JP7086167B2 - Investment trust management system - Google Patents

Description

Application of Article 30, Paragraph 2 of the Patent Act Published in the morning edition of the Nihon Keizai Shimbun on June 16, 2017, published on the website of Sumitomo Mitsui Banking Corporation on June 27, 2017, June 16, 2017. Posted on the website of Amundy Japan Co., Ltd. on Sunday and 27th, and posted on EDINET on June 15, 2017.

The present invention relates to an investment trust management system.

Conventionally, various investment trust management systems have been proposed. Patent Document 1 proposes a fixed-term deposit investment trust system that can realize an investment trust that has a low risk of loss of principal and can be expected to generate effective profits.

Patent Document 2 proposes an investment trust management profit distribution system or the like that can be expected to generate a large profit with a relatively small amount of investment funds.

Japanese Unexamined Patent Application Publication No. 2015-155684 Japanese Unexamined Patent Publication No. 2009-175893

The conventional investment trust management system including the above patent documents does not guarantee that the principal will be secured without fail, and the investment principal will be poorly managed due to the influence of fluctuations in the market environment, etc. Can occur below.

An object of the present invention is to provide an investment trust management system that secures stable profits and aims for medium- to long-term growth of investment trust assets.

[1]
Depending on the amount of the fund beneficiary right application from the investor, the amount is unchanged during the asset management after the application, and the daily base price due to the asset management after the application always exceeds the unchanged amount. The first protect line setting means that sets the amount of money set for operation as the first protect line,
When the daily base price for asset management after the application reaches a predetermined amount, the price is higher than the amount of the first protect line and is maintained unchanged during the subsequent asset management, and the predetermined amount is maintained. The second protect line is the amount set with the aim that the daily base price due to asset management after the time when the amount of money is reached exceeds the amount that is always maintained unchanged. Protect line setting means and
An investment trust management system equipped with.

[2]
The second protect line setting means is
The relationship between the amount of the fund beneficiary right application from the investor and the daily base price due to asset management after the application, or
From the relationship between the amount of the first protect line and the daily base price of the asset management after the application, it is determined when the daily base price of the asset management after the application reaches a predetermined amount. [1] The investment trust management system described.

[3]
It also has a first risk budget calculation processing unit that calculates the first risk budget using the amount of the daily base price due to the asset management after the application and the amount of the first protect line []. 1] The investment trust management system described.

[4]
The second protect line setting means is
The investment trust management system according to [3], which determines when the daily base price for asset management after application reaches a predetermined amount from the value of the first risk budget.

[5]
The second protect line setting means is any one of [1] to [4] in which the amount of the fund beneficiary right application from the investor at the time of concluding the investment trust contract is set to the amount set by the second protect line. The investment trust management system described in paragraph 1.

[6]
Advance redemption processing means that performs advance redemption processing at the amount of the first protect line when the daily base price due to asset management after setting the first protect line drops to the amount of the first protect line. The investment trust management system according to any one of [1] to [5].

[7]
When the daily standard price for asset management after setting the second protect line reaches a predetermined amount, the amount is a predetermined ratio to the maximum value of the standard price during asset management after that point. Therefore, it will not be reduced after it is set, and it is set with the aim that the daily base price for asset management after the time when the predetermined amount is reached will always exceed the predetermined ratio. The investment trust management system according to any one of [1] to [6], further comprising a third protect line setting means for setting the amount of money as the third protect line.

[8]
The third protect line setting means is
The relationship between the base price at the time of setting the second protect line and the daily base price due to asset management after setting the second protect line, or
From the relationship between the amount of the second protect line and the daily base price of the asset management after the second protect line is set, the daily base price of the asset management after the second protect line is set is The investment trust management system according to [7], which determines when a predetermined amount of money is reached.

[9]
A second risk budget calculation processing unit that calculates a second risk budget using the amount of the daily base price due to asset management after setting the second protect line and the amount of the second protect line. Further equipped with the investment trust management system described in [7].

[10]
The third protect line setting means is
The investment trust management system according to [9], which determines when the daily base price for asset management after setting the second protect line reaches a predetermined amount from the value of the second risk budget.

[11]
A third risk budget calculation processing unit that calculates a third risk budget using the amount of the daily base price due to asset management after setting the third protect line and the amount of the third protect line. The investment trust management system according to any one of [7] to [10].

[12]
The third protect line setting means determines whether or not the daily base price has updated the highest value of the previous base price, and when the highest value of the previous base price is updated, the highest value is reached. The investment trust management system according to any one of [7] to [11], which performs a process of resetting a predetermined ratio amount as a third protect line.

[13]
Advance redemption processing means that performs advance redemption processing at the amount of the second protect line when the daily base price due to asset management after setting the second protect line drops to the amount of the second protect line. The investment trust management system according to any one of [7] to [12].

[14]
Advance redemption processing means that performs advance redemption processing at the amount of the third protect line when the daily base price due to asset management after setting the third protect line drops to the amount of the third protect line. The investment trust management system according to any one of [7] to [13].

[15]
A predetermined ratio of the amount of investment funds at the time of investment management is set as the protect line at the start of investment, and the set protect line will not be reduced thereafter, and after the set time Aiming for the amount of the above-mentioned predetermined ratio to the maximum value of the base price during asset management, and for the daily base price of subsequent asset management to always exceed the amount of the above-mentioned predetermined ratio. Protect line setting means to set the set amount as a protect line,
An investment trust management system provided with an advance redemption processing means that performs advance redemption processing at the amount of the protect line when the daily base price due to asset management after the protection line is set drops to the amount of the protect line.

