JP2002140523A - Execution evaluation system - Google Patents

Abstract

(57) [Summary] [Problem] While performing evaluations corresponding to individual transactions,
It is an object of the present invention to provide an execution evaluation system that performs an evaluation service in consideration of the characteristics of a target stock in consideration of a market situation at the time of actually conducting a transaction. SOLUTION: Transaction data for each transaction of a trade target brand is inputted from a transaction data input section 4 and market data of a trade target brand is inputted from a transaction market data input section 6. The measurement operation processing unit 2 measures the total cost of each traded issue for each transaction based on the transaction data, and measures the benchmark cost of the traded issue based on the market data. A relative evaluation index for each transaction is obtained from the measured total cost and benchmark cost, and the output means outputs a relative evaluation index for each transaction of the target brand for each transaction.

Description

DETAILED DESCRIPTION OF THE INVENTION

[0001]

The present invention relates to an investment advisory company,
The present invention relates to an execution evaluation system for evaluating the execution of sales and purchases associated with the management of pension assets at trust banks and the like.

[0002]

2. Description of the Related Art Conventionally, investment advisory companies, trust banks, life insurance companies, etc. (hereinafter referred to as "management companies") entrusted with management of pensions by pension sponsors, such as the Employees' Pension Fund Federation, have been operating. Reports to the pension sponsors about once a quarter.
In this investment performance report, the fees etc. for executing stock transactions are paid out of the assets under management, so the management company determines the ordering share based on an objective method of judging the execution ability of the securities company In order to evaluate the operation performance such as whether or not there is a transaction cost that can be reduced,
In recent years, explanations have also been required for the cost of executing trades.

[0003] Here, the execution evaluation method taking into account the costs associated with execution of trades includes a contract price and a volume-weighted average stock price (V
Compared to WAP (Volume Weighted Average Price), VWA determines that trading is good if it can be purchased cheaper than VWAP or if it can be sold higher.
The P method exists. In addition, the implementation of the portfolio manager as an evaluation method that regards the price deterioration that occurs during the process of realizing the investment idea as cost is considered.
Short Fall (IS: Implementation Shortfal
l) A law exists. In the IS method, a cost called an opportunity cost is recorded when a portfolio manager does not actually purchase (sell) even though he / she intends to purchase (sell). That is, this is an evaluation method that considers that the cost in trading occurs not only from the contracted portion but also from the uncontracted portion.

[0004] Conventionally, the IS method is generally adopted in the execution evaluation organization, and what is reported in the evaluation report is the total cost (total cost) measured by the IS method.
And a cost figure obtained by factorizing the cost.
However, there are two types of funds, one of which tends to increase transaction costs and the other of which tends to decrease transaction costs depending on the investment policy. Therefore, it is difficult to determine the trading advantage by comparing these costs alone. For example, in general, small-cap stocks have lower liquidity, so a fund that manages only small-cap stocks tends to have higher transaction costs than a fund that manages only large-cap stocks. Therefore, transactions are classified into groups such as large-cap stocks and small-cap stocks based on a large number of customer data, the average value of transaction costs is calculated for each group, and this average value is compared with the transaction cost calculated by the IS method. There is a way to do that.

[0005]

By the way, the transaction cost in the execution of a trade depends on the tendency peculiar to the brand, that is, the characteristics of the brand such as whether the trading volume is large or the price is large, and the fund management style. In addition to the impacts and costs arising from lost opportunities, they are also affected by market conditions. However, since the evaluation reflecting the market situation is not performed by the method of comparing the transaction cost for each group with the transaction cost calculated by the IS method, it is difficult to perform accurate evaluation. Furthermore, a large amount of past transaction data is required to calculate the average cost for each group, and evaluation is performed using one average cost within a group classified by large-cap stock, small-cap stock, etc. There was a problem that evaluation corresponding to the transaction was difficult. An object of the present invention is to provide an execution evaluation system that performs a detailed evaluation corresponding to each transaction, and provides an evaluation service that takes into account the characteristics of a target brand in consideration of a market situation at the time of actually conducting a transaction. To provide.

