Computer-aided financial security analysis system and method

• US 20070016502A1
• Filed: 05/08/2006
• Published: 01/18/2007
• Est. Priority Date: 05/09/2005
• Status: Active Grant

• Current Assignee: JP Morgan Chase Bank, N.A. (JP Morgan Chase & Co)
• Original Assignee: JP Morgan Services LLP (JP Morgan Chase & Co)
• Inventors: Williamson, John, Trahan, Francois, Booth, Kathryn
• Granted Patent: US 7,729,971 B2
• Time in Patent Office: Days
• US Class Current: 705/35
• 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

A computer-aided financial analysis system and method provides research analytical capabilities for modeling financial security holdings that include the capability to conduct multi-dimensional dynamic searches across fundamental research, technical research, market data and exposure to exogenous economic and market factors. The capability to isolate securities most susceptible to market movements and overlay available research analyses on top of this view and to view exposure to directional change in any exogenous economic and market factor on an individual security or portfolio of securities in a real-time, intuitive manner via charts, tables and/or heat maps is also provided.

Claims

1. A method for analyzing a financial portfolio, comprising the steps of:

obtaining coverage ratings data for at least one financial security of a portfolio of securities, and storing said coverage ratings data in at least one database;

obtaining market data associated with said at least one financial security, and storing said market data in said at least one database;

providing a first software tool with access to said coverage ratings data, said market data, and research ratings and research analysis information;

executing a database search function of said first software tool based on at least one selected search filter to identify ones of said at least one financial security which satisfy said at least one selected search filter; and

displaying said ones of said at least one financial security which satisfy said at least one selected search filter.

2. The method according to claim 1, further comprising the steps of:

obtaining correlation data representing a relationship between said at least one financial security and individual factors of a set of preselected exogenous factors, and storing said correlation data in said at least one database;

providing a second software tool with access to said correlation data;

exporting said ones of said at least one financial security which satisfy said at least one selected search filter to said second software tool;

executing a database search function of said second software tool based on at least one selected correlation search parameter to obtain information as to a correlation between said ones of said at least one financial security which satisfy said at least one selected search filter and ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected correlation search parameter; and

displaying said information as to a correlation between said ones of said at least one financial security which satisfy said at least one selected search filter and ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected correlation search parameter.

3. The method according to claim 2, further comprising the steps of de-trending said correlation data and removing seasonality from said correlation data.

4. The method according to claim 3, wherein said steps of de-trending said correlation data and removing seasonality from said correlation data are effected in accordance with the relationship Exposure=[(Stock_T1/S&

P 500_T1)−

(Stock_T0/S&

P_T0)]/(Stock_T0/S&

P_T0) regressed against the YOY Δ

in factor.

5. The method according to claim 1, further comprising the steps of:

obtaining correlation data representing a relationship between said at least one financial security and individual factors of a set of preselected exogenous factors, and storing said correlation data in said at least one database;

providing a third software tool with access to said coverage ratings data, said market data, said research analysis information and said correlation data;

loading said at least one financial security into said third software tool;

executing a multi-dimensional search through said coverage ratings data, said market data, said research analysis information and said correlation data based on at least one selected search criterion to obtain information as to exposure of said at least one financial security to ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected search criterion; and

displaying said information as to exposure of said at least one financial security to ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected search criterion in an intuitive format.

6. The method according to claim 5, wherein said third software tool is further provided with access to industry classification data, and wherein said step of executing a multi-dimensional search includes searching said industry classification data.

7. The method according to claim 5, wherein said intuitive format includes one of a heat map, a chart, a table and a graph.

8. The method according to claim 5, further comprising the steps of de-trending said correlation data and removing seasonality from said correlation data.

9. The method according to claim 8, wherein said steps of de-trending said correlation data and removing seasonality from said correlation data are effected in accordance with the relationship Exposure=[(Stock_T1/S&

P 500_T1)−

(Stock_T0/S&

P_T0)]/(Stock_T0/S&

P_T0) regressed against the YOY Δ

in factor.

10. The method according to claim 1, further comprising the steps of:

obtaining correlation data representing a relationship between said at least one financial security and individual factors of a set of preselected exogenous factors, and storing said correlation data in said at least one database;

providing a fourth software tool with access to said correlation data;

loading said at least one financial security into said fourth software tool;

executing a multi-dimensional search through said correlation data based on at least one selected correlation specification to obtain information as to risk of said at least one financial security relative to market benchmarks and preselected indices associated with said at least one selected correlation specification; and

displaying said information as to risk of said at least one financial security relative to market benchmarks and preselected indices associated with said at least one selected correlation specification.