[16]
The protect line setting means determines whether or not the daily base price has updated the highest value of the previous base price, and when the highest value of the previous base price is updated, the protect line setting means is determined with respect to the highest value. The investment trust management system according to [15], which performs a process of resetting the ratio amount of money as the protect line.

According to the present invention, it is possible to provide an investment trust management system that secures stable profits and aims for medium- to long-term growth of investment trust assets.

It is a conceptual diagram explaining an example of the asset management of the investment trust performed by using the system of this invention. It is a figure which shows an example of the structure of the investment trust management system of this invention. It is a figure for demonstrating an example of the change of the base price by the asset management after setting of the 1st to 3rd protection lines and the 1st to 3rd protection lines set by this invention. (A) It is a figure for demonstrating the 1st to 3rd risk budget calculated by this invention. (B) It is the figure which represented the 1st to 3rd risk budget in a graph. It is a figure for demonstrating the 1st to 3rd risk budget utilization calculated by this invention. It is a figure which shows an example of the processing flow after setting of the 1st protection line in the asset management of the investment trust performed by using the system of this invention. It is a figure which shows an example of the processing flow from the setting of the 1st protect line to the setting of the 2nd protect line in the asset management of the investment trust performed by using the system of this invention. It is a figure which shows an example of the processing flow from the setting of the 2nd protect line to the setting of the 3rd protect line in the asset management of the investment trust performed by using the system of this invention. It is a figure which shows an example of the processing flow after setting of the 3rd protection line in the asset management of the investment trust performed by using the system of this invention.

Hereinafter, an example of an embodiment of the present invention will be described with reference to the accompanying drawings.

[System configuration]
The investment trust management system of this embodiment is an investment trust (fund) that solicits financial assets held by investors based on an investment trust contract concluded with a trustee bank that stores, calculates, and manages investment trust assets. It is a system consisting of a computer that executes a process of investing and managing the investment trust in stocks, bonds, etc.

FIG. 2 shows an example of the investment trust management system of the present embodiment.

The form of a domestic investment trust beneficiary certificate in the investment trust management system shown in FIG. 2 is a beneficiary right of an additional securities investment trust.

The beneficiary rights of the fund are subject to the provisions of the "Act on the Transfer of Corporate Bonds, Stocks, etc." The investor applies for the beneficiary right of the fund to the sales company, and by paying the predetermined application amount to the sales company, the trust related to the beneficiary right is set and the beneficiary right of the fund is acquired.

The date on which the investment trust contract is concluded with the trust bank is the investment trust establishment date, and the amount of the fund beneficiary right application from the investor on this investment trust establishment date is the fund beneficiary right application from the investor at the time of concluding the investment trust contract. Will be the amount of money. If the investor applies for the beneficiary right of the fund before the investment trust establishment date, the amount of the fund beneficiary right application from the investor at the time of concluding the investment trust contract can be set to the predetermined amount. For example, in the example shown in FIG. 1, the amount of the fund beneficiary right application from the investor at the time of concluding the investment trust contract is 10,000 yen.

In the embodiment shown in FIG. 2, an investment trust is set based on the application amount paid by the investor for acquiring the beneficiary right of the fund, and the investment trust is invested and managed in stocks, bonds, etc. The system 2 in the consignment company composed of the computer to be constructed and the server device 1 composed of the computer are connected to each other so as to be communicable through the communication line 5.

Neither the server device 1 composed of a computer nor the system 2 in the consignment company is shown, but various functions of the system of this embodiment are realized according to an operating system, a predetermined computer program installed or downloaded, and the like. The CPU as a storage unit that stores the CPU that controls, the operating system, various computer programs, etc., and the data necessary for the CPU to execute the processing for each control, the CPU performs the processing. It is equipped with a RAM and hard disk that stores the data necessary for execution and is also used as a work area where the information is appropriately rewritten by the CPU, as well as a user interface and wireless communication interface. It is connected.

In the investment trust management system, the base price is calculated every business day. The base price fluctuates daily due to the effects of price movements of incorporated securities, etc.

In this embodiment, the beneficiary right 1 is obtained by dividing the total amount of assets (total net assets) of the investment trust property obtained by valuing the assets belonging to the investment trust property by the total number of beneficiary rights on the calculation date. The price per unit is used as the standard price.

Data on asset allocation required to perform such calculation processing, such as data on market outlook, market data on each asset (valuation of each asset), asset allocation exposure, expected volatility of each asset, investment limits, etc. Investor positioning, correlations between invested assets (relative value analysis and correlation coefficient forecasts), some variation filters for each asset to calculate risk-adjusted expected returns, major past The backtesting of the asset-based portfolio, etc. can be stored in the storage unit of the computer described above, or can be acquired when necessary via a network such as the Internet or the intranet.

The process of calculating the base price for each business day may be configured to be performed by the system 2 in the consignment company or may be performed by the server device 1. In the illustrated embodiment, it is decided to be performed in the system 2 in the consignment company.

In the illustrated example, the investor terminal 3 is communicably connected to the system 2 in the consignment company through a communication line 4 including an Internet communication network and a wireless communication network defined by a wireless communication standard. The investor terminal 3 is, for example, an information communication terminal such as a personal computer, a smartphone, a tablet terminal, etc. used by an investor. In such an embodiment, the investor can confirm the status of asset management with the beneficiary right of the fund being purchased.

