JP2007272327A - Sma management system - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide a system for managing aggregate market value and the total sum of cash for every sub-portfolio by setting a plurality of sub-portfolios in one account. <P>SOLUTION: This SMA management system is provided with: a storage means 111 for storing at least two pieces of sub-portfolio identification information for every piece of account identification information, one cash sum C and at least one piece of brand identification information for every piece of sub-portfolio identification information, one brand quantity V for every set of the sub-portfolio identification information and the brand identification information, one brand market unit price P for every piece of brand identification information, the upper limit value, target value Yt and lower limit value of a surplus fund ratio; and a calculation means 101 for comparing a result surplus fund ratio calculated by C/äΣ(V×P)+C} with the upper limit value or the lower limit value for every sub-portfolio, and for, when the result surplus fund ratio exceeds the upper limit value, defining a sum to be calculated by ¾C-Yt×äΣ(V×P)+C}¾ as the ordering scheduled sum of a selling order, and for, when the result surplus fund ratio is lower than the lower limit value, defining a sum to be calculated by ¾C-Yt×äΣ(V×P)+C}¾ as the ordering scheduled sum of a buying order. <P>COPYRIGHT: (C)2008,JPO&INPIT

Description

  The present invention relates to a system and method for supporting an SMA (Separately Managed Account) service. The SMA service refers to an asset management service that provides asset management advice and stock trading orders in a lump. Investors pay a certain fee according to the asset balance, not for each transaction, because the transaction fee, account management fee, referral fee to an external investment advisory company, etc. are `` wrapped ''. , Also called “wrap” account service.

2. Description of the Related Art Conventionally, a method has been proposed for operating a customer's managed assets composed of a plurality of assets / styles at a preset target ratio (see, for example, Patent Document 1).
Japanese Patent Laid-Open No. 2003-91641

  However, it is difficult to maintain operations simply by comparing the composition ratios. With the above method, the minimum amount for managing the portfolio, such as the allocation of the amount allocated to each asset and the check of the surplus allowance, etc. It cannot be said that the management requirements are satisfied, and operational variations are limited.

  Accordingly, an object of the present invention is to provide an SMA management system and an SMA management method capable of solving the above-described problems by providing a plurality of sub-portfolios in one account and performing management for each account and each sub-portfolio. To do.

A first feature of the present invention is that at least two sub-portfolio identification information for each account identification information, one cash amount C and at least one issue identification information for each sub-portfolio identification information, the sub-portfolio identification information, and Storage means for storing one brand quantity V for each set of brand identification information, one brand price unit price P for each brand identification information, and an upper limit value, a target value Yt and a lower limit value of a surplus ratio ,
For each sub-portfolio, C / {Σ (V × P) + C}
The actual surplus ratio calculated by the above-mentioned upper limit value or the lower limit value,
When the actual surplus ratio exceeds the upper limit,
│C−Yt × {Σ (V × P) + C} |
The amount calculated by the
When the actual surplus ratio is below the lower limit,
│C−Yt × {Σ (V × P) + C} |
And calculating means for setting the amount calculated by the above item to be a planned purchase order amount.

  The account identification information refers to an account number for identifying an account. The sub-portfolio identification information refers to information for distinguishing one of a plurality of sub-portfolios in the same account from other sub-portfolios. The brand identification information refers to a brand code or the like determined for identifying a brand. The number of issues is the number of issues that are held, such as the number of shares in the case of stocks and the number of units in the case of investment trusts.

In addition, the first sub-portfolio is composed of the first issue, the second issue, and the third issue, the first issue quantity is V11, the market price is P11, the second issue quantity is V12, the market price is P12, and If the volume of the three stocks is V13, the market unit price is P13, the cash amount of the first sub-portfolio is C1, the upper limit of the surplus ratio is Yh1, the target value Yt1, and the lower limit is Yl1, the performance of the first sub-portfolio Surplus ratio is
C1 / {(V11 × P11) + (V12 × P12) + (V13 × P13) + C1}
It becomes.

And when this actual surplus ratio exceeds the upper limit Yh1,
│C1-Yt1 × {(V11 × P11) + (V12 × P12) + (V13 × P13) + C1} |
The amount calculated by is the planned order price for a sell order,
If the actual surplus ratio is below the lower limit Yl1,
│C1-Yt1 × {(V11 × P11) + (V12 × P12) + (V13 × P13) + C1} |
The amount calculated by the above is the planned ordering amount for the purchase order.

  When the actual surplus ratio exceeds the upper limit Yh1, the target value used when calculating the planned order amount for the sell order and the actual surplus ratio are below the lower limit Y11. It may not be the same as the target value used when calculating the planned order amount for a buy order.

For example, if the actual surplus ratio exceeds the upper limit Yh1,
│C1-Yt1h × {(V11 × P11) + (V12 × P12) + (V13 × P13) + C1} |
The amount calculated by the
If the actual surplus ratio is below the lower limit Yl1,
│C1-Yt1l × {(V11 × P11) + (V12 × P12) + (V13 × P13) + C1} |
The amount calculated by the above may be used as the planned order amount for the purchase order. Here, the target value Yt1h used when the actual surplus ratio exceeds the upper limit value Yh1 is not equal to the target value Yt1l used when the actual surplus ratio is below the lower limit value Yl1. Further, the magnitude relationship between the target value Yt1h and the target value Yt1l is not limited. The target value Yt1h may be larger or smaller than the target value Yt1l. Further, the target value Yt1h may be equal to the upper limit value Yh1, and the target value Yt1l may be equal to the lower limit value Yl1.

The second feature of the present invention is that at least two sub-portfolio identification information for each account identification information, one cash amount C for each sub-portfolio identification information, an upper limit value Kh of a composition ratio, a target value Kt, and a lower limit value Kl. Storage means for storing at least one brand identification information, one brand quantity V for each set of the sub-portfolio identification information and the brand identification information, and one brand price unit price P for each brand identification information ,
First, second,... Account for nth sub-portfolio {Σ (V1 × P1) + C1 + Σ (V2 × P2) + C2 +... + Σ (Vn × Pn) + Cn}
To calculate the total amount Z of the entire account,
{Σ (V × P) + C} / Z for each sub-portfolio
And the upper limit Kh or the lower limit Kl compared with the composition ratio calculated by
When the composition ratio exceeds the upper limit Kh,
│ {Σ (V × P) + C} −Kt × Z |
The amount calculated by the transfer amount to go to another sub-portfolio,
When the composition ratio is below the lower limit value Kl,
│ {Σ (V × P) + C} −Kt × Z |
And calculating means for setting the amount of money calculated by the above-mentioned transfer amount coming from another sub-portfolio.

