トラッキングエラーは十人十色！(日経平均edition)

Mc.N の投信都市: トラッキングエラーは十人十色！の続き。

日経平均で再試してみた。

TOPIXの場合、組入れ銘柄が1000銘柄を超えるので完全法を採用している所はあまり無い様子。しかし日経平均は225銘柄を集めるだけで完全法で実現できるので、TOPIX連動型と比べると日経平均連動型の方がベンチマークからの剥離は少ないと予想しました。

• 調査対象は日経平均(日経225)と日経平均に連動するインデックス型投資信託
• 調査日は07.01.04～07.11.16まで
• 抽出方法は、日々の騰落率を算出し、絶対値が 0.1% 以上剥離した日を抽出しました

順番は「日付、TOPIX日経平均の騰落率、ファンドの騰落率、騰落率差分の絶対値」です。

日経２２５ノーロードオープン (DIAM) - 47311988

2007-03-27,-0.896,-0.420,0.475
2007-08-17,-5.417,-5.288,0.130
2007-09-25,0.546,1.010,0.463
2007-11-13,-0.464,-0.566,0.102

インデックスファンド２２５ (三菱UFJ投信) - 03311865

2007-03-27,-0.896,-0.456,0.440
2007-09-25,0.546,1.004,0.458

ＭＨＡＭ株式インデックスファンド２２５ (みずほ投信) - 0831185A
10/24は分配日で15円配当。

2007-03-27,-0.896,-0.442,0.453
2007-09-25,0.546,1.015,0.469
2007-10-24,-0.560,-1.069,0.509

やっぱり面白くないｗ

3/27、9/25でベンチマークより投資信託の運用が上回っている理由は「配当金は配当落ちの日に「予定」で計上」しているからとのこと(Thanx, あらきさん)。

これでは私が面白くない。日経２２５連動型上場投資信託 (1321)を引き合いに出させてもらおうｗ。大体、15000円台で売買が行われているので、さぞかしベンチマークとの剥離が少ないだろう、なんてことは無い。