For example, the investor uses the investor terminal 3 to access the website opened by the sales company, and applies for the beneficiary right of the fund related to the investment trust management system of the present embodiment and the predetermined application amount. To acquire the beneficiary rights of the fund by making payment. Alternatively, the beneficiary right of the fund is acquired by making the application and paying the application amount at the window of the sales company.

FIG. 2 In the illustrated embodiment, the server device 1 is an information transmission / reception means 6, a storage means 7, a first protect line setting means 8, a second protect line setting means 9, a third protect line setting means 10, and a third. 1st risk budget calculation processing unit 11, 2nd risk budget calculation processing unit 12, 3rd risk budget calculation processing unit 13, 1st risk budget usage rate calculation processing unit 14, 2nd risk budget calculation processing unit A unit 15, a third risk budget usage rate calculation processing unit 16, an advance redemption processing means 17, and a control means 18 are provided.

The information transmission / reception means 6 transmits / receives information to / from the system 2 in the consignment company.

The storage means 7 was calculated as an amount set as a first protect line, an amount set as a second protect line, an amount set as a third protect line, and a first risk budget, which will be described later. Numerical value, numerical value calculated as the second risk budget, numerical value calculated as the third risk budget, numerical value calculated as the first risk budget utilization rate, numerical value calculated as the second risk budget utilization rate, The numerical value calculated as the third risk budget usage rate is stored.

The first protect line setting means 8 is the asset management after the application according to the amount of the fund beneficiary right application from the investor, that is, the amount of the fund beneficiary right application from the investor at the time of concluding the investment trust contract. The amount of money is unchanged during the period, and the amount set with the aim that the daily base price 19 due to asset management after the application is always exceeded by the amount of the fixed amount is set as the first protect line 20. do.

During the asset management after receiving the fund beneficiary right application from the investor, the amount of the first protect line 20 does not change, and the daily base price by the asset management after receiving the fund beneficiary right application from the investor The amount of the first protect line 20 is set with the aim that 19 is always operated in excess of the amount of the first protect line 20. Therefore, for example, when the reference price 19 drops to the first protect line 20, the mechanism can be set up for early redemption without falling below the first protect line 20.

In this way, even if the base price 19 drops to the first protect line 20, the loss suffered by the investor will be the amount of the fund beneficiary right application from the investor and the first protect line. It can be limited to a certain amount specified by the difference between the amount of 20 and the amount of 20. So to speak, it is an investment trust that can be evaluated as a "lower price limited type".

The amount of the first protect line 20 set by the first protect line setting means 8 is a predetermined amount rather than the amount of the fund beneficiary right application based on the amount of the fund beneficiary right application from the investor. Can be the amount deducted. Alternatively, the amount may be smaller than the amount of the fund beneficiary right application at a predetermined ratio based on the amount of the fund beneficiary right application from the investor.

In either case, the first protect line setting means 8 executes the above-described processing according to the instructions of the predetermined computer program that has been set.

Explaining with the example illustrated in FIGS. 1 and 3, the amount of the fund beneficiary right application from the investor, that is, the amount of the fund beneficiary right application from the investor at the time of concluding the investment trust contract is 10,000 yen. One protect line setting means 8 sets 9,000 yen as the first protect line 20.

As shown in FIGS. 1 and 3, the 9,000 yen set as the first protect line 20 is covered by the second protect line 21, which will be described later, during asset management after the investor applies for the fund beneficiary right. It remains unchanged until it is set.

For those who manage assets using the investment trust management system, the daily standard price 19 for asset management of 10,000 yen at the time of application for the fund beneficiary right received from the investor is always the first protect line 20. The aim is to operate in excess of the amount of 9,000 yen set as.

The first risk budget calculation processing unit 11 uses the amount of the daily base price 19 due to asset management after the investor applies for the fund beneficiary right and the amount of the first protect line 20 to be the first. Calculate the risk budget for.

With reference to FIG. 4, the first risk budget calculation processing unit 11 determines the amount of the daily base price 19 and the amount of the first protect line 20 by asset management after the investor applies for the fund beneficiary right. An example of the processing operation for calculating the first risk budget using and is as follows.

For example, the first risk budget calculation processing unit 11 calculates the first risk budget using the following formula.

The second protect line setting means 9 is higher than the amount of the first protect line 20 when the daily standard price 19 due to asset management after the application for the fund beneficiary right from the investor reaches a predetermined amount. Therefore, it will be maintained unchanged during the subsequent asset management, and the daily standard price 19 due to asset management after the time when the predetermined amount is reached will always exceed the amount maintained unchanged. The amount of money set aiming at is set as the second protect line 21.

In the embodiment shown in FIG. 1, when a fund beneficiary right application equivalent to an amount of 10,000 yen is received from an investor and the base price 19 reaches 10,600 yen in the subsequent asset management, the second 10,000 yen is set as the second protect line 21 by the protect line setting means 9.

The amount of 10,000 yen for the second protect line 21 is higher than the amount of 9,000 yen for the first protect line 20. Then, as shown in FIG. 1, the second protect line 21 set to 10,000 yen by the second protect line setting means 9 has the second protect line 21 set by the second protect line setting means 9. In the asset management after the setting, the protection line 22, which will be described later, is maintained unchanged until the third protect line 22 is set. Furthermore, for those who manage assets using the investment trust management system, the daily standard price 19 by asset management of the amount of 10,000 yen at the time of applying for the fund beneficiary right received from the investor is always the second protection. The aim is to operate in excess of the amount of 10,000 yen set for line 21.

