SYSTEMS AND METHODS FOR FINANCIAL ASSET ANALYSIS

• US 20150154706A1
• Filed: 12/02/2014
• Published: 06/04/2015
• Est. Priority Date: 12/02/2013
• Status: Abandoned Application

• Current Assignee: FinMason, Inc.
• Original Assignee: FinMason, Inc.
• Inventors: Wakeman, Lawrence Kendrick
• Application Number:
  US14/558,299
• Publication Number:
  US 20150154706A1
• Time in Patent Office: Days
• US Class Current: 1/1
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

Systems and methods are provided for analyzing financial assets under a plurality of economic scenarios. In general, the systems and methods can include an asset scenario analysis module for calculating performance metrics of a plurality of financial assets under each of the scenarios and storing the asset performance metrics in a database. Using the asset performance metrics, a portfolio scenario analysis module can calculate performance metrics under each of the scenarios for one or more investment portfolios that each includes a unique subset of the assets. The performance metrics of the one or more portfolios can be displayed on an interactive user interface, thereby allowing the user to dynamically compare the impact of changing the subset of assets that comprise the portfolios under each of the scenarios.

Claims

1. A method for forecasting the performance of one or more portfolios of financial assets under one or more economic scenarios using a system consisting of one or more computer processors connected to one or more computer databases, comprising:

accessing by the one or more computer processors data in the one or more databases, the data comprising historical pricing data for a plurality of financial assets and historical valuation data for a plurality of factors with which the historical pricing data can be correlated;

performing by the one or more computer processors a regression analysis for the financial assets with respect to the factors to calculate regression parameters representing correlations between the financial assets and the factors and storing the regression parameters in the one or more databases;

receiving by the one or more computer processors definitions of a plurality of economic scenarios that include predicted values of the factors for the economic scenarios and storing the economic scenarios and the predicted values of the factors in the one or more databases;

receiving by the one or more computer processors a selection of financial assets to form a portfolio; and

accessing the one or more databases by the one or more computer processors to retrieve the regression parameters for each financial asset in the portfolio and one or more economic scenarios including predicted values of the factors for the one or more scenarios and calculating performance metrics of the portfolio under the one or more economic scenarios using the regression parameters and the predicted values of the factors.

2. The method of claim 1, further comprising:

receiving by the one or more computer processors one or more alternative selections of financial assets to form one or more alternative portfolios;

accessing the one or more databases by the one or more computer processors to retrieve the regression parameters for each financial asset in the one or more alternative portfolios and one or more economic scenarios including the predicted values of the factors for the one or more scenarios and calculating performance metrics of the one or more alternative portfolios under the one or more economic scenarios using the regression parameters and the predicted values of the factors; and

outputting by the one or more computer processors the performance metrics of the portfolio and the one or more alternative portfolios under the one or more economic scenarios for display to a user.

3. The method of claim 2, wherein the receiving by the one or more computer processors of the one or more alternative selections of financial assets further comprises:

providing by the one or more computer processors a user interface for a user to indicate allocations of a limited subset of financial assets in which the user is allowed to invest, and creating from indicated allocations the one or more alternative portfolios.

4. The method of claim 2, wherein the receiving by the one or more computer processors of the one or more alternative selections of financial assets further comprises:

providing by the one or more computer processors a user interface for a user to indicate allocations of the assets within the portfolio, and creating from indicated allocations the one or more alternative portfolios.

5. The method of claim 2, wherein the receiving by the one or more computer processors of the one or more alternative selections of financial assets further comprises:

receiving by the one or more computer processors an indication of user preferences relating to portfolio performance under one or more of the scenarios,

selecting by the one or more computer processors of one or more assets for inclusion in the one or more alternative portfolios based on the user preferences.

6. The method of claim 2, further comprising:

calculating by the one or more computer processors of a ranking for a performance of each financial asset under the one or more economic scenarios and storing the rankings in the one or more databases.

7. The method of claim 1, further comprising:

modifying the portfolio by the one or more computer processors by adding one or more sponsored financial assets to create an alternative portfolio;

accessing the one or more databases by the one or more computer processors to retrieve the regression parameters for each financial asset in the alternative portfolio and one or more economic scenarios including the predicted values of the factors for the one or more economic scenarios and calculating performance metrics of the alternative portfolio under the one or more economic scenarios using the regression parameters and the predicted values of the factors; and

outputting by the one or more computer processors the performance metrics of the portfolio and the alternative portfolio under the one or more economic scenarios for display to a user.

8. The method of claim 7, further comprising:

providing by the one or more computer processors a user actuable link to information regarding the one or more sponsored financial assets; and

calculating by the one or more computer processors an advertising fee for the one or more sponsored financial assets.

9. The method of claim 7, wherein modifying the portfolio further comprises:

calculating by the one or more computer processors which one or more from a plurality of sponsored financial assets will optimize the performance of the portfolio under the one or more economic scenarios and adding the one or more sponsored financial assets to the portfolio to create one or more alternative portfolios.

10. The method of claim 1, wherein the plurality of financial assets comprise a limited subset of funds in which a user is allowed to invest.

11. The method of claim 1, further comprising:

clustering by the one or more computer processors the plurality of financial assets into clusters based on the historical pricing data for the plurality of financial assets; and

performing by the one or more computer processors a second regression analysis for the financial assets in each cluster with respect to the factors to determine subsets of the factors for each cluster that are correlated with the financial assets in the cluster.

12. The method of claim 11, wherein performing the regression analysis for the financial assets with respect to the factors comprises performing the regression analysis for the financial assets in each cluster with respect to the subset of factors that are correlated with the cluster.

13. The method of claim 11, further comprising:

determining by the one or more computer processors a goodness of fit of the regression parameters for each of the plurality of financial assets, and where the fit is determined to be below a threshold value, replacing the regression parameters for the financial asset with regression parameters for the cluster.

14. The method of claim 11, further comprising:

comparing by the one or more computer processors the performance metrics for each of the plurality of financial assets with the performance metrics for other financial assets in the same cluster and, where the performance metrics for a financial asset differ from the performance metrics for other financial assets in the same cluster by a predetermined amount, replacing the performance metrics for the financial asset with average values for performance metrics of the cluster.

15. The method of claim 1, wherein the calculating performance metrics of the portfolio under the one or more economic scenarios using the regression parameters and the predicted values of the factors comprises:

calculating performance metrics of each of the plurality of financial assets by the one or more computer processors;

storing the pre-calculated asset performance metrics in the one or more databases; and

calculating performance metrics of the portfolio based on the pre-calculated asset performance metrics.