EXCESS EARNING RATE PREDICTION SYSTEM AND DECISION-MAKING SUPPORTING SYSTEM

摘要

PROBLEM TO BE SOLVED: To quantitatively predict the excess earning rate of a bond portfolio. SOLUTION: An yield dissociation degree calculation part 34 obtains the dissociation width of yield from the non-risk rate and spread of a benchmark and the non-risk rate and spread of the portfolio. A tracking error calculation part 35 obtains the tracking error of the portfolio from the variance of the fluctuation width of average yield and the variance of the fluctuation width of average spread.