Therefore, for example, when the standard price 19 drops to the second protect line 21, the mechanism can be set up for early redemption without falling below the second protect line 21.

In this way, even if the base price 19 falls to the second protect line 21, the loss suffered by the investor will be the amount of the fund beneficiary right application from the investor and the second protect. It is an investment trust that can be suppressed to a certain amount specified by the difference between the amount of the line 21 and the amount of the line 21, and is also evaluated as "lower price limited type".

Further, in the embodiment shown in FIG. 1, after the second protect line setting means 9, which is shown as the second phase in FIG. 1, sets 10,000 yen as the second protect line 21, even if it is a reference. Even if the price 19 drops to the second protect line 21, if the mechanism is set up for early redemption without falling below the second protect line 21, even if a certain percentage of loss occurs, in effect. A certain percentage of the principal (= the amount of money that the investor applied for the beneficiary right of the fund, that is, the amount of the application for the beneficiary right of the fund from the investor at the time of concluding the investment trust contract) will be secured. So to speak, it is an investment trust that can be evaluated as a “principal defense type”.

Here, in the present embodiment, the second protect line setting means 9 is
From the relationship between the amount of the fund beneficiary right application from the investor and the daily base price 19 due to asset management after the application, or
From the relationship between the amount of the first protect line 20 and the daily base price 19 due to asset management after applying for the fund beneficiary right from the investor, or
From the value of the first risk budget calculated by the first risk budget calculation processing unit 11.
A second protect line 21 is set, and it is determined when the daily standard price 19 by asset management after the investor applies for the fund beneficiary right reaches a predetermined amount.

When the daily base price 19 due to asset management after the investor applies for the fund beneficiary right reaches a predetermined amount, the amount of the fund beneficiary right application from the investor and the daily due to asset management after the application When judging from the relationship with the base price 19 of, for example, the base price 19 is higher than the fund beneficiary right application amount by a predetermined amount, or the base price 19 is the fund beneficiary right application amount. It is determined that the daily base price 19 due to asset management after the investor has applied for the fund beneficiary right has reached the specified amount at the time when the amount has increased by the amount corresponding to the specified ratio. Can be done.

In the embodiment shown in FIG. 1, the fund beneficiary right application amount is 10,000 yen, and when the base price 19 is 600 yen higher than that, it is time to set the second protect line 21. The second protect line setting means 9 is set to determine, and the second protect line 21 is set when the reference price 19 reaches 10,600 yen.

Alternatively, when the fund beneficiary right application amount is 10,000 yen and the base price 19 rises by 6%, it is time to set the second protect line 21. The second protect line setting means 9 The second protect line 21 will be set when the standard price 19 reaches 10,600 yen.

When the daily base price 19 due to asset management after the investor applies for the fund beneficiary right reaches a predetermined amount, the amount of the first protect line 20 and after the fund beneficiary right application from the investor When judging from the relationship with the daily base price 19 due to asset management, for example, the base price 19 is higher than the amount of the first protect line 20 by a predetermined amount, or the base price is set. At the time when 19 becomes higher by the amount corresponding to the predetermined ratio to the amount of the first protect line 20, etc., the daily base price by asset management after the investor applies for the fund beneficiary right, etc. It can be determined that 19 has reached a predetermined amount.

FIG. 1 In the illustrated embodiment, when the amount of the first protect line 20 is 9,000 yen and the base price 16 is 1,600 yen higher than the amount of the first protect line 20, the second The second protect line setting means 9 determines that it is time to set the protect line 21 of the above, and the second protect line 21 is set when the standard price 19 reaches 10,600 yen. become.

Alternatively, when the amount of the first protect line 20 is 9,000 yen and the base price 19 is 17.78% higher than the amount of the first protect line 20, the second protect line 21 is set. If this is the case, the second protect line setting means 9 is set to determine, and the second protect line 21 is set when the reference price 19 reaches 10,600 yen.

From the value of the first risk budget calculated by the first risk budget calculation processing unit 11 when the daily base price 19 due to asset management after the investor applies for the fund beneficiary right reaches a predetermined amount. In the case of determination, for example, in the case shown in FIGS. 1 and 4 (b), when the first risk budget reaches 15.0943%, after the investor applies for the fund beneficiary right. The second protect line setting means 9 determines that the daily standard price 19 due to the asset management of the above has reached a predetermined amount, and the second protect line 21 is set.

In addition, the second protect line setting means 9 sets the amount of money as the second protect line 21 to the past base price 19 after the first protect line 20 is set, and the investment trust management system in FIG. It is also possible to set based on the latest portfolio value (PV) stored as information in the server device 1 and the system 2 in the consignment company included in the above.

In any of the above-mentioned forms, the second protect line setting means 9 executes the above-mentioned process according to the instruction of the predetermined computer program that has been set.

The second risk budget calculation processing unit 12 uses the amount of the daily base price 19 due to asset management after setting the second protect line 21 and the amount of the second protect line 21 to use the second risk budget. To calculate.

With reference to FIG. 4, the second risk budget calculation processing unit 12 uses the amount of the daily base price 19 due to asset management after setting the second protect line 21 and the amount of the second protect line 21. An example of the processing operation for calculating the second risk budget is as follows.

For example, the second risk budget calculation processing unit 12 calculates the second risk budget using the following formula.