[0006]

According to a first aspect of the present invention, there is provided an execution evaluation system wherein transaction data input means for inputting transaction data for each transaction of a trade target issue, and market data for each issue of the trade target issue. Market data input means, total cost measuring means for measuring the total cost of each traded issue per transaction based on the transaction data, and benchmark cost for measuring the benchmark cost of the traded issue based on the market data; Measuring means, calculating means for calculating a relative valuation index for each transaction based on a total cost per transaction of the target issue and a benchmark cost of the transaction target, and a relative valuation index for each transaction per transaction. Output means for outputting.

According to this execution evaluation system, the total cost is measured based on the transaction data input by the transaction data input means, and the benchmark cost is measured based on the market data input by the market data input means. Is measured. Based on the measured total cost and benchmark cost, a relative evaluation index is obtained for each trade in the traded issue, and the result is output. Therefore, since the relative evaluation index is calculated for each transaction of the target brand, detailed execution evaluation can be performed.

According to a second aspect of the present invention, in the execution evaluation system, the total cost measuring means uses the implementation shortfall method based on the transaction data of each traded issue for each transaction to execute the short-fall method. It is characterized by measuring the total cost. This claim 2
According to the execution evaluation system described above, the total cost is measured for each traded issue by the implementation shortfall method, so that the execution evaluation for each transaction can be performed more finely in consideration of the opportunity cost. It can be carried out.

Further, in the execution evaluation system according to the third aspect, the benchmark cost measuring means is based on the market weighted average stock price in the period from the decision time of the portfolio manager to the evaluation date based on the market data of the target stock. It is characterized by measuring the benchmark cost of the target stock. According to the execution evaluation system of the third aspect, the benchmark is measured by the benchmark cost measuring means based on the volume-weighted average stock price during the period from the decision point of the portfolio manager to the evaluation date. An evaluation can be made that reflects the trends specific to the target issue.

According to a fourth aspect of the present invention, the execution evaluation system is characterized in that the output means totalizes the relative evaluation index for each transaction of the target brand for a specified period and outputs the totaling result. According to the execution evaluation system according to the fourth aspect, since the relative evaluation index summed up for the specified period can be referred to, the transactions performed in the specified period for the target stock in the medium to long term can be performed. It is possible to judge whether or not it is excellent when viewed.

[0011]

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS An execution evaluation system according to an embodiment of the present invention will be described below with reference to FIGS. FIG. 1 is a block diagram of the execution evaluation system according to the embodiment. As shown in this figure, the execution evaluation system has a measurement operation processing unit 2 for performing a process for evaluating the execution of stock trading of a management company, and inputs transaction data of a target brand to the measurement operation processing unit 2. And a market data input unit 6 for inputting market data of a target brand. The transaction data input unit 4 and the market data input unit 6 include a communication control device,
Floppy (registered trademark) disk drive, CD-RO
It is composed of an M drive, a network system, a keyboard and the like. An evaluation result output unit 8 that outputs an evaluation result of stock trading is connected to the measurement calculation processing unit 2. The evaluation result output unit 8 includes a communication control device,
Floppy disk drive, CD-ROM drive,
It is composed of a network system, a printer and the like.

Next, an execution evaluation process performed by the execution evaluation system will be described with reference to FIGS. First, as shown in FIG. 2, all the transaction data of the traded issues are entered for each transaction (step S).
1). The transaction data specifically refers to the number of shares actually purchased (sold), the contract price, the number of shares that the portfolio manager attempted to purchase (sold), and the like. Next, market data for each issue related to all traded issues that have been traded is input (step S2). The market data specifically refers to daily stock price data and trading volume data for each day from the decision point of the portfolio manager to the expiration date of the order. Here, the term of validity of an order refers to a term for purchasing (selling) all the stocks ordered by the portfolio manager from the trader and the number of shares (V) for which the stocks of the stocks should be purchased (sold).

