INVESTMENT CLASSIFICATION AND TRACKING SYSTEM USING DIAMOND RATINGS

• US 20100169237A1
• Filed: 12/29/2009
• Published: 07/01/2010
• Est. Priority Date: 12/29/2008
• Status: Active Grant

• Current Assignee: AthenaInvest, Inc.
• Original Assignee: AthenaInvest, Inc.
• Inventors: Howard, Andrew, Howard, C. Thomas
• Granted Patent: US 8,352,347 B2
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

The present invention is directed to an asset classification system based on investment strategy. The system determines a number for performance measures and strategy classifications. These measures indicate, in one configuration, an extent to which a security or manager is outperforming or attempting to outperform a benchmark and how successful the security or manager has been based on historic performance data.

Claims

1. A method, comprising:

(a) providing a computer readable media, the computer readable media comprising information regarding a plurality of managers and/or funds following a plurality of different strategies;

(b) performing at least one of the following sub-steps;

(B1) assigning, by a processor executable strategy categorizing module, a first strategy to a selected investment based upon strategy outlines of a set of the managers and/or funds holding the selected investment;

(B2) assigning, by a processor executable consistency measure module, a strategy consistency measure to a selected manager and/or fund;

(B3) assigning, by a processor executable performance analysis module, to a selected manager and/or fund, and based on a strategy consistency measure and best idea concentration, a diamond rating;

(B4) assigning, by a processor executable rating module, a first diamond rating to a selected investment based upon diamond rating profiles of a set of the managers and/or funds holding the selected investment;

(B5) assigning, by a processor executable consistency measure module, a diamond rating consistency measure to a selected manager and/or fund; and

(B6) assigning, by a processor executable AlphaIQ module, an AlphaIQ to a selected manager and/or fund.

2. The method of claim 1, wherein sub-step (B1) is performed.

3. The method of claim 2, wherein sub-step (B1) comprises the following sub-steps:

(B1i) determining, by the processor executable strategy categorizing module, a total weight of a selected investment in the portfolios of the plurality of managers and/or funds following a selected strategy;

(B1ii) determining, by the process executable strategy categorizing module and from the total weight of the selected investment, a strategy weight for the selected investment in the selected strategy;

(B1iii) repeating, by the processor executable strategy categorizing module, sub-steps (B1i) and (B1ii) to assign a strategy weight to the selected investment in a plurality of other strategies; and

(B1iv) assigning as the strategy of the selected investment, by the processor executable strategy categorizing module, the strategy of the highest strategy weight, wherein the assigned strategy is the first strategy.

4. The method of claim 1, wherein sub-step (B2) is performed.

5. The method of claim 4, wherein sub-step (B2) comprises the sub-steps:

(B2i) determining, by the processor executable consistency measure module, a strategy profile for the selected manager and/or fund following a second strategy;

(B2ii) determining, by the processor executable consistency measure module, an average strategy profile for a plurality of managers and/or funds within a selected strategy, the plurality of managers and/or funds within the selected strategy comprising the selected manager and/or fund; and

(B2iii) adjusting, by the processor executable consistency measure module, a total portfolio weight of investments in the second strategy to a selected scale to provide the strategy consistency measure.

6. The method of claim 1, wherein sub-step (B3) is performed.

7. The method of claim 6, wherein sub-step (B3) comprises the sub-steps:

(B3i) determining, by the performance analysis module and based on a respective strategy consistency measure, a first relative rank of each of a plurality of managers and/or funds following a selected strategy;

(B3ii) determining, by the performance analysis module and based on a best idea concentration, a second relative rank of each of the plurality of managers and/or funds following the selected strategy; and

(B3iii) assigning a respective diamond rating to each of the plurality of managers and/or funds based on the corresponding strategy consistency measure and best idea concentration.

8. The method of claim 1, wherein sub-step (B4) is performed.

9. The method of claim 8, wherein sub-step (B4) comprises the following sub-steps:

(B4i) determining, by the processor executable rating module, a total weight of a selected investment in the portfolios of the plurality of managers and/or funds having a selected diamond rating;

(B4ii) determining, by the process executable rating module and from the total weight of the selected investment, a diamond rating weight for the selected investment in the selected strategy;

(B4iii) repeating, by the processor executable rating module, sub-steps (B4i) and (B4ii) to assign a diamond rating weight to the selected investment in a plurality of other strategies; and

(B4iv) assigning as the diamond rating of the selected investment, by the processor executable rating module, the diamond rating of the highest diamond rating weight, wherein the assigned diamond rating is the first diamond rating.

10. The method of claim 1, wherein sub-step (B5) is performed.

11. The method of claim 10, wherein sub-step (B5) comprises the sub-steps:

(B5i) determining, by the processor executable consistency measure module, a diamond rating profile for the selected manager and/or fund having a second diamond rating;

(B5ii) determining, by the processor executable consistency measure module, an average diamond rating profile for a plurality of managers and/or funds, the plurality of managers and/or funds comprising the selected manager and/or fund; and

(B5iii) adjusting, by the processor executable consistency measure module, a total portfolio weight of investments having the second diamond rating to a selected scale to provide the diamond rating consistency measure.