In the third protect line setting means 10, when the daily standard price 19 by the asset management after the setting of the second protect line 21 reaches a predetermined amount, the standard price 19 during the asset management after that time is set. It is an amount of a predetermined ratio to the maximum price, and it will not be reduced after it is set, and the daily base price 19 by asset management after the time when the predetermined amount is reached is always the predetermined ratio. The amount set with the aim of operating in excess of the amount is set as the third protect line 22. Since a predetermined ratio amount is set as the third protect line 22 with respect to the maximum value of the standard price 19 during asset management after the setting of the third protect line 22, the third protect line setting means 10 is used every day. It is determined whether or not the base price 19 of the previous base price 19 has updated the highest value of the base price 19 before that, and when the highest price of the base price 19 before that is updated, the predetermined ratio amount is added to the highest price. The process of resetting as the third protect line 22 will be performed.

FIG. 1 In the illustrated embodiment, when the base price 19 reaches 11,111 yen in the asset management after setting the second protect line 21, 10,000 yen is charged by the third protect line setting means 10. It is set as the third protect line 22.

The amount of 10,000 yen of the third protect line 22 is 90% of the standard price of 11,111 yen when the third protect line 22 is set in the embodiment shown in FIG. 1. Then, as shown in FIG. 1, the third protect line 22 set by the third protect line setting means 10 is not lowered after being set, but after the third protect line 22 is set. Since it is set as a predetermined ratio of the maximum value of the daily standard price 19 (90% of the maximum value in the illustrated embodiment), the daily standard price is set after the third protect line 22 is set. If 19 becomes higher, it will be raised and fluctuate accordingly, but even if the daily base price 19 becomes lower, it will not be lowered. Furthermore, for those who manage assets using the investment trust management system, the daily standard price 19 by asset management of the amount of 10,000 yen at the time of applying for the fund beneficiary right received from the investor is always the third protection. The aim is to operate in excess of the amount set as line 22.

Therefore, for example, when the standard price 19 drops to the third protect line 22, the mechanism can be set up for early redemption without falling below the third protect line 22.

In this way, even if the base price 19 drops to the third protect line 22, the loss suffered by the investor will be the amount of the fund beneficiary right application from the investor and the third protect line. It is an investment trust that can be suppressed to a certain amount specified by the difference between the amount of 22 and is evaluated as "lower price limited type" here as well.

Here, in the present embodiment, the third protect line setting means 10 is
From the relationship between the base price 19 when the second protect line 21 is set and the daily base price 19 due to asset management after the second protect line 21 is set, or
From the relationship between the amount of the second protect line 21 and the daily standard price 19 due to asset management after setting the second protect line 21, or
From the value of the second risk budget calculated by the second risk budget calculation processing unit 12.
The time when the daily standard price 19 by the asset management after setting the second protect line 21 which sets the third protect line 22 reaches a predetermined amount is determined.

When the daily base price 19 due to asset management after setting the second protect line 21 reaches a predetermined amount, the base price 19 at the time of setting the second protect line 21 and after setting the second protect line 21 When judging from the relationship with the daily base price 19 due to asset management, for example, the base price 19 is higher than the base price 19 at the time of setting the second protect line 21 by a predetermined amount. Alternatively, when the base price 19 becomes higher by an amount corresponding to a predetermined ratio to the base price 19 at the time of setting the second protect line 21, asset management after setting the second protect line 21, etc. It is possible to determine that the daily reference price 19 has reached a predetermined amount.

FIG. 1 In the illustrated embodiment, the base price 19 at the time of setting the second protect line 21 is 10,600 yen, and when the base price 19 is 511 yen higher than that, the third protect line 22 is set. The third protect line setting means 10 determines that it is time to set, and the third protect line 22 is set when the reference price 19 reaches 11,111 yen.

Alternatively, when the base price 19 at the time of setting the second protect line 21 is 10,600 yen and the base price 19 rises by 4.82% with respect to the base price 19, the third protect line 22 is set. The third protect line setting means 10 determines that the third protect line 22 is set when the reference price 19 reaches 11,111 yen.

When the daily standard price 19 by asset management after setting the second protect line 21 reaches a predetermined amount, the amount of the second protect line 21 and the daily asset management after setting the second protect line 21 When judging from the relationship with the standard price 19 of, for example, the standard price 19 is higher than the amount of the second protect line 21 by a predetermined amount, or the standard price 19 is the second. At the time when the amount of money of the protect line 21 is higher than the amount of the protect line 21 by the amount corresponding to the predetermined amount, the daily standard price 19 by the asset management after the setting of the second protect line 21 reaches the predetermined amount. It can be determined that it has been done.

FIG. 1 In the illustrated embodiment, when the amount of the second protect line 21 is 10,000 yen and the base price 19 is 1,111 yen higher than the amount of the second protect line 21, the third one. The third protect line setting means 10 determines that it is time to set the protect line 22 of the above, and the third protect line 22 is set when the standard price 19 reaches 11,111 yen. become.

Alternatively, when the amount of the second protect line 21 is 10,000 yen and the base price 19 increases by 11.11% with respect to the amount of the second protect line 21, the third protect line 22 is set. The third protect line setting means 10 determines that it is time to do so, and the third protect line 22 is set when the reference price 19 reaches 11,111 yen.

