitative and objective standards, it is possible to maximize the return within the range that satisfies the investor's investment propensity.

Implementations described herein may be implemented in, for example, a method or process, an apparatus, a software program, a data stream, or a signal. Although discussed only in the context of a single form of implementation (eg, discussed only as a method), implementations of the discussed features may also be implemented in other forms (eg, as an apparatus or program). The apparatus may be implemented in suitable hardware, software and firmware, and the like. A method may be implemented in an apparatus such as, for example, a processor, which generally refers to a computer, a microprocessor, a processing device, including an integrated circuit or programmable logic device, and the like. Processors also include communication devices such as computers, cell phones, portable/personal digital assistants (“PDA”) and other devices that facilitate communication of information between end-users.

As described above, the present invention has been described with reference to the embodiment shown in the drawings, but this is merely exemplary, and various modifications and equivalent other embodiments are possible therefrom by those skilled in the art to which the art pertains. will understand the point. Therefore, the technical protection scope of the present invention should be defined by the following claims.

10: fund investment management system, fund investment management server
100: database
200: portfolio initialization module
300: portfolio reset judgment module
400: Portfolio Reset Execution Module

Claims (14)

Portfolio initial setting for setting the investor's portfolio in such a way that the investor's investment propensity is applied to the fund items selected according to predefined conditions, and the initial weight is set between safe assets composed of bond-type funds and risky assets composed of stock-type funds module;
Based on the difference between the return on the safe asset and the return on the risky asset calculated for the first period, a reference band as a basis for adjusting the weight of the safe asset and the risky asset is determined, and the calculated value for the second period is determined. a portfolio resetting determination module that compares the gap between the return on the safe asset and the return on the risky asset with the reference band to determine whether to adjust the weight between the safe asset and the risky asset of the portfolio; and
a portfolio resetting execution module that executes trading of the safe assets and the risky assets, and adjusts the weights between the safe assets and the risky assets of the portfolio according to a determination result of the portfolio resetting determination module;
A fund investment management system based on asset weight rebalancing in the portfolio, characterized in that it comprises a.
The method of claim 1,
The portfolio reset determination module is configured to generate a safe asset index defined as the sum of the reference prices of the funds belonging to the safe assets in the portfolio and the risk asset index defined as the sum of the reference prices of the funds belonging to the risk assets in the portfolio. A fund investment management system based on asset weight rebalancing in a portfolio, characterized in that it calculates the return on the safe asset and the return on the risky asset using
The method of claim 1,
The reference band includes a first reference band used to change the weight between the safe asset and the risky asset of the portfolio to the initial weight, and a second reference band used to change the weight according to a predefined weight transfer condition. A fund investment management system based on asset weight rebalancing in the portfolio, characterized in that it includes.
4. The method of claim 3,
The portfolio reset determination module determines the reference band in such a way that the width of the reference band is determined by using the average of the gap between the return of the safe asset and the return of the risky asset calculated for the first period, A fund investment management system based on asset weight rebalancing in a portfolio, characterized in that the width of the second reference band is greater than the width of the first reference band.
5. The method of claim 4,
the second period corresponds to a shorter period than the first period;
The portfolio reset determination module is, based on the region in which the difference between the return on the safe asset and the return on the risky asset calculated for the second period is located in the first and second reference bands, the safe asset of the portfolio and a fund investment management system based on asset weight rebalancing in a portfolio, characterized in that it is determined whether the weighting between the risky assets is adjusted.
6. The method of claim 5,
wherein the region includes a first region within the first reference band, a second region outside the first reference band that is within the second reference band, and a third region outside the second reference band. A fund investment management system based on asset weight rebalancing in the portfolio, characterized in that.
7. The method of claim 6,
The portfolio reset determination module is, when the difference between the return of the safe asset and the return of the risky asset calculated for the second period is maintained in the first region, the safe asset of the portfolio and the A fund investment management system based on asset weight rebalancing in a portfolio, characterized in that it is determined to maintain the weight between risky assets.
7. The method of claim 6,
The portfolio reset determination module is configured to, when a gap between the return on the safe asset and the return on the risky asset calculated for the second period is located in the second region, the ratio between the safe asset and the risky asset of the portfolio A fund investment management system based on asset weight rebalancing in a portfolio, characterized in that it is determined to change to the initial weight.
7. The method of claim 6,
The portfolio reset determination module is, when the difference between the return on the safe asset and the return on the risky asset calculated for the second period is located in the third region, the ratio between the safe asset and the risky asset of the portfolio A fund investment management system based on asset weight rebalancing in a portfolio, characterized in that it is determined to change according to the predefined weight transfer condition.
7. The method of claim 6,
The portfolio reset determination module, when a specific point in time according to a preset period or the difference between the return of the safe asset and the return of the risky asset calculated for the second period is the second region or the third region When moving from to the first area, a fund investment management system based on asset weight rebalancing in the portfolio, characterized in that it is determined as the highest priority to change the weight between the safe and risky assets of the portfolio to the initial weight .
6. The method of claim 5,
The portfolio reconfiguration determination module is configured to re-determine the first and second reference bands whenever the first period elapses, A fund investment management system based on asset weight rebalancing in a portfolio.
6. The method of claim 5,
The portfolio reconfiguration execution module is, in accordance with the determination result of the portfolio reconfiguration determination module, the safe asset of the portfolio only when the difference between the return on the safe asset and the return on the risky asset calculated for the third period is equal to or greater than a preset reference value and a fund investment management system configured to adjust the proportion between the risky assets, wherein the third period corresponds to a shorter period than the second period.
The investor's portfolio is set in such a way that the initial ratio between safe assets composed of bond-type funds and risky assets composed of stock-type funds is set by applying the investor's investment propensity to the fund items selected according to predefined conditions;
Based on the difference between the return on the safe asset and the return on the risky asset calculated for the first period, a reference band as a basis for adjusting the weight of the safe asset and the risky asset is determined, and the calculated value for the second period is determined. Comparing the gap between the return of the safe asset and the return of the risky asset with the reference band, determining whether to adjust the weight between the safe asset and the risky asset of the portfolio;
A fund based on asset weight rebalancing in a portfolio, characterized in that by executing the trading of the safe assets and the risky assets, and adjusting the weights between the safe assets and the risky assets of the portfolio according to the determination result of whether to adjust the weights Investment Management Server.
setting the investor's portfolio in such a way that the investor's investment propensity is applied to the fund items selected according to predefined conditions to set an initial weight between safe assets composed of bond-type funds and risky assets composed of stock-type funds;
Based on the difference between the return on the safe asset and the return on the risky asset calculated for the first period, a reference band as a basis for adjusting the weight of the safe asset and the risky asset is determined, and the calculated value for the second period is determined. comparing the gap between the return on the safe asset and the return on the risky asset with the reference band, and determining whether to adjust the weight of the safe asset and the risky asset in the portfolio; and
executing the trading of the safe asset and the risky asset, and adjusting the ratio between the safe asset and the risky asset of the portfolio according to a determination result of whether to adjust the ratio;
A fund investment management method based on rebalancing the asset weight in the portfolio, comprising a.

Images