12. The method of claim 1, wherein sub-step (B6) is performed.

13. The method of claim 12, wherein sub-step (B6) comprises the sub-steps:

(B6i) summing, by the processor executable AlphaIQ module and for each of a plurality of investments, weights of investments having a selected diamond rating to provide a total diamond rating weight;

(B6ii) determine, by the processor executable AlphaIQ module, whether a selected one of the investments is held by a threshold number of managers and/or funds; and

(B6iii) when the selected investment is held by the threshold number of managers and/or funds, adjusting the corresponding total diamond rating weight to yield the AlphaIQ of the selected investment.

14. The tangible computer readable media of claim 1, comprising processor executable instructions to perform the steps of claim 1.

15. A system, comprising:

an input for receiving requests and information, regarding a plurality of managers and/or funds following a plurality of different strategies, responsive to the requests;

an output for providing processed information responsive to the requests;

a processor; and

a tangible computer readable medium comprising at least one of the following processor executable components;

(a) a strategy categorizing module to assign a first strategy to a selected investment based upon strategy profiles of a set of the managers and/or funds holding the selected investment;

(b) a consistency measure module to assign a strategy consistency measure to a selected manager and/or fund;

(c) a performance analysis module to assign, to a selected manager and/or fund, and based on a strategy consistency measure and best idea concentration, a diamond rating;

(d) a rating module to assign a first diamond rating to a selected investment based upon diamond rating profiles of a set of the managers and/or funds holding the selected investment;

(e) a consistency measure module to assign a diamond rating consistency measure to a selected manager and/or fund; and

(f) an AlphaIQ module to assign an AlphaIQ to a selected manager and/or fund.

16. The system of claim 15, comprising processor executable component (a).

17. The system of claim 16, wherein the strategy categorizing module performs the following operations:

determining a total weight of a selected investment in the portfolios of the plurality of managers and/or funds following a selected strategy;

determining, from the total weight of the selected investment, a strategy weight for the selected investment in the selected strategy;

repeating the above operations to assign a strategy weight to the selected investment in a plurality of other strategies; and

assigning as the strategy of the selected investment the strategy of the highest strategy weight, wherein the assigned strategy is the first strategy.

18. The system of claim 15, comprising processor executable component (b).

19. The system of claim 18, wherein the consistency measure module performs the following operations:

determining, a strategy profile for the selected manager and/or fund following a second strategy;

determining an average strategy profile for a plurality of managers and/or funds within a selected strategy, the plurality of managers and/or funds within the selected strategy comprising the selected manager and/or fund; and

adjusting a total portfolio weight of investments in the second strategy to a selected scale to provide the strategy consistency measure.

20. The system of claim 15, comprising processor executable component (c).

21. The system of claim 20, wherein the performance analysis module performs the following operations:

determining, based on a respective strategy consistency measure, a first relative rank of each of a plurality of managers and/or funds following a selected strategy;

determining, based on a best idea concentration, a second relative rank of each of the plurality of managers and/or funds following the selected strategy; and

assigning a respective diamond rating to each of the plurality of managers and/or funds based on the corresponding strategy consistency measure and best idea concentration.

22. The system of claim 15, comprising processor executable component (d).

23. The system of claim 22, wherein the rating module performs the following operations:

determining a total weight of a selected investment in the portfolios of the plurality of managers and/or funds having a selected diamond rating;

determining, from the total weight of the selected investment, a diamond rating weight for the selected investment in the selected strategy;

repeating the above operations to assign a diamond rating weight to the selected investment in a plurality of other strategies; and

assigning as the diamond rating of the selected investment, the diamond rating of the highest diamond rating weight, wherein the assigned diamond rating is the first diamond rating.

24. The system of claim 15, comprising processor executable component (e).

25. The system of claim 24, wherein the consistency measure module performs the following operations:

determining a diamond rating profile for the selected manager and/or fund having a second diamond rating;

determining an average diamond rating profile for a plurality of managers and/or funds, the plurality of managers and/or funds comprising the selected manager and/or fund; and

adjusting a total portfolio weight of investments having the second diamond rating to a selected scale to provide the diamond rating consistency measure.

26. The system of claim 15, comprising processor executable component (f).

27. The system of claim 26, wherein the AlphaIQ module performs the following operations:

summing, for each of a plurality of investments, weights of investments having a selected diamond rating to provide a total diamond rating weight;

determining whether a selected one of the investments is held by a threshold number of managers and/or funds; and

when the selected investment is held by the threshold number of managers and/or funds, adjusting the corresponding total diamond rating weight to yield the AlphaIQ of the selected investment.