When determining the time when the daily standard price 19 due to asset management after setting the second protect line 21 reaches a predetermined amount from the value of the second risk budget calculated by the second risk budget calculation processing unit 12. In the case shown in FIGS. 1 and 4 (b), when the second risk budget reaches 10.00%, the daily standard price due to asset management after setting the second protect line 21 The third protect line setting means 10 determines that 19 has reached a predetermined amount, and the third protect line 22 is set.

After setting the third protect line 22, the third protect line setting means 10 sets the amount of the third protect line 22 to the maximum value of the base price 19 during asset management after the setting of the third protect line 22. On the other hand, the amount is a predetermined ratio (for example, 90%) and is not reduced after it is set, and the daily standard price 19 by asset management after setting the third protect line 22 is always the predetermined ratio. It will be set to the amount set with the aim of operating in excess of the amount of.

In the same way as the second protect line setting means 9, the third protect line setting means 10 sets the amount of money as the third protect line 22 after the first protect line 20 is set. Alternatively, the past standard price 19 after the second protect line 21 was set, and the latest portfolio value stored as information in the server device 1 included in the investment trust management system and the system 2 in the consignment company in FIG. It can also be set based on (PV).

In any of the above-mentioned forms, the third protect line setting means 10 executes the above-mentioned process according to the instruction of the predetermined computer program set.

The third risk budget calculation processing unit 13 uses the amount of the daily base price 19 due to asset management after setting the third protect line 22 and the amount of the third protect line 22 to use the third risk budget. To calculate.

With reference to FIG. 4, the third risk budget calculation processing unit 13 uses the amount of the daily base price 19 due to asset management after setting the third protect line 22 and the amount of the third protect line 22. An example of the processing operation for calculating the third risk budget is as follows.

For example, the third risk budget calculation processing unit 13 calculates the third risk budget using the following formula.

The first risk budget usage rate calculation processing unit 14 invests an amount corresponding to the difference between the base price 19 and the amount of the first protect line 20 on the day when the first risk budget is calculated. The ratio for allocating to securities, monetary receivables, etc. is calculated as the first risk budget usage rate.

Explaining with reference to FIG. 5, the first risk budget usage rate calculation processing unit 14 calculates the first risk budget usage rate using the following formula.

In the system 2 in the consignment company, the securities to be invested are the amount corresponding to the difference between the base price 19 and the amount of the first protect line 20 with reference to the calculated first risk budget usage rate. , Monetary claims, etc.

The second risk budget usage rate calculation processing unit 15 invests an amount corresponding to the difference between the base price 19 and the amount of the second protect line 21 on the day when the second risk budget is calculated. The ratio for allocating to securities, monetary receivables, etc. is calculated as the second risk budget usage rate.

Explaining with reference to FIG. 5, the second risk budget usage rate calculation processing unit 15 calculates the second risk budget usage rate using the following formula.

In the system 2 in the consignment company, the securities to be invested are the amount corresponding to the difference between the base price 19 and the amount of the second protect line 21 with reference to the calculated second risk budget utilization rate. , Monetary claims, etc.

The third risk budget usage rate calculation processing unit 16 invests an amount corresponding to the difference between the base price 19 and the amount of the third protect line 22 on the day when the third risk budget is calculated. The ratio for allocating to securities, monetary receivables, etc. is calculated as the third risk budget usage rate.

Explaining with reference to FIG. 5, the third risk budget usage rate calculation processing unit 16 calculates the third risk budget usage rate using the following formula.

In the system 2 in the consignment company, the securities to be invested are the amount corresponding to the difference between the base price 19 and the amount of the third protect line 22 with reference to the calculated third risk budget usage rate. , Monetary claims, etc.

The advance redemption processing means 17 advances the amount of the first protect line 20 when the daily base price 19 due to asset management after setting the first protect line 20 drops to the amount of the first protect line 20. Perform redemption processing.

In the embodiment shown in FIG. 1, in the advanced redemption processing means 17, the daily base price 19 due to asset management after setting the first protect line 20 has dropped to the amount of 9,000 yen of the first protect line 20. In this case, the prepayment process is performed so that the prepayment is made to the investor at the amount of 9,000 yen of the first protect line 20.

Further, the advance redemption processing means 17 is the amount of the second protect line 20 when the daily base price 19 due to asset management after setting the second protect line 21 drops to the amount of the second protect line 21. Will be redeemed in advance.

In the embodiment shown in FIG. 1, in the advanced redemption processing means 17, the daily base price 19 due to asset management after setting the second protect line 21 has dropped to the amount of 10,000 yen of the second protect line 21. In this case, the prepayment process is performed so that the prepayment is made to the investor at the amount of 10,000 yen of the second protect line 21.

Further, the advance redemption processing means 17 is the amount of the third protect line 22 when the daily base price 19 due to asset management after setting the third protect line 22 drops to the amount of the third protect line 22. Will be redeemed in advance.

In the embodiment shown in FIG. 1, the early redemption processing means 17 is used when the daily base price 19 due to asset management after setting the third protect line 22 drops to the amount of the third protect line 22. Advance redemption processing is performed so that the amount of the third protect line 22 at the time, that is, the amount of 90% of the maximum value after the setting of the third protect line 22 is redeemed to the investor. conduct.

When the base price 19 drops to the amount of the first protect line 20, the second protect line 21, and the third protect line 22, as described above, the advance redemption processing means 17 causes the first, second, and first. Advance redemption will be carried out for each of the three protect lines, and a guarantee contract (guarantee contract) for investment trust property concluded by a consignment company with another company (guarantee company). Therefore, it is possible to make a mechanism for guaranteeing the investment trust property so that the base price does not fall below the above-mentioned first, second and third protection lines.

