Asset portfolio tracking
First Claim
1. A method for modifying a portfolio of assets to track an index of assets, comprising:
- (a) identifying a set of factors having data values that are correlated with an aggregate market value for the index;
(b) calculating, for each of the factors, a correlative value for the portfolio relative to said each factor, thereby obtaining a correlative profile for the portfolio;
(c) obtaining, for each of the factors, a correlative value for the index relative to said each factor, i.e., a correlative profile for the index;
(d) calculating a measure of divergence between the correlative profile for the portfolio and the correlative profile for the index; and
(e) modifying the portfolio by at least one of buying and selling assets so as to minimize the measure of the divergence between the correlative profile for the portfolio and the correlative profile for the index, subject to any other constraints,wherein the correlative value for an item relative to a given factor is a measure of a tendency of the aggregate market value of the item to change based on a change in the data value for said given factor.
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Abstract
Techniques are provided for adjusting a portfolio of financial assets in order to properly track the performance of a desired index. The techniques generally involve calculating a correlative value for the portfolio, and obtaining a correlative value for the index, relative to each of a number of different factors having data values that are likely to be correlated with an aggregate market value for the portfolio, where the correlative value for an item relative to a given factor is a measure of a tendency of the aggregate market value of the item to change based on a change in the data value for such factor (e.g., in the nature of a sensitivity or elasticity). Then, the portfolio is adjusted in an attempt to move its correlative profile closer to the correlative profile of the index.
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Citations
19 Claims
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1. A method for modifying a portfolio of assets to track an index of assets, comprising:
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(a) identifying a set of factors having data values that are correlated with an aggregate market value for the index; (b) calculating, for each of the factors, a correlative value for the portfolio relative to said each factor, thereby obtaining a correlative profile for the portfolio; (c) obtaining, for each of the factors, a correlative value for the index relative to said each factor, i.e., a correlative profile for the index; (d) calculating a measure of divergence between the correlative profile for the portfolio and the correlative profile for the index; and (e) modifying the portfolio by at least one of buying and selling assets so as to minimize the measure of the divergence between the correlative profile for the portfolio and the correlative profile for the index, subject to any other constraints, wherein the correlative value for an item relative to a given factor is a measure of a tendency of the aggregate market value of the item to change based on a change in the data value for said given factor. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17)
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18. An apparatus for modifying a portfolio of assets to track an index of assets, comprising:
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(a) means for identifying a set of factors having data values that are be correlated with an aggregate market value for the index; (b) means for calculating, for each of the factors, a correlative value for the portfolio relative to said each factor, thereby obtaining a correlative profile for the portfolio; (c) means for obtaining, for each of the factors, a correlative value for the index relative to said each factor, i.e., a correlative profile for the index; (d) means for calculating a measure of divergence between the correlative profile for the portfolio and the correlative profile for the index; and (e) means for modifying the portfolio by at least one of buying assets, selling assets, or recommending the purchase or sale of assets, so as to minimize the measure of the divergence between the correlative profile for the portfolio and the correlative profile for the index, subject to any other constraints, wherein the correlative value for an item relative to a given factor is a measure of a tendency of the aggregate market value of the item to change based on a change in the data value for said given factor.
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19. A computer-readable medium storing computer-executable process steps for modifying a portfolio of assets to track an index of assets, said process steps comprising steps to:
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(a) identify a set of factors having data values that are correlated with an aggregate market value for the index; (b) calculate, for each of the factors, a correlative value for the portfolio relative to said each factor, thereby obtaining a correlative profile for the portfolio; (c) obtain, for each of the factors, a correlative value for the index relative to said each factor, i.e., a correlative profile for the index; (d) calculate a measure of divergence between the correlative profile for the portfolio and the correlative profile for the index; and (e) modify the portfolio by at least one of buying assets, selling assets, or recommending the purchase or sale of assets, so as to minimize the measure of the divergence between the correlative profile for the portfolio and the correlative profile for the index, subject to any other constraints, wherein the correlative value for an item relative to a given factor is a measure of a tendency of the aggregate market value of the item to change based on a change in the data value for said given factor.
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Specification