Asset portfolio tracking

• US 7,383,219 B1
• Filed: 08/31/2004
• Issued: 06/03/2008
• Est. Priority Date: 07/13/2000
• Status: Expired due to Fees

• Current Assignee: C4cast.com Incorporated
• Original Assignee: C4cast.com Incorporated
• Inventors: Leslie, Kenneth M., Jennings, William P., Phillips, G. Michael, Findlay, M. Chapman III
• Primary Examiner(s): Garg; Yogesh C.
• Application Number:
  US10/931,697
• Time in Patent Office: 1,372 Days
• Field of Search: 705/36.R, 705/35
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

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.

Claims

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.

2. A method according to claim 1, wherein the set of factors includes at least 5 factors.

3. A method according to claim 1, wherein the set of factors includes at least 10 factors.

4. A method according to claim 1, wherein calculating the measure of divergence in step (d) comprises calculating a measure of correlative divergence for each factor.

5. A method according to claim 1, wherein said step (e) comprises incrementally modifying the portfolio through a sequence of transactions.

6. A method according to claim 5, wherein at least some of said transactions are permitted to increase the measure of divergence between the correlative profile for the portfolio and the correlative profile for the index in order to achieve another user-specified goal.

7. A method according to claim 5, wherein the sequence of transactions is identified using a tree-searching technique.

8. A method according to claim 7, wherein a goal of each said transaction is to minimize the measure of divergence between the correlative profile for the portfolio and the correlative profile for the index.

9. A method according to claim 7, wherein at least some of said transactions are permitted to increase the measure of divergence between the correlative profile for the portfolio and the correlative profile for the index in order to achieve another user-specified goal.

10. A method according to claim 7, wherein said tree-searching technique comprises a step of generating multiple potential modifications of the portfolio.

11. A method according to claim 10, wherein said tree-searching technique further comprises a step of generating multiple potential subsequent modifications for each potential modification of the portfolio.

12. A method according to claim 11, wherein said tree-searching technique further comprises a step of eliminating from consideration a plurality of the multiple potential subsequent modifications, thereby resulting in a pruned tree structure.

13. A method according to claim 1, wherein modification of the portfolio in step (e) is limited to buying and selling assets in a pre-identified subset.

14. A method according to claim 13, further comprising a step of selecting the pre-identified subset based on a matching of correlative profiles for different assets.

15. A method according to claim 1, wherein modification of the portfolio in step (e) comprises:

(1) identifying a plurality of subsets of assets;

(2) identifying a transaction list for each said subset, said transaction list consisting essentially of purchase and/or sales transactions for the assets in said each subset;

(3) for each transaction list, calculating the measure of divergence between the correlative profile for the portfolio and the correlative profile for the index, assuming said each transaction list were executed; and

(4) selecting the transaction list based on the measures of divergence calculated in step (3).

16. A method according to claim 15, wherein the subsets of assets are identified in step (1) based on a matching of correlative profiles for different assets.

17. A method according to claim 1, wherein at least one of the assets in the portfolio is cash.

18. An apparatus for modifying a portfolio of assets to track an index of assets, comprising:

(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.

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:

(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.