Although not shown, the processing operation performed by the above-mentioned third protect line setting means 10 and the processing operation performed by the above-mentioned third protect line setting means 10, although the above-mentioned first protect line setting means 8 and the second protect line setting means 9 are not provided. It is also possible to make an investment trust management system having the processing operation performed by the advance redemption processing means 17 described above as an indispensable configuration.

In this case, the amount of investment funds at the time when investment management by this investment trust management system is executed (for example, if investment management is started after receiving a fund beneficiary right application from the investor, the investor The amount of the fund beneficiary right application, that is, the amount of the fund beneficiary right application from the investor at the beginning of the investment trust contract, or if the investment has already been managed for a certain period of time, continue to use this investment trust management system. First, a predetermined ratio of the amount of money to the base price at the time when the investment management is started is set as a protect line at the start of investment, and further, this protect line is set as described above. Is not reduced thereafter, and is the amount of the predetermined ratio (for example, 90%) to the maximum value of the base price 19 during the asset management after this point, and is daily due to the subsequent asset management. The amount set with the aim that the reference price 19 of the above is always exceeded the amount of the predetermined ratio is set as the protect line.

Then, after the protect line is set in this way, when the daily base price due to asset management after the protect line is set drops to the amount of this protect line, the advance redemption processing means is always described above. In this way, the process of early redemption is performed with the amount of this protect line.

As described above, although the first protect line setting means 8 and the second protect line setting means 9 described above are not provided, the processing operation performed by the third protect line setting means 10 described above and the above-mentioned processing operation are described above. The third risk budget calculation processing unit 13 and the third risk budget that perform the above-mentioned processing operation even when the investment trust management system is provided with the processing operation performed by the advance redemption processing means 17 as an indispensable configuration. It is possible to make an investment trust management system further including a usage rate calculation processing unit 16.

The processing performed by each of the above-mentioned processing means and each processing unit described in this embodiment is controlled by the control means 18 including a CPU, RAM, ROM, and the like.

[System processing flow]
1. 1. First protect line setting process (first phase)
The setting process flow of the first protect line will be described with reference to FIGS. 1 and 6.

(S101)
The investor uses the investor terminal 3 to access the website established by the sales company, applies for the beneficiary right of the fund related to the investment trust management system, and pays the predetermined application amount. Acquire a beneficiary right.
Alternatively, the beneficiary right of the fund is acquired by making the application and paying the application amount at the window of the sales company.
The system 2 in the consignment company receives the application amount through the sales company, and transmits the amount, that is, information on the amount of the fund beneficiary right application from the investor at the time of concluding the investment trust contract, or to the server device 1. Store in system 2 in the consignment company.

(S102)
The first protect line setting means 8 is the asset management after the application according to the amount of the fund beneficiary right application from the investor, that is, the amount of the fund beneficiary right application from the investor at the time of concluding the investment trust contract. The amount of money is unchanged during the period, and the amount set with the aim that the daily base price 19 due to asset management after the application is always exceeded by the amount of the fixed amount is set as the first protect line 20. do.
For example, if the amount of the fund beneficiary right application from the investor, that is, the amount of the fund beneficiary right application from the investor at the time of concluding the investment trust contract is 10,000 yen, or if the investor is before the investment trust establishment date. When the application for the beneficiary right of the fund has been made and the amount of the application for the beneficiary right of the fund from the investor at the time of concluding the investment trust contract is treated as the prescribed amount of 10,000 yen. , The first protect line setting means 8 sets 9,000 yen as the first protect line 20.

(S103)
In the system 2 in the consignment company, the base price 19 by daily asset management is calculated based on all the above-mentioned invested assets, the latest market price, and the like.

(S104)
The advance redemption processing means 17 determines when the daily reference price 19 reaches the amount of the first protect line 20.

(S105)
As a result of the above determination, when the base price 19 drops to the amount of the first protect line 20, the advance redemption processing means 17 performs a process of advance redemption at the amount of 9,000 yen of the first protect line 20.
If the reference price 19 is other than the above, the process returns to S103 again, and the subsequent processes are repeated.

2. 2. Second protect line setting process (first phase to second phase)
A second protect line setting processing flow will be described with reference to FIGS. 1 and 7.

(S201)
After setting the first protect line 20, the system 2 in the consignment company calculates the base price 19 by daily asset management based on all the assets invested, the latest market price, and the like described above.

(S202)
The second protect line setting means 9 is
From the relationship between the amount of the fund beneficiary right application from the investor and the daily base price 19 due to asset management after the application, or
From the relationship between the amount of the first protect line 20 and the daily base price 19 due to asset management after applying for the fund beneficiary right from the investor, or
From the value of the first risk budget calculated by the first risk budget calculation processing unit 11.
It is determined when the daily base price 19 by asset management after the investor applies for the fund beneficiary right, which sets the second protect line 21, reaches a predetermined amount.

(S203)
As a result of the above determination, when the daily base price 19 due to asset management after the application for the fund beneficiary right from the investor reaches a predetermined amount, the second protect line setting means 9 is the first protect line 20. It is higher than the amount and is maintained unchanged during the subsequent asset management, and the daily base price 19 due to asset management after the time when the predetermined amount is reached exceeds the amount that is always maintained unchanged. The amount of money set for the purpose of being operated is set as the second protect line 21.
For example, when the fund beneficiary right application amount is 10,000 yen and the base price 19 is 600 yen higher than that, it is time to set the second protect line 21. When the standard price 19 reaches 10,600 yen, 10,000 yen is set as the second protect line 21.