For example, an account consists of first, second and third sub-portfolios,
The stock quantity included in the first sub-portfolio is V11, V12,... V1i, and the market price unit price of each stock is P11, P12,.
The stock quantity included in the second sub-portfolio is V21, V22,... V2j, and the market unit price of each stock is P21, P22,.
When the number of issues included in the third sub-portfolio is V31, V32,... V3k, and the market unit price of each issue is P31, P32,.
The total amount Z of the entire account is {(V11 × P11) + (V12 × P12) +... + (V1i × P1i) + C1
+ (V21 × P21) + (V22 × P22) +... + (V2j × P2j) + C2
+ (V31 × P31) + (V32 × P32) +... + (V3k × P3k) + C3}
Is calculated by

The composition ratio of the first sub-portfolio is
{(V11 × P11) + (V12 × P12) +... + (V1i × P1i) + C1} / Z
The composition ratio of the second sub-portfolio is
{(V21 × P21) + (V22 × P22) +... + (V2j × P2j) + C2} / Z
The composition ratio of the third sub-portfolio is
{(V31 × P31) + (V32 × P32) +... + (V3k × P3k) + C3} / Z
Is calculated by

When the composition ratio of the first sub-portfolio exceeds the upper limit value Kh1 of the first sub-portfolio,
│ {(V11 × P11) + (V12 × P12) +... + (V1i × P1i) + C1} −Kt1 × Z |
Kt1: The amount calculated based on the target value of the composition ratio of the first sub-portfolio is the amount of change going out to the second or third sub-portfolio,
When the composition ratio of the first sub-portfolio is below the lower limit value Kl1 of the first sub-portfolio,
│ {(V11 × P11) + (V12 × P12) +... + (V1i × P1i) + C1} −Kt1 × Z |
Is the amount of change entered from the second or third sub-portfolio.

Similarly, when the composition ratio of the second sub-portfolio exceeds the upper limit Kh2 of the second sub-portfolio,
│ {(V21 × P21) + (V22 × P22) +... + (V2j × P2j) + C2} −Kt2 × Z |
Kt2: The amount calculated based on the target value of the composition ratio of the second sub-portfolio is the amount of change going out to the first or third sub-portfolio,
When the composition ratio of the second sub-portfolio is below the lower limit value Kl2 of the second sub-portfolio,
│ {(V21 × P21) + (V22 × P22) +... + (V2j × P2j) + C2} −Kt2 × Z |
The amount calculated by the above is the transfer amount coming from the first or third sub-portfolio.

Similarly, when the composition ratio of the third sub-portfolio exceeds the upper limit Kh3 of the third sub-portfolio,
│ {(V31 × P31) + (V32 × P32) +... + (V3k × P3k) + C3} −Kt3 × Z |
Kt3: The amount calculated based on the target value of the composition ratio of the third sub-portfolio is the amount of change going out to the first or second sub-portfolio,
When the composition ratio of the third sub-portfolio is below the lower limit K13 of the third sub-portfolio,
│ {(V31 × P31) + (V32 × P32) +... + (V3k × P3k) + C3} −Kt3 × Z |
The amount calculated by the above is the transfer amount coming from the first or second sub-portfolio.

The target value Kt of the composition ratio of each sub-portfolio may be equal to the upper limit value Kh or the lower limit value Kl of the composition ratio. For example, when the composition ratio of the first sub-portfolio exceeds the upper limit Kh1 of the first sub-portfolio,
│ {(V11 × P11) + (V12 × P12) +... + (V1i × P1i) + C1} −Kh1 × Z |
The amount calculated by step 2 is the amount transferred to the second or third sub-portfolio,
When the composition ratio of the first sub-portfolio is below the lower limit value Kl1 of the first sub-portfolio,
│ {(V11 × P11) + (V12 × P12) +... + (V1i × P1i) + C1} −Kl1 × Z |
The amount calculated by the above may be the amount of change coming from the second or third sub-portfolio.

  Further, the upper limit value Kh1 of the composition ratio of the first sub-portfolio, the upper limit value Kh2 of the composition ratio of the second sub-portfolio, and the upper limit value Kh3 of the composition ratio of the third sub-portfolio can be set independently. Similarly, the target value Kt and the lower limit value Kl of the composition ratio of each sub-portfolio can be set independently.

  According to the first feature of the present invention, a plurality of sub-portfolios are provided in one account, the cash amount and the brand identification information are managed for each sub-portfolio, and each set of sub-portfolio identification information and brand identification information is managed. Manage one stock quantity, manage the stock market price for each stock identification information, manage the market capitalization of each sub-portfolio and the total amount of cash, and the surplus of each sub-portfolio is preset When it exceeds the value or falls below the lower limit, it can be returned to the target value.

  According to the second feature of the present invention, a plurality of sub-portfolios are provided in one account, the cash amount and the brand identification information are managed for each sub-portfolio, and a set of the sub-portfolio identification information and the brand identification information is set. One stock quantity can be managed for each stock, the stock market price per stock identification information can be managed, the market capitalization of each sub-portfolio and the total amount of cash can be managed, and the ratio of each sub-portfolio to the entire account When the (configuration ratio) exceeds the preset upper limit value or falls below the lower limit value, it can be returned to the target value.

  The best mode for carrying out the present invention will be described below with reference to the drawings. The following description is merely an example, and the technical scope of the present invention is not limited to the following description.

[First embodiment]
<Terminology>
“Position” refers to the amount of securities held and means the amount of securities being bought or sold.

<Entire system>
FIG. 1 shows a functional block diagram of an SMA management system, an existing ordering system, an account system, and the like in the first embodiment of the present invention. As shown in FIG. 1, the SMA management system according to the first embodiment includes a case creation function unit 100 and a portfolio management unit 200.

  The case creation function unit 100 includes an SMA account attribute management unit 130, a model portfolio management unit 140, a case creation unit 150, and a contract / ordering unit 160. The portfolio management unit 200 includes a contract / right dividend information connection unit 210, a balance management unit 220, a performance measurement unit 230, and a discrete data creation unit 240.

  The SMA account attribute management means 130 receives the account information 112 from the proposal creation customer profiling unit 20. The account information 112 includes a customer code, a customer name, a contract date, a target asset allocation, a target surplus ratio, and the like.

  Each account consists of one or more sub-portfolios. A sub-portfolio means a collection of stocks purchased based on a model portfolio or a group of mutual funds and a cash associated therewith.

  The model portfolio management unit 140 stores the change history of the model portfolio in the storage unit, and analyzes the performance of each model portfolio.

  The model portfolio is created according to the investment type. In the case of a stock-type model portfolio, it consists of issues and their ratios. For example, in the stock type model portfolio A, the brand A is 20%, the brand B is 30%, and the brand C is 50%. Needless to say, a bond model portfolio and an investment trust model portfolio may be incorporated in addition to the stock model portfolio.

  The case creation means 150 can execute rebalance screening in one account. Rebalance screening extracts accounts that need to be rebalanced. Rebalancing includes rebalancing surplus funds within one sub-portfolio and rebalancing among multiple sub-portfolios within one account.

  The case creation means 150 also performs a pre-compliance check after ordering and after the purchase order creation. The compliance check means checking whether or not the created trading item includes a prohibited issue, and if the prohibited issue is included, the prohibited issue is excluded from the sale item.

  The case creation means 150 is preferably capable of fund closing processing. For example, when cancellation is instructed, a sale is ordered for all stocks, funds, etc. that are currently included in the portfolio.

  The case creation means 150 is preferably capable of offsetting the same brand opposite trade within the same account. For example, if the first sub-portfolio sells 1000 shares of stock A and the second sub-portfolio buys 2000 shares of stock A in the same account, sell 1000 shares of the first sub-portfolio and sell the second sub-portfolio. Create an opportunity to trade 1000 shares in the second sub-portfolio and trade on the securities market only (netting in the same account).

  The case creation means 150 also deletes the error brand. Specifically, the stocks that violated the compliance check at the time of ordering are deleted. In addition, based on the advance cash flow check rule, the advance cash flow check is performed and the infringing stock is deleted. The advance cash flow check means checking whether or not funds are insufficient when a created case is simulated (virtual trading based on the closing price of the previous day). In addition, it is preferable to check advance cash flow in consideration of the deposit / withdrawal information of the previous date.

