SYSTEMS, METHODS AND COMPUTER PROGRAM PRODUCTS FOR CREATING A TURNOVER EFFICIENT FRONTIER FOR AN INVESTMENT PORTFOLIO

• US 20090157563A1
• Filed: 07/25/2008
• Published: 06/18/2009
• Est. Priority Date: 07/25/2007
• Status: Abandoned Application

• Current Assignee: Virtu ITG Software Solutions LLC
• Original Assignee: ITG Software Solutions, Inc. (Virtu Financial, Inc.)
• Inventors: Zhu, Haoyuan, Bull, Peter M., Serbin, Vitaly
• Application Number:
  US12/180,129
• Publication Number:
  US 20090157563A1
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A method, system and computer program product for optimizing return of an investment fund, based on a correlation between AUM and turnover, include steps of generating a turnover efficient frontier for an investment fund that models fund return versus fund turnover for one or more fund sizes; determining a current fund return and fund turnover of the fund; determined a current position of the fund on the turnover efficient frontier based on the current fund return and fund turnover; and determining whether an increase or a decrease in one of fund size or turnover will move the fund to an optimal point on the turnover efficient frontier.

Claims

1. A method for optimizing return of an investment fund, based on a relation between assets under management (AUM), fund strategy and turnover, the method comprising:

(a) generating a turnover efficient frontier for an investment fund that models fund return versus fund turnover for one or more fund sizes from computer simulations based on the characteristics of the fund and historical trading data;

(b) determining a current fund return and a current fund turnover of the fund;

(c) determined a current position of the fund on said turnover efficient frontier based on the current fund return and fund turnover;

(d) determining whether an increase or a decrease in one of fund size or turnover will move the fund to an optimal point on said turnover efficient frontier; and

(e) storing the results of step (d).

2. The method as recited by claim 1, further comprising a step of displaying at least a portion of the generated turnover efficient frontier and the current position on a display device.

3. The method as recited by claim 1, further comprising a step of generating a report graphically illustrating at least a portion of the generated turnover efficient frontier and the current position on a display device.

4. The method as recited by claim 1, further comprising steps of:

receiving data indicative of a historical performance of assets in said investment fund;

wherein, steps (a) and (b) are based upon said received data indicative of a historical performance.

5. The method as recited by claim 1, further comprising steps of:

calculating an optimal amount of investment and turnover for said investment fund based on said turnover efficient frontier.

6. The method as recited by claim 1, wherein said turnover efficient frontier comprises a set of curves indicating net return for said investment fund at different assets under management volumes for varying turnover rates.

7. The method as recited by claim 1, further comprising steps of:

identifying optimal points along said turnover efficient frontier curves that maximize return; and

generating a portfolio rebalancing strategy recommendation for said investment fund based on said turnover efficient frontier, accounting for said external limitations on said investment fund, said recommendation including a recommendation to either increase or decrease turnover of said investment fund or to expand or reduce assets under management in said investment fund.

8. A system for optimizing return of an investment fund, based on a correlation between assets under management (AUM) and turnover, the system comprising:

means for generating a turnover efficient frontier for an investment fund that models fund return versus fund turnover for one or more fund sizes from computer simulations based on the characteristics of the fund and historical trading data;

means for determining a current fund return and fund turnover of the investment fund;

means for determining a current position of the fund on said turnover efficient frontier based on the current fund return and fund turnover;

means for determining whether an increase or a decrease in one of fund size or turnover will move the fund to an optimal point on said turnover efficient frontier; and

means for storing the results of said determination of whether to increase or decrease in one of fund size and turnover.

9. The system as recited by claim 8, further comprising means for displaying at least a portion of the generated turnover efficient frontier and the current position on a display device.

10. The system as recited by claim 8, further comprising means for generating a report graphically illustrating at least a portion of the generated turnover efficient frontier and the current position on a display device.

11. The system as recited by claim 8, further comprising means for receiving data indicative of a historical performance of assets in said investment fund.

12. The system as recited by claim 8, further comprising means for calculating an optimal amount of investment and turnover for said investment fund based on said turnover efficient frontier.

13. The system as recited by claim 8, wherein said turnover efficient frontier comprises a set of curves indicating net return for said investment fund at different assets under management volumes for varying turnover rates.