11. The method according to claim 10, wherein said step of displaying includes presenting a sector level view of said information as to risk of said at least one financial security relative to market benchmarks and preselected indices associated with said at least one selected correlation specification.

12. The method according to claim 10, further comprising the steps of de-trending said correlation data and removing seasonality from said correlation data.

13. The method according to claim 12, wherein said steps of de-trending said correlation data and removing seasonality from said correlation data are effected in accordance with the relationship Exposure=[(Stock_T1/S&

P 500_T1)−

(Stock_T0/S&

P_T0)]/(Stock_T0/S&

P_T0) regressed against the YOY Δ

in factor.

14. The method according to claim 1, wherein said market data includes at least one of EPS, consensus ratings, Beta, short interest ratio, target prices, close, price-to-earnings, yield, market capitalization, year high, year low, difference between close and consensus target, PEG, free cash flow and free cash flow yield.

15. The method according to claim 1, wherein said coverage ratings data are obtained via a data feed from at least one of internal and external research sources.

16. The method according to claim 1, wherein said market data are obtained via a data feed from external market data sources.

17. The method according to claim 1, further comprising the step of determining changes in said coverage ratings data and updating said first software tool based on said changes in said coverage ratings data.

18. The method according to claim 1, further comprising the step of calculating EPS estimate changes based on said market data.

19. The method according to claim 18, wherein said step of calculating EPS estimate changes includes the steps of calculating EPS growth estimates for said at least one financial security'"'"'s current fiscal year according to the relationship EPS Growth Estimate Current FY=(Current FY EPS estimate−

Last FY EPS)/LAST FY EPS, and calculating EPS growth estimates for said at least one financial security'"'"'s next fiscal year according to the relationship EPS Growth Estimate Next FY=(Next FY EPS estimate−

Current FY EPS Estimate)/Current FY EPS Estimate.

20. The method according to claim 1, further comprising the step of inserting hyperlinks in said first software tool.

21. A system for analyzing a financial portfolio, comprising:

means for obtaining coverage ratings data for at least one financial security of a portfolio of securities;

means for obtaining market data associated with said at least one financial security;

a database for storing said coverage ratings data and said market data;

a first software tool having access to said coverage ratings data, said market data, and research ratings and research analysis information;

means associated with said first software tool for searching said database based on at least one selected search filter to identify ones of said at least one financial security which satisfy said at least one selected search filter; and

means for displaying said ones of said at least one financial security which satisfy said at least one selected search filter.

22. The system according to claim 21, further comprising:

means for obtaining correlation data representing a relationship between said at least one financial security and individual factors of a set of preselected exogenous factors;

a second software tool having access to said correlation data, said correlation being stored in said database;

means for exporting said ones of said at least one financial security which satisfy said at least one selected search filter to said second software tool;

means associated with said second software tool for searching said database based on at least one selected correlation search parameter to obtain information as to a correlation between said ones of said at least one financial security which satisfy said at least one selected search filter and ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected correlation search parameter; and

means for displaying said information as to a correlation between said ones of said at least one financial security which satisfy said at least one selected search filter and ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected correlation search parameter.

23. The system according to claim 21, further comprising:

means for obtaining correlation data representing a relationship between said at least one financial security and individual factors of a set of preselected exogenous factors, and storing said correlation data in said at least one database;

a third software tool having access to said coverage ratings data, said market data, said research analysis information and said correlation data;

means for loading said at least one financial security into said third software tool;

means associated with said third software tool for executing a multi-dimensional search through said coverage ratings data, said market data, said research analysis information and said correlation data based on at least one selected search criterion to obtain information as to exposure of said at least one financial security to ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected search criterion; and

means for displaying said information as to exposure of said at least one financial security to ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected search criterion in an intuitive format.

24. The system according to claim 23, wherein said intuitive format includes one of a heat map, a chart, a table and a graph.

25. The system according to claim 21, further comprising:

means for obtaining correlation data representing a relationship between said at least one financial security and individual factors of a set of preselected exogenous factors, and storing said correlation data in said at least one database;

a fourth software tool having access to said correlation data;

means for loading said at least one financial security into said fourth software tool;

means associated with said fourth software tool for executing a multi-dimensional search through said correlation data based on at least one selected correlation specification to obtain information as to risk of said at least one financial security relative to market benchmarks and preselected indices associated with said at least one selected correlation specification; and

means for displaying said information as to risk of said at least one financial security relative to market benchmarks and preselected indices associated with said at least one selected correlation specification.