The contract ordering means 160 collects contracts for a plurality of accounts. Specifically, the brands of a plurality of accounts are compared, and if the same brand is included, they are extracted and added up. For example, the case creation means 150
{First account, stock A, 2000 shares, sale, stock B, 2000 shares, sale},
{Second account, stock A, 4000 shares, sale, stock C, 3000 shares, sale},
{Third account, stock A, 6000 shares, sale, stock D, 1000 shares, purchase}
If the three orders are created, the contract ordering means 160 from these orders {first account, stock A, 2000 shares, sale},
{Second account, stock A, 4000 shares, sale},
{Third account, stock A, 6000 shares, sale}
The stocks common to each portfolio are extracted as follows:
{Stock A, 12,000 shares, sale}
Aggregate like this.

  The contract ordering means 160 generates ordering data in a format that can be processed by an ordering system such as a securities company or a trust bank, and transmits it to the ordering system of the securities company. Thereafter, the contract ordering means 160 receives the contract contents from the order system of the securities company, and collates the order contents with the contract contents.

The contract ordering means 160 distributes the contract contents for the aggregated orders to individual accounts. To allocate to individual accounts, for example,
{First account, stock A, 2000 shares, sale},
{Second account, stock A, 4000 shares, sale},
{Third account, stock A, 6000 shares, sale}
And receive these orders {stock A, 12,000 shares, sale}
When the order is sent to the ordering system, the contents of the three orders are stored, and the contents of the contract received from the ordering system for the order are:
{Stock A, 12,000 shares, sales contract}
In this case, according to the above three stored order contents,
{First account, stock A, 2000 shares, sales contract}
{Second account, stock A, 4000 shares, sales contract}
{Third account, stock A, 6000 shares, sales contract}
And distribution of sales commitments to each account.

Furthermore, it is preferable that the contract ordering means 160 can apportion the work contracts to individual accounts. “Apportioning trade commitments to individual accounts” means, for example,
{First account, stock A, 2000 shares, sale},
{Second account, stock A, 4000 shares, sale},
{Third account, stock A, 6000 shares, sale}
And receive these orders {stock A, 12,000 shares, sale}
When the order is sent to the ordering system, the contents of the three orders are stored, and the contents of the contract received from the ordering system for the order are:
{Stock A, 6000 shares, sales contract}
In other words, that is, when only a part of the order (in this example, half) has been filled, the ratio of the order number of the three order contents stored. Order number in the first account: Order in the second account Number: Order number of third account = 1: 2: 3
According to
{First account, stock A, 1000 shares, sales contract}
{Second account, stock A, 2000 shares, sales contract}
{Third account, stock A, 3000 shares, sale contract}
And apportion to each account.

  The contract ordering means 160 can also select the execution date of the created transaction item, and sends the contract data of each account to the contract right dividend information connection means 210 and the account system 320.

  The contract data is, for example, the following data.

{First account, stock A, 1000 shares, sales contract}
{Second account, stock A, 2000 shares, sales contract}
{Third account, stock A, 3000 shares, sale contract}
As shown in FIG. 1, the portfolio management unit 200 includes a contract right dividend information connection unit 210, a balance management unit 220, a performance measurement unit 230, and a discrete data creation unit 240.

  The contract right dividend information connection means 210 receives information on contract data, MRF interest, principal transfer, tax, etc. for each account from the account system 320. The principal transfer includes deposits into or withdrawals from the account. In addition, tax differs depending on whether the tax is separate from taxation or withholding tax depending on the account, and whether the portfolio content is a stock investment trust or a bond investment trust.

Further, the contract right dividend information connection means 210 periodically checks the balance of each account with the account system 320. The contract right dividend information connection unit 210 also compares the contract data received from the contract order unit 160 with the contract data received from the account system 320. Further, the contract right dividend information connection means 210 receives basic information (market price unit price, exchange rate, forecast or fixed dividend unit price, etc.) necessary for market price evaluation and unearned revenue calculation from the product information system 330.
The balance management means 220 performs a market price evaluation and a post-compliance check. The market price evaluation means performing an evaluation calculation based on the market price data. The post-compliance check is a compliance check after the completion of the contract, and extracts a portfolio identification number that does not violate the compliance but exceeds a predetermined level (warning level).
The balance management means 220 manages the brand code of each brand and the ratio (composition ratio) of each brand to the entire portfolio, and calculates unearned revenue based on the brand attribute information. Accrued revenue is calculated based on the following formula.

Accrued revenue = balance quantity of each brand × expected dividend unit price of the brand The balance quantity of each brand is obtained by referring to the balance management means 220. The expected dividend unit price of the brand is obtained by referring to the contract right dividend information connection unit 210.

  The balance management means 220 receives data relating to interest, rights and dividends (ordinary dividends, special dividends, commemorative dividends, and interim dividends) from the contracted rights dividend information connection unit 210 and reflects them in the balance data. Further, the balance management means 220 sends data related to the confirmed position (market price evaluation result) to the case creation means 150.

The performance measuring means 230 calculates performance such as yield and TWR (time weighted rate of return), and performs performance factor decomposition. The performance factor decomposition means that excess profits with respect to performance benchmarks (for example, the Nikkei Average and TOPIX) are decomposed into an asset allocation effect and an asset selection effect. The performance measuring unit 230 also calculates the SMA fee. For example,
(Balance and / or transaction quantity) x Fee is calculated based on a predetermined coefficient. Or
You may calculate based on balance x 1st coefficient and / or transaction quantity x 2nd coefficient. The calculation formula is not particularly limited.

  Discrete data creation means 240 receives the market price evaluation result from balance management means 220 and the fee calculation result from performance measurement means 230, and based on them, creates basic data (disclosure data) for customer disclosure. To the system 60.

  As described above, according to the system shown in FIG. 1, the SMA account attribute management unit 130 manages account attributes, the model portfolio management unit 140 manages model portfolios, and the case creation unit 150 uses each account attribute based on the account attributes. Select or modify one or more model portfolios suitable for the account, create a trading deal for each account, and the contract ordering means 160 aggregates the sales or purchases of issues common to trading deals in multiple accounts. The order is sent to the order system, the contract contents are received from the order system, the aggregated contract contents are distributed or apportioned to each account, and the contract data for each account is sent to the account system 320.

  The contract right dividend information connection unit 210 receives contract data from the contract order unit 160, receives tax / payment / withdrawal information / contract data from the account system 320, and receives current value / right dividend information from the product information system 330. , And sends contract data, tax / payment / withdrawal information, market price / right dividend information, etc. to the balance management means 220. The balance management means 220 performs a market price evaluation based on the contract data, tax / payment / withdrawal information, market price / right dividend information, etc., calculates a confirmed position, and sends the confirmed position to the case creation means 150. The discrete data creation means 240 receives the market price evaluation result from the balance management means 220 and the fee calculation result from the performance measurement means 230, creates the discrete data based on them, and sends it to the discrete system 60.

  As described above, according to the system shown in FIG. 1, the model portfolio is selected and modified based on the attribute of each account to create a case for each account, a case of multiple accounts is aggregated, an order is placed, and a contract is executed. Receives the content, distributes the aggregated contract details to each account, evaluates the portfolio of each account based on the details of the contract details, taxes related to transactions, the market value of individual financial products, etc. Disclosure data can be created based on the result or the like.

  FIG. 2 shows a hardware configuration diagram of the SMA management system in the first embodiment of the present invention. As shown in FIG. 2, the case creation function unit 100 and the portfolio management unit 200 in FIG. 1 include a main control unit (CPU) 101, a communication unit 102, an input control unit 103, an input device 104, a display control unit 105, and a display device. 106, a bus 108, a RAM (Random Access Memory) 110, and an HDD (Hard Disk Drive) 111.