所詮は ETF。ベンチマークに連動するには賢い投資家同士による売買が必要なわけさ。

2007-01-04,0.742,0.633,0.109
2007-01-18,0.635,0.459,0.176
2007-01-19,-0.348,-0.229,0.120
2007-01-26,-0.208,-0.624,0.416
2007-01-29,0.279,0.628,0.349
2007-02-01,0.783,0.912,0.129
2007-02-02,0.158,0.056,0.101
2007-02-07,-0.658,-0.513,0.145
2007-02-08,0.001,-0.172,0.173
2007-02-09,1.225,1.434,0.209
2007-02-13,0.669,0.509,0.160
2007-02-14,0.744,0.957,0.212
2007-02-15,0.814,0.613,0.201
2007-02-16,-0.121,-0.277,0.156
2007-02-20,-0.005,0.111,0.116
2007-02-22,1.092,0.829,0.263
2007-02-23,0.440,0.713,0.273
2007-02-28,-2.847,-3.118,0.272
2007-03-05,-3.343,-3.116,0.228
2007-03-06,1.215,1.072,0.143
2007-03-07,-0.474,-0.236,0.239
2007-03-08,1.943,1.772,0.171
2007-03-09,0.431,0.580,0.149
2007-03-14,-2.922,-3.345,0.423
2007-03-15,1.100,1.432,0.332
2007-03-19,1.585,1.776,0.191
2007-03-20,0.903,1.047,0.144
2007-03-22,1.492,1.209,0.283
2007-03-26,0.237,0.340,0.104
2007-03-27,-0.896,-0.283,0.613
2007-03-28,-0.635,-1.020,0.385
2007-04-12,-0.734,-0.949,0.215
2007-04-13,-1.006,-0.789,0.217
2007-04-17,-0.572,-0.280,0.292
2007-04-18,0.798,0.337,0.461
2007-04-19,-1.672,-1.566,0.106
2007-04-20,0.464,0.284,0.180
2007-04-23,0.016,0.283,0.268
2007-04-24,-0.021,-0.282,0.262
2007-04-25,-1.235,-0.963,0.272
2007-04-27,-0.165,-0.283,0.118
2007-05-02,0.694,0.971,0.277
2007-05-07,1.580,1.415,0.166
2007-05-10,-0.063,0.056,0.118
2007-05-18,-0.566,-0.732,0.166
2007-05-22,0.702,0.843,0.142
2007-05-24,-0.046,-0.167,0.121
2007-05-25,-1.219,-1.116,0.103
2007-05-28,0.609,0.734,0.125
2007-06-04,0.081,0.275,0.194
2007-06-05,0.447,0.329,0.118
2007-06-11,0.312,0.055,0.256
2007-06-12,-0.413,-0.111,0.302
2007-06-13,-0.158,-0.333,0.174
2007-06-14,0.618,0.723,0.106
2007-06-22,-0.283,-0.108,0.175
2007-06-25,-0.556,-0.759,0.203
2007-06-26,-0.118,0.109,0.227
2007-06-27,-1.200,-1.309,0.109
2007-06-28,0.465,0.608,0.143
2007-06-29,1.149,0.989,0.160
2007-07-02,0.044,0.163,0.119
2007-07-03,0.020,-0.326,0.346
2007-07-04,0.104,-0.163,0.267
2007-07-09,0.667,0.492,0.175
2007-07-13,1.417,1.546,0.129
2007-07-17,-0.119,-0.272,0.153
2007-07-18,-1.107,-0.927,0.180
2007-07-19,0.561,0.385,0.175
2007-07-26,-0.875,-1.001,0.125
2007-07-27,-2.363,-2.134,0.229
2007-08-01,-2.191,-2.530,0.339
2007-08-02,0.671,1.003,0.332
2007-08-03,-0.025,0.117,0.142
2007-08-06,-0.385,-0.817,0.432
2007-08-07,0.043,0.353,0.310
2007-08-08,0.635,0.879,0.244
2007-08-09,0.830,0.639,0.191
2007-08-13,0.215,0.059,0.155
2007-08-15,-2.191,-2.475,0.284
2007-08-16,-1.985,-2.236,0.250
2007-08-17,-5.417,-4.759,0.658
2007-08-21,1.073,0.756,0.317
2007-08-22,-0.004,0.313,0.317
2007-08-23,2.614,2.743,0.129
2007-08-24,-0.413,-0.728,0.315
2007-08-29,-1.686,-1.402,0.285
2007-08-30,0.880,0.742,0.139
2007-09-04,-0.632,-0.780,0.148
2007-09-06,0.610,0.491,0.118
2007-09-11,0.715,0.441,0.274
2007-09-12,-0.504,-0.251,0.254
2007-09-13,0.149,0.000,0.149
2007-09-14,1.936,2.074,0.139
2007-09-18,-2.019,-1.786,0.233
2007-09-19,3.669,3.511,0.158
2007-09-20,0.197,-0.061,0.257
2007-09-25,0.546,0.975,0.429
2007-09-26,0.207,0.362,0.155
2007-09-28,-0.276,-0.470,0.193
2007-10-02,1.192,1.293,0.101
2007-10-03,0.898,0.754,0.144
2007-10-04,-0.624,-0.403,0.221
2007-10-05,-0.161,0.000,0.161
2007-10-12,-0.732,-0.849,0.117
2007-10-23,0.074,0.180,0.107
2007-10-25,-0.454,-0.665,0.211
2007-10-26,1.360,1.521,0.161
2007-10-31,0.520,0.237,0.283
2007-11-01,0.793,1.125,0.332
2007-11-02,-2.092,-2.225,0.133
2007-11-05,-1.505,-1.257,0.247
2007-11-06,-0.119,-0.243,0.124
2007-11-07,-0.941,-0.790,0.151
2007-11-08,-2.020,-2.267,0.247
2007-11-12,-2.479,-2.284,0.195
2007-11-13,-0.464,-1.039,0.575
2007-11-14,2.465,2.953,0.487
2007-11-15,-0.666,-0.829,0.162
2007-11-16,-1.570,-1.221,0.349