26. The system according to claim 25, wherein said means for displaying includes means for presenting a sector level view of said information as to risk of said at least one financial security relative to market benchmarks and preselected indices associated with said at least one selected correlation specification.

27. The system according to claim 21, wherein said market data includes at least one of EPS, consensus ratings, Beta, short interest ratio, target prices, close, price-to-earnings, yield, market capitalization, year high, year low, difference between close and consensus target, PEG, free cash flow and free cash flow yield.

28. The system according to claim 21, wherein said means for obtaining coverage ratings data includes a data feed from at least one of internal and external research sources.

29. The system according to claim 21, wherein said means for obtaining market data includes a data feed from external market data sources.

30. The system according to claim 21, further comprising means for determining changes in said coverage ratings data and updating said first software tool based on said changes in said coverage ratings data.

31. The system according to claim 21, further comprising means for calculating EPS estimate changes based on said market data.

32. A computer program product comprising a computer usable medium having a computer readable program code means embodied in said medium for causing an application program to execute on a computer for analyzing a financial portfolio, said computer readable program code means comprising:

means for obtaining coverage ratings data for at least one financial security of a portfolio of securities;

means for obtaining market data associated with said at least one financial security;

means for storing said coverage ratings data and said market data in a database;

a first software tool having access to said coverage ratings data, said market data, and research ratings and research analysis information;

means associated with said first software tool for searching said database based on at least one selected search filter to identify ones of said at least one financial security which satisfy said at least one selected search filter; and

means for displaying said ones of said at least one financial security which satisfy said at least one selected search filter.

33. The computer program product according to claim 32, further comprising:

means for obtaining correlation data representing a relationship between said at least one financial security and individual factors of a set of preselected exogenous factors;

a second software tool having access to said correlation data, said correlation being stored in said database;

means for exporting said ones of said at least one financial security which satisfy said at least one selected search filter to said second software tool;

means associated with said second software tool for searching said database based on at least one selected correlation search parameter to obtain information as to a correlation between said ones of said at least one financial security which satisfy said at least one selected search filter and ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected correlation search parameter; and

means for displaying said information as to a correlation between said ones of said at least one financial security which satisfy said at least one selected search filter and ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected correlation search parameter.

34. The computer program product according to claim 32, further comprising:

means for obtaining correlation data representing a relationship between said at least one financial security and individual factors of a set of preselected exogenous factors, and storing said correlation data in said at least one database;

a third software tool having access to said coverage ratings data, said market data, said research analysis information and said correlation data;

means for loading said at least one financial security into said third software tool;

means associated with said third software tool for executing a multi-dimensional search through said coverage ratings data, said market data, said research analysis information and said correlation data based on at least one selected search criterion to obtain information as to exposure of said at least one financial security to ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected search criterion; and

means for displaying said information as to exposure of said at least one financial security to ones of said individual factors of said set of preselected exogenous factors associated with said at least one selected search criterion in an intuitive format.

35. The computer program product according to claim 34, wherein said intuitive format includes one of a heat map, a chart, a table and a graph.

36. The computer program product according to claim 32, further comprising:

means for obtaining correlation data representing a relationship between said at least one financial security and individual factors of a set of preselected exogenous factors, and storing said correlation data in said at least one database;

a fourth software tool having access to said correlation data;

means for loading said at least one financial security into said fourth software tool;

means associated with said fourth software tool for executing a multi-dimensional search through said correlation data based on at least one selected correlation specification to obtain information as to risk of said at least one financial security relative to market benchmarks and preselected indices associated with said at least one selected correlation specification; and

means for displaying said information as to risk of said at least one financial security relative to market benchmarks and preselected indices associated with said at least one selected correlation specification.

37. The computer program product according to claim 36, wherein said means for displaying includes means for presenting a sector level view of said information as to risk of said at least one financial security relative to market benchmarks and preselected indices associated with said at least one selected correlation specification.

38. The computer program product according to claim 32, wherein said market data includes at least one of EPS, consensus ratings, Beta, short interest ratio, target prices, close, price-to-earnings, yield, market capitalization, year high, year low, difference between close and consensus target, PEG, free cash flow and free cash flow yield.

39. The computer program product according to claim 32, wherein said coverage ratings data is obtained from a data feed from at least one of internal and external research sources.

40. The computer program product according to claim 32, wherein said market data is obtained from a data feed from external market data sources.

41. The computer program product according to claim 32, further comprising means for determining changes in said coverage ratings data and updating said first software tool based on said changes in said coverage ratings data.

42. The computer program product according to claim 32, further comprising means for calculating EPS estimate changes based on said market data.