  The CPU 101 controls the entire system and performs calculations based on a calculation formula described later.

  The communication unit 102 is, for example, a NIC (Network Interface Card), and uses the communication unit 102 to exchange data with an ordering system or the like.

  The input device 104 is, for example, a pointing device such as a mouse or a keyboard, and characters and the like are input using the input device. The display device 106 is, for example, a liquid crystal display device or a CRT (Cathode Ray Tube).

  The RAM 110 is, for example, a DRAM (Dynamic RAM), and is used as a work area, a data area, etc. when creating a case.

  The HDD 111 stores account information 112, a model portfolio 113, a case creation module 114, an order execution agreement module 115, a verification module 116, a market price evaluation module 117, a performance measurement module 118, a disclosure data creation module 119, and the like. As will be described later, the CPU 101 reads the case creation module 114 and the like, and executes each process such as case creation.

  FIG. 3 shows an example of the contents of the account information in the first embodiment of the present invention. The account information includes account identification information for identifying a plurality of accounts. In the account identification information, one or more sub-portfolio identification information and target asset allocation are stored in association with each other. In the example shown in FIG. 3, three pieces of sub-portfolio identification information 410, 430, 450 and target asset allocation 480 are stored in association with the account identification information 400.

  Each sub-portfolio identification information is stored in association with one cash amount, one investment product identification information, one or more brand identification information, and one target surplus ratio. The investment product identification information includes whether or not the investment product is an investment trust. The target asset allocation stores the ratio of each sub-portfolio in the account.

  If the investment product is an investment trust, the cash amount is 0 yen. Further, when the investment product is an investment trust, there is one brand included in one sub-portfolio, so there is one brand identification information associated with one sub-portfolio identification information. Furthermore, when the investment product is an investment trust, no surplus funds are generated, so no target surplus ratio is set (remaining capital ratio = 0%).

  In the example shown in FIG. 3, cash amount 411, investment product identification information 412, brand identification information 413, 416, 419 and target surplus ratio 422 are stored in association with each other in sub-portfolio 410. Further, the cash amount 431, the investment product identification information 432, the brand identification information 433, 419, and the target surplus ratio 442 are stored in the sub-portfolio 430 in association with each other. Neither the investment product identification information 412 nor 432 is an investment trust. Therefore, the cash amounts 411 and 431 are not 0 yen, and the target surplus ratios 422 and 442 are set.

  Further, since the same brand may be incorporated in different sub-portfolios, the same brand identification information may be stored in association with different sub-portfolio identification information. For example, the same brand identification information as the brand identification information 419 is associated with the sub-portfolio identification information 410 and 430. If the same issue is included in different sub-portfolios, the volume and acquisition unit price of each issue are not relevant. That is, the quantity and acquisition unit price of each brand are managed independently. Therefore, the value of the brand quantity 420 and the brand acquisition unit price (not shown) associated with the brand identification information 419 associated with the sub-portfolio 410 is associated with the brand identification information 419 associated with the sub-portfolio 430. It is independent of the value of the brand number 437 and the brand acquisition unit price (not shown).

  In the example shown in FIG. 3, cash amount 451, investment product identification information 452, brand identification information 453, and target surplus ratio 462 are stored in association with sub-portfolio identification information 450. The investment product identification information 452 is an investment trust. Therefore, the cash amount 451 is 0 yen, and the target surplus ratio 462 is not set.

  Each brand identification information is associated with a brand price unit price. In the example illustrated in FIG. 3, brand price unit prices 415, 418, 421, 435, and 455 are associated with the brand identification information 413, 416, 419, 433, and 453, respectively.

  FIG. 4 shows a processing flow of the entire SMA management system in the first embodiment of the present invention. As shown in FIG. 4, in step S101, balance creation and market price evaluation are performed based on the contract data, and a cash balance and an aggregate balance are output. The cash balance indicates a cash balance by sub-portfolio.

The aggregate balance indicates the total value of the market value evaluation balances of all sub-portfolios belonging to the same account, and the market price composition ratio of each sub-portfolio as viewed from a certain account. For example, if the first account consists of a first sub-portfolio and a second sub-portfolio,
Total market value balance = (market capitalization of the first sub-portfolio + market capitalization of the second sub-portfolio)
And
Market value composition ratio = total value of market capitalization / market value evaluation balance of first or second sub-portfolio.

  In step S102 of FIG. 4, based on the cash balance, the aggregated balance, the investment product attribute, and the account attribute, a rebalance check for surplus allowance and a rebalance check for asset allocation are performed. Is output.

  FIG. 5 is a flowchart showing the flow of rebalance check processing relating to surplus funds in the first embodiment of the present invention. As shown in the figure, in step S201, a contract-based operational surplus is calculated. In step S202, the ratio (actual surplus ratio) of the contract-based operational surplus to the market capitalization is calculated. In step S203, the stored upper limit value, target value and lower limit value of the surplus ratio are read. In step S204, the actual surplus ratio is compared with the upper limit value and the lower limit value of the surplus ratio. If the actual surplus ratio exceeds the upper limit of the surplus ratio, the process proceeds to step S206. In step S206, the planned order amount (scheduled purchase amount) is determined so that the surplus ratio becomes the target value. If the actual surplus ratio is below the lower limit of the surplus ratio, the process proceeds to step S208. In step S208, the planned ordering amount (scheduled sale amount) is determined so that the surplus capital ratio becomes the target value.

Actual surplus ratio is
Cash balance of each sub-portfolio / (Cash balance of each sub-portfolio + Market value balance of each sub-portfolio)
It is obtained by executing the calculation.

Specifically, the actual surplus ratio of the first sub-portfolio is
(Cash balance of the first sub-portfolio) / {(Cash balance of the first sub-portfolio) + (Sum of market value balances of all issues included in the first sub-portfolio)}
It is obtained by executing the calculation.

  For example, it is assumed that the calculated available surplus on a contract basis is 60,000 yen. The market capitalization is 940,000 yen. In this case, the actual surplus ratio is 6%. The upper limit value of the read target surplus ratio is 5%, the target value is 4%, and the lower limit value is 3%. In this case, the actual surplus ratio of 6% exceeds the upper limit of 5% of the target surplus ratio, so that the actual surplus ratio becomes the target value of 4% (the surplus after rebalancing is 40,000 yen) The planned ordering amount is determined to be 20,000 yen.

  FIG. 6 is a flowchart showing a flow of rebalance check processing related to asset allocation in the first embodiment of the present invention. As shown in the figure, in step S301, the market capitalization of each sub-portfolio is calculated on a contract basis. In step S302, the composition ratio (actual composition ratio) of each sub-portfolio with respect to the entire sub-portfolio is calculated. In step S303, the stored upper limit value, target value, and lower limit value of the target composition ratio of each sub-portfolio are read. In step S304, the actual composition ratio is compared with the upper and lower limits of the composition ratio. If the actual composition ratio exceeds the upper limit of the composition ratio, the process proceeds to step S306. In step S306, a planned order amount (amount to be transferred to another sub-portfolio) is determined so that the composition ratio becomes a target value. If the actual composition ratio is below the lower limit of the composition ratio, the process proceeds to step S308. In step S308, the planned ordering amount (change amount from other sub-portfolio) is determined so that the composition ratio becomes the target value.