Next, based on the transaction data input in step S1, the total cost of each transaction generated during the transaction is measured using the IS method (step S3). Less than,
A description will be given by taking, as an example, the i-th trade performed among a plurality of trades performed within a designated period since the portfolio manager's decision. Here, as shown in FIG. 3, the total cost is measured from the decision-making time (t ₀ ) of the portfolio manager to the expiration date of the order with respect to the trader (trading end time: t _T ) as a calculation period. Note that the last day of the order effective date specified by the portfolio manager for the trader at the time of decision is called the evaluation date. If the portfolio manager has not specified the order expiration date, the decision date is set as the evaluation date.

The total cost is the sum of execution costs (including fees such as commissions) generated by executing trades and opportunity costs generated by opportunity loss. Specifically, at time t ₀ , the portfolio manager makes a decision to purchase V shares, and at time t _e , _execution of V _e shares is established, the total cost (Total Cost) from the trading period t ₀ to t _T. Is measured by Expression 1.

[Equation 1] Total Cost (i) = (P ₀ (i) −P _e (i)) V _e (i) −commission
(i) + (P ₀ (i) −P _T (i)) (V (i) −V _e (i)) where P ₀ is the market price of the portfolio manager at the time of decision making, and P _e is the contracted unit price. , V _e is the number of shares executed during the trading period, _PT is the market price at the end of trading, and V is the number of shares initially intended to be bought and sold by the portfolio manager.

Next, a benchmark cost is measured based on the market data input in step S2 (step S2).
4). The benchmark cost is _{calculated based on} the VWAP (P _vwap ) from the decision of the portfolio manager to the evaluation date.
Is the cost assuming that the total number of shares of the specified stock has been executed. That is, the benchmark cost is a transaction cost in the case where the trader has performed an average transaction in the market from the decision point of the portfolio manager to the evaluation date. Specifically, the benchmark cost (Benchmark Cost) is measured by Expression 2.

Benchmark Cost (i) = (P ₀ (i) −P _vwap (i)) V (i)

VWAP is a method for multiplying the contract price of each transaction by the number of contracts executed in a transaction performed within the period from the decision point of the portfolio manager to the evaluation date, and multiplying the multiplied by the number of contracts to be specified for the designated period of the target issue. The sum calculated and totaled for all transactions in the above is divided by the number of contracts executed in all transactions, and the average contract price per share is calculated. That is, it indicates the average contract price per share of the stock traded during the designated period. Specifically, it is calculated by Expression 3.

(Equation 3) Here, j represents all contracts from the decision time 0 (t ₀ ) of the transaction i to the trading end time T (t _T ).

Next, a relative evaluation index is calculated based on the measured total cost and benchmark cost (step S5). Specifically, the relative evaluation index is calculated by Expression 4.

[Equation 4] Relative evaluation index (i) = (Total Cost (i) −Benchmar
k Cost (i)) / P ₀ (i) V (i)

When the relative valuation index is calculated for one transaction of the target brand, whether or not the relative valuation index for each transaction has been calculated for all the brands and transactions in the input transaction data and market data. A determination is made (step S
6). If it is determined in step S6 that the calculation of the relative evaluation index for all issues and transactions has been completed for each transaction, the relative evaluation index is output (step S6).
7).

On the other hand, if it is determined in step S6 that the calculation of the relative valuation indices for each transaction has not been completed for all of the traded issues, the process returns to step S3 and repeats steps S3 to S6. Calculate the relative valuation index for each trade of a brand. When the relative valuation index for each transaction is calculated for all issues and transactions, the relative valuation index is output (step S7). According to the execution evaluation system according to this embodiment, the transaction data input unit 4 The total cost is measured based on the input transaction data, and the benchmark cost is measured based on the market data input by the market data input unit 6. Further, based on the measured total cost and benchmark cost, the measurement calculation processing unit 2 calculates a relative evaluation index for each transaction of the target brand for each transaction.
Therefore, it is possible to evaluate the operation performance corresponding to each transaction of the target brand, and it is possible to perform a detailed evaluation.