(S204, S205)
On the other hand, the advance redemption processing means 17 determines the time when the daily base price 19 reaches the amount of the first protect line 20, and when the base price 19 drops to the amount of the first protect line 20, the advance redemption is made. The processing means 17 performs a process of prepayment for the amount of 9,000 yen of the first protect line 20.
If the reference price 19 is other than the above, the process returns to the process of S201 again, and the subsequent processes are repeated.

3. 3. Third protect line setting process (second phase to third phase)
A third protect line setting processing flow will be described with reference to FIGS. 1, 8, and 9.

(S301)
After setting the second protect line 21, the system 2 in the consignment company calculates the base price 19 by daily asset management based on all the assets invested, the latest market price, and the like described above.

(S302)
The third protect line setting means 10 is
From the relationship between the base price 19 when the second protect line 21 is set and the daily base price 19 due to asset management after the second protect line 21 is set, or
From the relationship between the amount of the second protect line 21 and the daily standard price 19 due to asset management after setting the second protect line 21, or
From the value of the second risk budget calculated by the second risk budget calculation processing unit 12.
It is determined when the daily base price 19 by asset management after setting the second protect line 21 for setting the third protect line 22 reaches a predetermined amount.

(S303)
As a result of the above determination, when the daily base price 19 by the asset management after the setting of the second protect line 21 reaches a predetermined amount, the third protect line setting means 10 is during the asset management after that time. It is an amount of a predetermined ratio to the maximum value of the standard price 19 in the above, and it is not reduced after it is set, and the daily standard price 19 by asset management after the time when the predetermined amount is reached is always. The amount of money set with the aim of operating in excess of the amount of money of the predetermined ratio is set as the third protect line 22.
For example, when the base price 19 at the time of setting the second protect line 21 is 10,600 yen and the base price 19 is 511 yen higher than that, the third protect line 22 is set. The protect line setting means 10 of the above is set to determine, and when the reference price 19 becomes 11,111 yen, the third protect line 21 is set to 10,000 yen.

(S304, S305)
On the other hand, the advance redemption processing means 17 determines the time when the daily base price 19 reaches the amount of the second protect line 21, and when the base price 19 drops to the amount of the second protect line 21, the advance redemption is made. The processing means 17 performs a process of prepayment for the amount of 10,000 yen of the second protect line 21.
If the reference price 19 is other than the above, the process returns to the process of S301 again, and the subsequent processes are repeated.

(S306)
After setting the third protect line 22, the system 2 in the consignment company calculates the base price 19 by daily asset management based on all the assets invested, the latest market price, and the like described above.

(S307, S308)
Since the third protect line setting means 10 sets a predetermined ratio amount as the third protect line 22 to the maximum value of the base price 19 during asset management after the third protect line 22 is set, every day. It is determined whether or not the base price 19 of the previous base price 19 has updated the highest value of the previous base price 19, and when the highest price of the previous base price 19 is updated, a predetermined ratio (here, here) to the highest price. , 90% rate) Reset the amount as the third protect line 22. After that, the processing after S306 is repeated.

(S309, S310)
If the base price 19 due to daily asset management after setting the third protect line 22 drops to the amount of the third protect line 22, the advance redemption processing means 17 has a daily base price of 19 as the third protect line. The time when the amount of money of 22 is reached is determined, and the advance redemption processing means 17 performs a process of early redemption at the amount of the third protect line 22.

Although the embodiments of the present invention have been described above, the present invention is not limited to the above-described embodiments, and can be variously modified within the technical scope grasped from the description of the claims.

1 Server device 2 Consignment company system 3 Investor terminal 4, 5 Communication line 6 Information transmission / reception means 7 Storage means 8 First protect line setting means 9 Second protect line setting means 10 Third protect line setting means 11 First 1st risk budget calculation processing unit 12 2nd risk budget calculation processing unit 13 3rd risk budget calculation processing unit 14 1st risk budget usage rate calculation processing unit 15 2nd risk budget usage rate calculation processing unit 16 3rd Risk budget usage rate calculation processing unit 17 Advance redemption processing means 18 Control means 19 Base price 20 First protect line 21 Second protect line 22 Third protect line

Claims (2)

Depending on the amount of fund beneficiary rights application from investors,
An amount obtained by subtracting a predetermined amount from the amount of the fund beneficiary right application based on the amount of the fund beneficiary right application from the investor, or
An amount that is less than the amount of the fund beneficiary right application at a predetermined rate based on the amount of the fund beneficiary right application from the investor.
Protect line setting means to set as a protect line and
When the daily base price due to asset management after setting the protect line drops to the amount of the protect line, the advance redemption processing means for performing the advance redemption processing at the amount of the protect line and the advance redemption processing means.
It is an investment trust management system equipped with
The protect line set by the protect line setting means is an amount that does not change while the daily base price of the asset management after the protection line is set exceeds the amount of the protect line in the asset management after the application. Set as
Investment trust management system . Using the amount of the daily standard price due to asset management after the application and the amount of the protect line,
Calculation formula Risk budget (%) = (base price-protect line amount) ÷ base price x 100
The investment trust management system according to claim 1, further comprising a risk budget calculation processing unit for calculating the risk budget.

Images