  The principal transfer amount is the planned order price for a sub-portfolio where the principal decreases (sub-portfolio whose actual composition ratio exceeds the upper limit of the target composition ratio), and the sub-portfolio where the principal increases (actual composition ratio) Is the planned purchase order amount for the sub-portfolio with a target composition ratio below the lower limit.

Actual allocation ratio is
It is obtained by executing the calculation of market value balance of each sub-portfolio / total value of market value of all sub-portfolios.

  FIG. 7 is a diagram showing a first example of asset allocation in the first embodiment of the present invention. In the example shown in the figure, the target composition ratio and the allowable range are 40% ± 5% for domestic stocks, 30% ± 5% for foreign stocks, 20% ± 5% for domestic bonds, and 10% ± 5 for foreign bonds. The actual composition ratio is 30% for domestic stocks (30 million yen), 20% for foreign stocks (20 million yen), 35% for domestic bonds (35 million yen), and 15% for foreign bonds (1,500 yen) 10,000 yen). For domestic stocks, the actual composition ratio is below the lower limit of 35%, which is the target composition ratio. For foreign stocks, the actual composition ratio is below the lower limit of 25%. For domestic bonds, the actual composition ratio exceeds 25%, the upper limit of the target composition ratio. For foreign bonds, the actual composition ratio is equal to 15%, the upper limit of the target composition ratio. Therefore, for domestic stocks and foreign stocks, the planned order amount is determined so that the composition ratio increases. On the other hand, for domestic bonds, the planned ordering amount is determined so that the composition ratio decreases. And for foreign bonds, there is no need to determine the planned order amount.

  In the example illustrated in FIG. 7, the asset class (the asset type) and the sub-portfolio have a one-to-one relationship, but the asset class and the sub-portfolio may not have a one-to-one relationship.

  FIG. 8 is a diagram showing a second example of asset allocation in the first embodiment of the present invention. In the example shown in the figure, sub-portfolios A and B are incorporated in an asset class called domestic stocks. In other words, there is no one-to-one relationship between asset classes and sub-portfolios. On the other hand, in asset classes other than domestic stocks, there is a one-to-one relationship between asset classes and sub-portfolios, so the target composition ratio and allowable range of asset classes and the corresponding target composition ratio and allowable ranges of sub-portfolios are the same.

In order to check how far the actual composition ratio of the sub-portfolio differs from the target composition ratio, first, the actual composition ratio of each sub-portfolio is expressed by the following formula. Standard) / Market capitalization of the account (contract standard)
Ask for. Then, for each sub-portfolio, the target composition ratio and the actual composition ratio are compared, and a sub-portfolio that exceeds the upper limit value of the target or falls below the lower limit value is extracted.

  In the example shown in FIG. 8, the actual composition ratio of the sub-portfolio A is below the lower limit value of 25%, which is the target composition ratio. The actual composition ratio of sub-portfolio B is lower than the lower limit of 15% of the target composition ratio. Therefore, the planned ordering amount is determined so that the composition ratio increases for both of the sub-portfolios A and B.

  FIG. 9 is a diagram for explaining the calculation of the transfer amount between sub-portfolios. In the example shown in the figure, asset classes are domestic stocks, alternative investments (excluding real estate investment trusts), and real estate investment trusts. Assume that domestic stocks consist only of sub-portfolio A, alternative investments consist of sub-portfolios B and C, and real estate investment trusts consist only of sub-portfolio D. For sub-portfolios A, B, C, and D, the target composition ratios are 80%, 6%, 4%, and 10%, respectively, and the actual market capitalization is 65 million yen, 7 million yen, 5 million yen, and 23 million yen, respectively. Yen, and the actual composition ratios are 65%, 7%, 5%, and 23%, respectively. By multiplying the market capitalization of the entire account by the target composition ratio of each sub-portfolio, the target market capitalization of each of the sub-portfolios A, B, C, D is 80 million yen and 6 million yen, respectively. Yen, 4 million yen and 10 million yen. Then, subtracting the change in each sub-portfolio by subtracting the actual market capitalization from the target market capitalization obtained for each sub-portfolio, the sub-portfolio A, B, C, D sub-portfolio transfer amount is 15 million yen, -1 million yen,-1 million, and-13 million.

  FIG. 10 shows an example of a rebalance target reason list screen in the first embodiment of the present invention. In the example shown in the figure, “Asset Allocation Deviation Check” and “Principal Change between Sub-Portfolios (Ordering Instructions on the Same Day)” are the reasons for rebalancing. In such a case, in step S102 in FIG. 4, a rebalance check related to “divergence of asset allocation” and a rebalance check related to “transfer of principal between sub-portfolios (ordering instruction on the day)” are executed. FIG. 10 shows that “2” is the number of accounts determined to be rebalanced and “6” is the number of sub-portfolios based on “Asset Allocation Deviation Check” and “Principal Changes Between Sub-Portfolios (Ordering Instructions on the Same Day)” Indicates that

  In step S103 of FIG. 4, the rebalance target account output is performed, and the rebalance screening reference screen can be browsed.

  FIG. 11 shows an example of a rebalance target account extraction screen in the first embodiment of the present invention. In the screen 610, accounts 0100005 and 0100015 are extracted as rebalance target accounts. The account 0100005 consists of sub-portfolio codes A010000B, A010000A and A010000C, and the account 0100015 consists of sub-portfolio codes A010001B, A010001A and A010001C.

  In the account 0100005, the sub-portfolios A010000B and A010000A are subject to rebalancing, and in the account 0100015, the sub-portfolios A010001B and A010001A are subject to rebalancing.

  In account 0100005, the sub-portfolio of A010000B relates to domestic bonds, the sub-portfolio of A010000A relates to domestic stocks, and the sub-portfolio of A010000C relates to foreign bonds. In account 0100015, the sub-portfolio of A010001B relates to domestic bonds, the sub-portfolio of A010001A relates to domestic stocks, and the sub-portfolio of A010001C relates to foreign bonds.

In account 0100005, the target composition ratio of each sub-portfolio is:
A010000B 30%
A010000A 50%
A010000C 20%
It is.

And in account 0100005, the composition ratio before rebalance of each sub-portfolio is
A010000B 40%
A010000A 40%
A010000C 20%
It is.

  In other words, the sub-portfolio of A010000B has a pre-rebalance ratio of 10% more than the target composition ratio, and the sub-portfolio of A010000A has a pre-rebalance ratio of 10% less than the target composition ratio.

  Because the sub-portfolio of A010000B is 25,000,000 yen higher than the target before rebalancing, the divergence amount is displayed as 25,000,000, and the rebalance is reduced by 25,000,000 yen, so the transfer amount is displayed as -25,000,000.

  On the other hand, since the sub-portfolio of A010000A is 25,000,000 yen less than the target before rebalancing, the divergence amount is displayed as -25,000,000, and the rebalance is increased by 25,000,000 yen, so the transfer amount is displayed as 25,000,000.

In addition, in the account 0100015, each sub-portfolio and its target composition ratio are:
A010001B 30%
A010001A 50%
A010001C 20%
It is.

And in the account 0100015, each sub-portfolio and its composition ratio before rebalancing are
A010001B 40%
A010001A 40%
A010001C 20%
It is.

  In other words, the sub-portfolio of A010001B has a pre-rebalance component ratio that is 10% higher than the target component ratio, and the sub-portfolio of A010001A has a pre-rebalance component ratio that is 10% less than the target component ratio.

  Since the sub-portfolio of A010001B is 25,000,000 yen higher than the target before rebalancing, the divergence amount is displayed as 25,000,000, and the rebalance is reduced by 25,000,000 yen, so the transfer amount is displayed as -25,000,000.

