Computerized method and system for score based evaluation of capital market investment decisions and strategies

• US 20030004846A1
• Filed: 06/14/2001
• Published: 01/02/2003
• Est. Priority Date: 06/14/2001
• Status: Active Grant

• Current Assignee: International Business Machines Corporation
• Original Assignee: International Business Machines Corporation
• Inventors: Schneider, Jens-Uwe
• Granted Patent: US 7,376,610 B2
• Time in Patent Office: Days
• US Class Current: 705/36
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

The disclosed computer-implemented investment management process particularly in the field of high yield corporate bond financial market consists of five distinct process phases. In a first phase, the financial market under evaluation is researched in order to obtain all the market business information necessary for the following market evaluation phases. The next three phases, as marked by the dotted line, are all part of the central evaluation process that will be described in more detail hereinafter. The first evaluation phase is a filtering phase where the market business information obtained from the previous research phase are filtered in order to separate useful information from non-useful information. In a following phase, the filtered business information at first is input to a subscoring process and thereafter to a scoring process. Finally, the obtained evaluation results (scores) are presented to a user in form of a recommendation displayed on a monitor or printed in paper format.

Claims

1. A method for carrying out computerized evaluation of capital market financial assets, in particular for computer-assisted generation of investment decisions and/or strategies in the field of corporate bonds including high yield corporate bonds, comprising at least three evaluation phases, a first evaluation phase for filtering obtained market business information in order to separate useful information from non-useful information, a second evaluation phase where said filtered market business information is processed by a subscoring process, and a third evaluation phase where the results of said subscoring process are processed by a scoring process.

2. Method according to claim 1, wherein said first phase of filtering comprises two levels, a first level where assets and asset owners within the market in view of the context of the underlying market compared to other markets are determined and clustered into one of four interlinked areas, and a second level where, based on the output of said clustering, a low level market analysis is performed.

3. Method according to claim 2, wherein said asset information is assigned to one of a number of preferably four containers which contain assets and asset owners within the market in view of the context of an underlying market compared to other markets for an underlying evaluation model.

4. Method according to claim 2, wherein said second phase of subscoring comprises the particular step of comparing values of a number of parameters with corresponding benchmark values provided by a knowledge database and assigning to each parameter a subscore.

5. Method according to claim 4, wherein said third phase of scoring comprises the particular step of calculating a score based on said determined subscores and a predetermined dependency matrix providing dependencies between predefined determinants and a predetermined preference matrix providing multiplicators used for weighting said determined subscores.

6. Method according to claim 1, comprising the steps of:

gathering investment relevant market business information;

filtering said gathered market business information into four interlinked areas, wherein the first of said four interlinked areas relates to individual HY issue position, wherein the second of said four interlinked areas relates to market and industry condition, wherein the third of said four interlinked areas relates to demand status, and wherein the fourth of said four interlinked areas relates to supply status.

7. Method according to claim 6, wherein said four interlinked areas comprise twelve determinants and wherein the determinants of said first interlinked area comprise market position, financial position and HY bond features, wherein the determinants of said second area comprise fundamental condition, technical condition and political condition, wherein the determinants of said third area comprise investor'"'"'s appetite, demand competition and demand substitutes, and wherein the determinants of said fourth area comprise supply substitutes, supply competition and investment banks.

8. Method according to claim 7, wherein each determinant is evaluated using a radar scheme where each determinant is represented by one dimension of said radar scheme, said radar scheme consisting of a radar-like coordinate system, comprising a multitude of dimensions, each dimension relating to one of said determinants.

9. Method according to claim 8, wherein an outer circle of said radar scheme represents the maximum possible subscore values, a medium circle represents an intermediate subscore value and a center of the radar scheme represents a zero subscore value.

10. Method according to claim 1 or 8, wherein said scoring process consists of the following process stages:

A first stage where determinants to consider are defined and existing dependencies between said defined determinants are identified;

a second stage where said determinants are weighted whereby defining the relative importance of each determinant and possible score ranges;

a third stage where said defined determinants are analyzed and scored, information concerning the above mentioned criteria is collected and then a score for each determinant determined, the determined scores are multiplied times the defined weights of each determinant and finally the scores of each determinant are added to obtain an overall score; and

a fourth stage where all score intervals are defined, sets of possible recommendations are determined and the possible recommendations are linked to intervals.

11. Method according to claim 10, wherein said dependencies between said determinants are processed using a dependency matrix.

12. Method according to claim 11, wherein said dependency matrix comprises two dimensions X, Y, each direction X, Y of said table comprising all determinants of the underlying evaluation model, wherein providing three types of dependencies, an X-Type stating that an X-Axis determinant influences an Y-Axis determinant, an Y-Type stating that a Y-Axis determinant has an impact on an X-Axis determinant, and a Z-Type stating a mutual dependency on each other.

13. Method according to claim 10, wherein said weighting is based on a preference matrix wherein each determinant is weighted with each determinant.

14. A computer program product stored on a computer usable medium, comprising computer readable program means for causing a computer to perform a method according to claim 1 when said program is run on said computer.

15. A data processing system programmed to carry out the steps of claim 1.