14. The system as recited by claim 8, further comprising:

means for identifying optimal points along said turnover efficient frontier curves that maximize return; and

means for generating a portfolio rebalancing strategy recommendation for said investment fund based on said turnover efficient frontier, accounting for said external limitations on said investment fund, said recommendation including a recommendation to either increase or decrease turnover of said investment fund or to expand or reduce assets under management in said investment fund.

15. A computer program product comprising a computer readable medium having stored thereon executable computer instructions for optimizing return of an investment fund, based on a relation between assets under management (AUM), fund strategy and turnover, by performing operations comprising the following steps:

(f) generating a turnover efficient frontier for an investment fund that models fund return versus fund turnover for one or more fund sizes from computer simulations based on the characteristics of the fund and historical trading data;

(g) determining a current fund return and fund turnover of the fund;

(h) determined a current position of the fund on said turnover efficient frontier based on the current fund return and fund turnover;

(i) determining whether an increase or a decrease in one of fund size or turnover will move the fund to an optimal point on said turnover efficient frontier; and

(j) storing the results of step (d).

16. The computer program product as recited by claim 15, further comprising an instruction for displaying at least a portion of the generated turnover efficient frontier and the current position on a display device.

17. The computer program product as recited by claim 15, further comprising an instruction for generating a report graphically illustrating at least a portion of the generated turnover efficient frontier and the current position on a display device.

18. The computer program product as recited by claim 15, further comprising instructions for:

receiving data indicative of a historical performance of assets in said investment fund;

wherein, steps (a) and (b) are based upon said received data indicative of a historical performance.

19. The computer program product as recited by claim 15, further instructions for:

calculating an optimal amount of investment and turnover for said investment fund based on said turnover efficient frontier.

20. The computer program product as recited by claim 15, wherein said turnover efficient frontier comprises a set of curves indicating net return for said investment fund at different assets under management volumes for varying turnover rates.

21. The computer program product as recited by claim 15, further comprising instructions for:

identifying optimal points along said turnover efficient frontier curves that maximize return; and

generating a portfolio rebalancing strategy recommendation for said investment fund based on said turnover efficient frontier, accounting for said external limitations on said investment fund, said recommendation including a recommendation to either increase or decrease turnover of said investment fund or to expand or reduce assets under management in said investment fund.

22. A system for optimizing return of an investment fund, based on a correlation between assets under management (AUM) and turnover, the system comprising:

a server facility coupled with an electronic data network and configured to generate a turnover efficient frontier for an investment fund that models fund return versus fund turnover for one or more fund sizes from computer simulations based on the characteristics of the fund and historical trading data, to determine a current fund return and fund turnover of the investment fund, to determine a current position of the fund on said turnover efficient frontier based on the current fund return and fund turnover, to determine whether an increase or a decrease in one of fund size or turnover will move the fund to an optimal point on said turnover efficient frontier, and to store the results of said determination of whether to increase or decrease in data storage facilities.

23. The system as recited by claim 22, wherein said server facility is further configured to transmit data for a portion of the generated turnover efficient frontier and the current position on a display device to be displayed on a display device.

24. The system as recited by claim 22, wherein said server facility is further configured to generate a report graphically illustrating at least a portion of the generated turnover efficient frontier and the current position onto a display device.

25. The system as recited by claim 22, wherein said server facility is further configured to receive data indicative of a historical performance of assets in said investment fund.

26. The system as recited by claim 22, wherein said server facility is further configured to calculate an optimal amount of investment and turnover for said investment fund based on said turnover efficient frontier.

27. The system as recited by claim 22, wherein said turnover efficient frontier comprises a set of curves indicating net return for said investment fund at different assets under management volumes for varying turnover rates.

28. The system as recited by claim 22, wherein said server facility is further configured to identify optimal points along said turnover efficient frontier curves that maximize return, and to generate a portfolio rebalancing strategy recommendation for said investment fund based on said turnover efficient frontier, accounting for said external limitations on said investment fund, said recommendation including a recommendation to either increase or decrease turnover of said investment fund or to expand or reduce assets under management in said investment fund.

29. The system as recited by claim 22, further comprising:

data storage facilities for storing portfolio and turnover efficient frontier data; and

a client user interface executable on a computer or within a web browser, said client user interface configured to communicate with said server facility to exchange data, said client user interface configured to receive input data and to communicate said input data to said server facility, said client user interface configured to receive turnover efficient frontier data from said server facilities and to display said turnover efficient frontier.