  On the other hand, since the sub-portfolio of A010001A is 25,000,000 yen less than the target before rebalancing, the divergence amount is displayed as -25,000,000, and the rebalance is increased by 25,000,000 yen, so the transfer amount is displayed as 25,000,000.

  If there is no problem with the rebalancing amount between sub-portfolios, the rebalancing amount between sub-portfolios is determined by pressing a “rebalance determination” button (not shown).

  If it is determined that the transfer amount needs to be corrected by looking at the sub-portfolio principal transfer information on the screen 610 in FIG. 11, the amount is directly corrected. In case of withdrawal, the amount is minus. After correcting the transfer amount, when the “execute recalculation” button 611 is clicked, the principal transfer amount between the sub-portfolios is calculated again.

  If there is no problem with the rebalancing amount between sub-portfolios after recalculation, the rebalancing amount between sub-portfolios is determined by pressing a “rebalance determination” button (not shown).

  In step S104 in FIG. 4, when a purchase / sale item creation is instructed (specifically, when the “instruction creation instruction” button 612 on the screen 610 in FIG. 11 is clicked), the account attribute, the planned order amount, and the balance by brand name Trading transaction data is created based on the model portfolio and brand attributes.

  The account attribute includes information on which model portfolio is adopted by each sub-portfolio of each account. The planned order amount means the amount to be bought and sold. The balance by brand means the market value balance by brand. The brand attribute includes the market price unit price of each brand.

  For example, account A employs sub-portfolio A, and the composition of sub-portfolio A is 20% stock A, 30% stock B, 50% stock C, the planned purchase order amount is 1 million yen, and stock A is one trading unit. Assume that the market price is 10,000 yen, the stock B is 1000 units of trading and the market price is 300 yen, the stock C is 100 shares of trading unit and the market price is 2500 yen. In this case, since the planned purchase order amount is 1 million yen, the planned purchase order amounts are 200,000 yen for stock A, 300,000 yen for stock B, and 500,000 yen for stock C.

  Since the market price of stock A is 10,000 yen per share, 20 shares will be 200,000 yen. The market price of stock B is 300 yen for 1,000 shares, so it is 300,000 yen for 1 million shares. Since the market price of stock C is 2500 yen for 100 shares, it will be 500,000 yen for 20,000 shares. Therefore, the transaction data “buy 20 shares of stock A. buy B shares of stock B. buy 20,000 shares of stock C” is created.

  In step S105, in-account netting is performed, and when a sale item and a purchase item exist for the same brand in the same account, the transaction is canceled and virtual transaction data is created.

  FIG. 12 shows an example of a transaction schedule table including virtual transaction data when a selling item and a buying item coexist in the same account in the first embodiment of the present invention. Transaction statement 710 relates to the first sub-portfolio and transaction statement 720 relates to the second sub-portfolio. The first and second sub-portfolios belong to the same account. Then, a buy transaction is executed for the issue code 1234 in the first sub-portfolio, and a sell transaction is executed for the issue code 1234 in the second sub-portfolio. In the case of the reverse purchase and sale regarding the stock code 1234 between the first sub-portfolio and the second sub-portfolio, data is created as a virtual transaction and is distinguished as a transaction type different from the actual transaction. No counter-sale for the stock code 1234 between the first sub-portfolio and the second sub-portfolio is placed on the market. On the other hand, the cash flow for performance calculation is treated in the same way as normal buying and selling, so it is reflected in the performance of the sub-portfolio.

  In step S106 of FIG. 4, when ordering is instructed, ordering processing is performed and buying and selling is executed in the market.

  In step S107, balance creation and market price evaluation are performed based on the contract data. If virtual transaction data has been created in step S105, balance creation and market value evaluation are performed based on the virtual transaction data and the contract data. Then, the cash balance, the aggregate balance, and the transaction result are output, and the balance schedule and the transaction schedule can be browsed.

  FIG. 13 shows an example of a balance schedule in the first embodiment of the present invention. In the example shown in the figure, first to third sub-portfolios exist in the same account. Balance statement 810 relates to the cash balance of the first sub-portfolio, balance statement 820 relates to the cash balance of the second sub-portfolio, balance statement 830 relates to the cash balance of the third sub-portfolio, and balance statement 840 This relates to the aggregate balance of the accounts to which the first to third sub-portfolios belong.

  Each sub-portfolio consists of a single investment product. The first sub-portfolio consists of “xxx Japanese Government Bonds (direct investment)”, the second sub-portfolio consists of “xxx Japanese Equity Medium / Small (direct investment)”, and the third sub-portfolio consists of “xxx Global Market” . Cash is managed by sub-portfolio (by investment product). The cash flow of the first sub-portfolio is 2,514,803 yen, and the cash flow of the second sub-portfolio is 5,475,263 yen. Since the investment product in the third sub-portfolio is investment trust, the cash flow is 0 yen.

  For direct investment products, the surplus ratio of sub-portfolio can be calculated based on cash flow and market value subtotal. For example, for the first portfolio, the actual surplus ratio can be calculated by cash flow 2,514,803 yen / market value appraisal subtotal 99,809,803 yen. By comparing the actual surplus ratio and the target value of the surplus ratio, the degree of deviation from the target value of the surplus ratio for each investment product can be checked.

  FIG. 14 is a conceptual diagram showing the relationship between accounts and sub-portfolios in the first embodiment of the present invention. In the example shown in the figure, three sub-portfolios are provided in the account. As shown in FIG. 14, according to the first embodiment, the cache can be managed for each sub-portfolio. In addition, even if there is no cash flow for the entire account (no cash outflow or cash inflow to the account), adjust the surplus funds within the sub-portfolio. ”,“ Rebalancing between sub-portfolios ”where funds move between sub-portfolios, and“ internal cross ”where the actual thing moves between sub-portfolios. Note that the sub-portfolio in the first embodiment has a one-layer structure instead of a plurality of layers as shown in FIG. However, according to the present invention, the sub-portfolio can have a plurality of layers.

  FIG. 15 is a flowchart showing a flow of operation start date check processing in the first embodiment of the present invention. After the operation start date check process, it is preferable to perform the above-described rebalance check related to surplus allowance and asset allocation deviation. In order to perform the operation start date check process, the date when the deposit is applied to the order (purchase) (operation start date), the ratio of the deposit amount allocated to each sub-portfolio, the planned deposit amount, the scheduled deposit date, and the actual deposit Remember the amount of money.

  In step S151 of FIG. 15, the date (reference date) for performing the rebalance check is compared with the operation start date. If the reference date is before the operation start date, it is excluded from rebalancing in step S152. If the reference date is after the operation start date, it is checked in step S153 whether the planned deposit amount has been deposited by the planned deposit date. If the scheduled deposit amount has not been deposited by the scheduled deposit date, a deposit abnormality is extracted and a screen for calling attention is displayed on the display device 106 in step S154. If the planned deposit amount has been deposited by the planned deposit date, in step S155, the deposit amount is allocated to each sub-portfolio according to the stored distribution ratio (added to the surplus funds of each sub-portfolio), and then the Start balance check. As a result, during the period from the deposit date to the operation start date, the deposit amount can be processed as an inoperable cache.

[Second Embodiment]
FIG. 16 is a flowchart showing a flow of processing relating to the rebalance check in the second embodiment of the present invention. As shown in the figure, the information group necessary for the rebalance check in the second embodiment is an account attribute, a withdrawal schedule, and a cash balance.