Further, the measurement operation processing unit 2 measures the total cost for each transaction by the IS method. Therefore, it is possible to perform a more detailed execution evaluation of each transaction in consideration of the opportunity cost. In addition, the market data input by the market data input unit 6,
That is, the benchmark cost is calculated based on the intraday stock price data and trading volume data every day from the decision point of the portfolio manager to the expiration date of the order. Therefore, it is possible to carry out an evaluation reflecting the market situation at the time of the actual execution and the tendency peculiar to the target brand. Also,
The relative evaluation indices measured by the measurement calculation processing unit 2 are totaled for a specified period and output via the evaluation result output unit 8, specifically, a communication control device, a network, or the like. The execution evaluation can also be performed from the viewpoint of whether or not the operation policy for a certain period is realized.

In the above-described embodiment, the benchmark cost is obtained based on the VWAP from the time when the portfolio manager makes a decision to the evaluation date. The correction may be made based on the market capitalization of the ordered brand, the quote spread of the ordered brand, the portfolio management style, and the like. In the above-described embodiment, the total cost is measured based on the IS method, and the benchmark cost is measured based on the VWAP method. However, the total cost and the benchmark cost are measured by another method. You may.

[0022]

According to the first aspect of the present invention, the total cost and the benchmark cost are measured for each trade of the traded issue, and the relative evaluation index is obtained for each trade of the traded issue based on these. ing. Therefore, it is possible to evaluate the operation results corresponding to each transaction of the target brand, and it is possible to perform a detailed evaluation. In addition, since the execution status of the management company can be evaluated in detail, it contributes to clarification of execution costs, further improves the business content of the management company and provides appropriate information necessary for pension sponsors to select a management company Becomes possible.

According to the second aspect of the present invention, since the total cost is measured by the implementation shortfall method for each trade of the traded issue, the total cost is measured in consideration of the opportunity cost. Can be measured, and a detailed evaluation can be performed for each transaction. According to the third aspect of the present invention, since the benchmark cost of each target stock is measured during the period from the decision-making time of the portfolio manager to the valuation date, the market situation and the trading situation at the time of the actual execution are measured. An evaluation can be made that reflects the trends specific to the target issue. According to the fourth aspect of the present invention, since the relative valuation index summed up for a specified period can be referred to, transactions performed in a specified period on the target stock in a specified period are viewed in the medium to long term. In this case, it can be determined whether or not it is excellent overall.

[Brief description of the drawings]

FIG. 1 is a block diagram of an execution evaluation system according to an embodiment of the present invention.

FIG. 2 is a flowchart illustrating an execution evaluation process of the execution evaluation system according to the embodiment of the present invention;

FIG. 3 is a diagram for explaining a total cost measurement process according to the embodiment of the present invention;

[Explanation of symbols]

2 ... Measurement calculation processing unit, 4 ... Transaction data input unit, 6 ...
Market data input unit, 8 ... Evaluation result output unit.

Claims (4)

[Claims] 1. Transaction data input means for inputting transaction data for each transaction of a target issue, market data input means for inputting market data for each issue of the target issue, and one transaction of the target issue A total cost measuring means for measuring a total cost for each issue based on the transaction data; a benchmark cost measuring means for measuring a benchmark cost for each issue of the issue target based on the market data; Calculating means for calculating a relative evaluation index for each transaction based on a total cost for each transaction and a benchmark cost for each issue of the target issue; and a relative evaluation index for each transaction for the target issue obtained by the operation means. And an output unit for outputting. 2. The total cost measuring means measures a total cost per transaction of the target brand by an implementation short fall method based on transaction data of each transaction of the target brand. The execution evaluation system according to claim 1, wherein: 3. The benchmark cost measurement means, based on market data for each issue of the issue target, based on the volume-weighted average stock price during the period from the time of decision of the portfolio manager to the valuation date. 2. The execution evaluation system according to claim 1, wherein a benchmark cost for each brand is measured. 4. The execution evaluation system according to claim 1, wherein said output means totalizes a relative evaluation index for each transaction of said trade target issue for a designated period and outputs a totaling result.