  The account attribute includes the target allocation and fee collection date of the account. The target allocation is used as a ratio for allocating the amount to be withdrawn to each sub-portfolio. The fee collection date is, for example, a quarterly fee collection date, and is defined for each account.

  The withdrawal schedule is the withdrawal (cancellation) schedule and the planned amount. Used to check if withdrawals are made as planned.

  The cash balance is defined in association with the date. By comparing the cash balance immediately before the scheduled withdrawal date with the cash balance immediately after the scheduled withdrawal date, the amount actually withdrawn is calculated, and it is determined whether or not the withdrawal has been made normally as scheduled.

  In step S1021, it is checked whether there is a withdrawal schedule (full cancellation / partial cancellation) and whether a fee is to be collected. If applicable, in step S1022, the scheduled withdrawal amount is allocated to each sub-portfolio and automatically calculated as the scheduled order amount.

  For example, suppose there is a 1,000,000 yen withdrawal plan for account A. Account A is composed of sub-portfolios A1, A2, and A3, and the target allocation is 50% for sub-portfolio A1, 30% for A2, and 20% for A3. In such a case, the planned order amounts are 500,000 yen for the sub-portfolio A1, 300,000 yen for the sub-portfolio A2, and 200,000 yen for the sub-portfolio A3.

[Third embodiment]
FIG. 17 is a flowchart showing a flow of processing relating to the rebalance check in the third embodiment of the present invention. As shown in the figure, information necessary for the rebalance check in the third embodiment is an investment product attribute. The investment product attribute includes the effective start date of the advisory model.

  In step S1023, the actual date is compared with the effective start date of each advice model, and the advice model that has reached the effective start date is checked. In step S1024, a sub-portfolio incorporating the advice model that has reached the effective start date is extracted. For the extracted sub-portfolio, the planned order amount is calculated in a state where the advisory model whose effective start date has been incorporated.

  The “advice model” is a guideline for selection of investment products such as “select investment product A” and “select investment product B”.

  For example, account A is composed of sub-portfolios A1 and A2, and the target composition ratio is 50% for sub-portfolio A1 and 50% for A2. The sub-portfolio A1 is associated with the advice model A1, and the sub-portfolio A2 is associated with the advice models A21 and A22. Advisory model A21 is valid until February 28, 2006 and is ineffective from March 1, 2006, while advisory model A22 is effective from March 1, 2006, until February 28, 2006 (1) 50% of account A total assets are scheduled to be ordered based on the advisory model A1 associated with sub-portfolio A1, and (2) the remaining 50% is advised associated with sub-portfolio A2. The planned ordering amount is determined based on the model A21. From March 1, 2006, (1) 50% of account A total assets are scheduled to be ordered based on the advisory model A1, and (2) the remaining 50% are ordered based on the advisory model A22. The planned amount is determined.

[Fourth embodiment]
FIG. 18 is a flowchart showing the flow of processing relating to the rebalance check in the fourth embodiment of the present invention. As shown in the figure, information necessary for the rebalance check in the fourth embodiment is an account attribute. Account attributes include target allocation (for example, 70% for sub-portfolio A1 and 30% for A2 before contract change, 60% for sub-portfolio A1 and 40% for A2 after contract change), and embedded investment products (for example, The sub-portfolio A1 includes domestic stock investment trust abc, and A2 is foreign stock investment trust xyz) and the application start date (contract change date).

  In step S1025, the reference date is compared with the application start date, and an account that has reached the application start date of the contract change is checked. In step S1026, an account that has reached the application start date of the contract change is extracted, and the planned order amount of each sub-portfolio (= change amount of money between sub-portfolios) required to realize the changed contract information. Is automatically calculated.

  For example, account A consists of sub-portfolios A1 and A2, and in the contract up to February 28, 2006, the target allocation is 70% for sub-portfolio A1, 30% for A2, and March 1, 2006. In the new contract, the target allocation is 60% for sub-portfolio A1 and 40% for A2. As of February 28, 2006, the total amount of assets in account A is 10 million yen, of which sub-portfolio A1 is 7 million yen and A2 is 3 million yen. In the new contract, the planned order amount is calculated so that the sub-portfolio A1 is 6 million yen and A2 is 4 million yen. In other words, when the date is March 1, 2006, the planned value for selling orders is 1 million yen for the sub-portfolio A1, and the planned ordering price is 1 million yen for A2.

[Fifth Embodiment]
FIG. 19 is a flowchart showing the flow of processing relating to the rebalance check in the fifth embodiment of the present invention. As shown in the figure, information necessary for the rebalance check in the fifth embodiment is a balance collation result. The balance matching result includes a result of comparing the account balance and the total value of each sub-portfolio balance.

  In step S1027, an account having a balance verification error is checked among accounts extracted for other rebalancing reasons. In step S1028, an account whose total value of each sub-portfolio balance does not match the account balance is extracted. Then, a message indicating that the total value of each sub-portfolio balance does not match the account balance is displayed for the extracted account on the reference screen shown in FIG.

  For example, it is assumed that the account A is composed of sub-portfolios A1 and A2. Assume that the balance of account A is 10 million yen, the balance of sub-portfolio A1 is 9.10 million yen, and the balance of sub-portfolio A2 is 980,000 yen. In this case, since the balance of the account A is 10 million yen, the total amount of the balances of the sub-portfolio A1 and A2 is 9.99 million yen, so the total of the balance of the account A and the balance of the sub-portfolio A1 and A2 It is not equal to the forehead. In such a case, account A is extracted as a balance verification error.

[Sixth Embodiment]
FIG. 20 is a flowchart showing a flow of processing relating to the rebalance check in the sixth embodiment of the present invention. As shown in the figure, the information necessary for the rebalance check in the sixth embodiment is a result. The result includes the result information after ordering. The result information indicates that the order was executed and the sale was completed (contract), and the order was executed but the price was not matched and the sale was not established (unsuccessful).

  In step S1029, a sub-portfolio having a brand that has failed for some reason (for example, the price does not match) is checked from the sub-portfolios after the rebalancing. In step S1030, the sub-portfolio holding the brands that have failed is extracted, and the order is executed again at an amount that is insufficient due to the failure.

  For example, it is assumed that the account A is composed of sub-portfolios A1 and A2. The balance of sub-portfolio A1 is 5.5 million yen, the balance of sub-portfolio A2 is 4.5 million yen, and the target allocation is 50% for sub-portfolio A1 and 50% for sub-portfolio A2. Suppose that the purchase order for 500,000 yen and sub-portfolio A2 was 500,000 yen, but for some reason, only the sell order for sub-portfolio A1 was unsuccessful. In such a case, a selling order of 500,000 yen is placed again for the sub-portfolio A1.

It is a functional block diagram of the SMA management system and the existing order system and account system in the embodiment of the present invention. It is a hardware block diagram of the SMA management system in embodiment of this invention. It is a figure which shows an example of the content of the account information in embodiment of this invention. It is a figure which shows the flow of a process of the whole SMA management system in embodiment of this invention. It is a flowchart which shows the flow of the process of the rebalance check regarding surplus funds in embodiment of this invention. It is a flowchart which shows the flow of the process of the rebalance check regarding asset allocation in embodiment of this invention. It is a figure which shows the 1st example of the asset allocation in embodiment of this invention. It is a figure which shows the 2nd example of the asset allocation in embodiment of this invention. It is a figure for demonstrating calculation of the amount of sub-portfolio transfer in embodiment of this invention. It is a figure which shows an example of the rebalance object reason list screen in embodiment of this invention. It is a figure which shows an example of the rebalance object account extraction screen in embodiment of this invention. It is a figure which shows an example of the transaction schedule table in which virtual transaction data in the case of a sale item and a purchase item coexisting about the same brand in the same account in the embodiment of the present invention are included. It is a figure which shows an example of the balance schedule in embodiment of this invention. It is a conceptual diagram which shows the relationship between the account and sub portfolio in embodiment of this invention. It is a flowchart which shows the flow of the operation start date check process in 1st Embodiment of this invention. It is a flowchart which shows the flow of the process regarding the rebalance check in 2nd Embodiment of this invention. It is a flowchart which shows the flow of the process regarding the rebalance check in 3rd Embodiment of this invention. It is a flowchart which shows the flow of the process regarding the rebalance check in 4th Embodiment of this invention. It is a flowchart which shows the flow of the process regarding the rebalance check in 5th Embodiment of this invention. It is a flowchart which shows the flow of the process regarding the rebalance check in 6th Embodiment of this invention.

Explanation of symbols

101 ... Main control unit (CPU)
102 ... Communication means 103 ... Input control unit 104 ... Input device 105 ... Display control unit 106 ... Display device 100 ... Matter creation function unit 110 ... RAM
111 ... HDD
130 ... SMA account attribute management means 140 ... model portfolio management means 150 ... case creation means 160 ... contract / order placement means 200 ... portfolio management means 210 ... commitment / rights dividend information connection means 220 ... balance management means 230 ... performance measurement means 240 ... Disclosure data creation means

Claims (10)

At least two sub-portfolio identification information for each account identification information, one cash amount C and at least one brand identification information for each sub-portfolio identification information, and one for each set of the sub-portfolio identification information and the brand identification information Storage means for storing one brand quantity V, one brand price unit price P for each brand identification information, an upper limit value, a target value Yt and a lower limit value of the surplus ratio,
For each sub-portfolio, C / {Σ (V × P) + C}
The actual surplus ratio calculated by the above-mentioned upper limit value or the lower limit value,
When the actual surplus ratio exceeds the upper limit,
│C−Yt × {Σ (V × P) + C} |
The amount calculated by the
When the actual surplus ratio is below the lower limit,
│C−Yt × {Σ (V × P) + C} |
An SMA management system comprising: calculating means for setting the amount calculated by the above item to be a planned purchase order amount. At least two sub-portfolio identification information for each account identification information, one cash amount C and at least one brand identification information for each sub-portfolio identification information, and one for each set of the sub-portfolio identification information and the brand identification information Storage means for storing one brand quantity V, one brand price unit price P for each brand identification information, an upper limit Yh and a lower limit Yl of a surplus ratio,
For each sub-portfolio, C / {Σ (V × P) + C}
The actual surplus ratio calculated by the above-mentioned upper limit value Yh or the lower limit value Yl is compared,
When the actual surplus ratio exceeds the upper limit,
│C−Yh × {Σ (V × P) + C} |
The amount calculated by the
When the actual surplus ratio is below the lower limit,
│C-Yl × {Σ (V × P) + C} │
An SMA management system comprising: calculating means for setting the amount calculated by the above item to be a planned purchase order amount. At least two sub-portfolio identification information for each account identification information, one cash amount C for each sub-portfolio identification information, upper limit value of composition ratio, target value Kt and lower limit value, and at least one issue identification information; Storage means for storing one brand quantity V for each set of portfolio identification information and the brand identification information, and one brand price unit price P for each brand identification information;
First, second,... Account for nth sub-portfolio {Σ (V1 × P1) + C1 + Σ (V2 × P2) + C2 +... + Σ (Vn × Pn) + Cn}
To calculate the total amount Z of the entire account,
{Σ (V × P) + C} / Z for each sub-portfolio
Comparing the actual composition ratio calculated by the upper limit value or the lower limit value,
When the actual composition ratio exceeds the upper limit,
│ {Σ (V × P) + C} −Kt × Z |
The amount calculated by the transfer amount to go to another sub-portfolio,
When the actual composition ratio is below the lower limit value,
│ {Σ (V × P) + C} −Kt × Z |
An SMA management system, comprising: a calculating means for converting the amount calculated by the method into a transfer amount coming from another sub-portfolio. At least two sub-portfolio identification information for each account identification information, one cash amount C for each sub-portfolio identification information, upper limit value Kh and lower limit value Kl of composition ratio, at least one issue identification information, and the sub-portfolio identification Storage means for storing one brand quantity V for each set of information and brand identification information and one brand price unit price P for each brand identification information;
First, second,... Account for nth sub-portfolio {Σ (V1 × P1) + C1 + Σ (V2 × P2) + C2 +... + Σ (Vn × Pn) + Cn}
To calculate the total amount Z of the entire account,
{Σ (V × P) + C} / Z for each sub-portfolio
The actual composition ratio calculated by the above-mentioned upper limit value Kh or the lower limit value Kl is compared,
When the actual composition ratio exceeds the upper limit Kh,
│ {Σ (V × P) + C} −Kh × Z |
The amount calculated by the transfer amount to go to another sub-portfolio,
When the actual composition ratio is below the lower limit Kl,
│ {Σ (V × P) + C} −Kl × Z |
An SMA management system, comprising: a calculating means for converting the amount calculated by the method into a transfer amount coming from another sub-portfolio. The storage means stores a scheduled deposit date, a scheduled deposit amount, an account balance before the scheduled deposit date, and an account balance after the scheduled deposit date in association with the account identification information;
The calculation means compares the actual date with the scheduled deposit date, and if the actual date is after the scheduled deposit date, an amount obtained by subtracting the account balance before the scheduled deposit date from the account balance after the scheduled deposit date. 2 and the expected deposit amount, and outputs a signal indicating whether or not the estimated deposit amount matches an amount obtained by subtracting the account balance before the scheduled deposit date from the account balance after the scheduled deposit date. The SMA management system as described in any one of thru | or 4. The storage means stores whether or not there is a withdrawal schedule for each account identification information and if there is a withdrawal schedule, the withdrawal amount is stored,
If the calculation means has a withdrawal plan,
Expected withdrawal amount x Sub-portfolio composition ratio target value Kt
The SMA management system according to any one of claims 1 to 5, wherein the amount calculated by the step is a planned order amount for each sub-portfolio. The storage means further stores an advice model and an effective start date in association with the sub-portfolio identification information,
The calculation means compares the actual date with the effective start date, and if the actual date is after the effective start date, the sub-portfolio ordering schedule indicated by the sub-portfolio identification information based on the advice model The SMA management system according to any one of claims 1 to 6, wherein an amount is calculated. The storage means further stores a target allocation and a contract modification date in association with the account identification information,
The calculation means compares the actual date with the contract change date, and if the actual date is after the contract change date, the calculation means stores the sub-date stored in association with the account identification information based on the target allocation. The SMA management system according to any one of claims 1 to 7, wherein a planned order amount of a sub-portfolio indicated by portfolio identification information is calculated. The storage means further stores an account balance in association with the account identification information, a sub-portfolio balance in association with the sub-portfolio identification information,
The calculation means calculates a total value of each sub-portfolio balance associated with a plurality of sub-portfolio identification information associated with the same account identification information, compares the account balance with the total value, The SMA management system according to claim 1, wherein when the account balance does not match the total value, the account identification information is output. The storage means further stores work information associated with the sub-portfolio identification information,
The SMA management system according to any one of claims 1 to 9, wherein the calculation unit recalculates a planned order amount for the sub-portfolio indicated by the sub-portfolio identification information associated with the success information indicating failure. .

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