Computerized investment product

• US 8,725,624 B2
• Filed: 02/02/2012
• Issued: 05/13/2014
• Est. Priority Date: 03/12/1999
• Status: Expired due to Term

• Current Assignee: Alpha Financial Technologies LLC
• Original Assignee: Alpha Financial Technologies LLC
• Inventors: Sperandeo, Victor
• Primary Examiner(s): Vezeris, James A
• Application Number:
  US13/365,173
• Publication Number:
  US 20120173458A1
• Time in Patent Office: 831 Days
• Field of Search: 705/35, 705/37, 705/36.R
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A computer implemented investment product includes data stored on one or more computers that corresponds to a notional performance portfolio of assets. The notional performance portfolio includes: (a) a base portfolio of assets having a selected exposure amount; (b) a passive commodity index portfolio, of long and short positions, having a passive commodity index portfolio exposure in an amount substantially equal to a product of the selected exposure amount multiplied by a leverage factor of at least 100%; and (c) the notional performance portfolio having a lower risk and a higher return as compared to either the base portfolio or the passive commodity index portfolio. The one or more computers monitor the base portfolio and the passive commodity index portfolio and calculate the return for the notional performance portfolio.

Claims

1. A computer implemented investment system comprising:

one or more computers;

data stored on the one or more computers that corresponds to a notional performance portfolio of assets comprising;

(a) a base portfolio of assets having a selected exposure amount,

(b) a passive commodity index portfolio, of long and short positions, having a passive commodity index portfolio exposure in an amount substantially equal to a product of the selected exposure amount multiplied by a leverage factor of at least 100%, and

(c) the notional performance portfolio having a lower risk and a higher return as compared to either the base portfolio or the passive commodity index portfolio; and

wherein, the one or more computers monitor the base portfolio and the passive commodity index portfolio and calculate the return for the notional performance portfolio.

2. The computer implemented investment product as recited in claim 1, further comprising:

a rebalanced base portfolio of assets having a rebalanced base portfolio exposure in an amount substantially equal to a sum of the selected exposure amount and a change in value of the selected exposure amount and of the passive commodity index portfolio exposure over a time period; and

a releveraged passive commodity index portfolio, of long and short positions, having a releveraged passive commodity index portfolio exposure in an amount substantially equal to a product of the rebalanced base portfolio exposure multiplied by a second leverage factor.

3. The computer implemented investment product as recited in claim 2, wherein the second leverage factor is a function of a performance of the passive commodity index portfolio over a selected period of time.

4. The computer implemented investment product as recited in claim 1, further comprising a loss limitation which limits a maximum loss an investor can incur as a result of a change in value of the passive commodity index exposure.

5. The computer implemented investment product as recited in claim 4, wherein the loss limitation comprises a put option.

6. The computer implemented investment product as recited in claim 1, wherein the base portfolio of assets is keyed to an equity index.

7. The computer implemented investment product as recited in claim 6, wherein the equity index comprises the S &

P 500 Stock Index.

8. The computer implemented investment product as recited in claim 1, wherein the leverage factor is a function of a performance of the passive commodity index portfolio over a selected period of time.

9. The computer implemented investment product as recited in claim 1, wherein the leverage factor is a first leverage factor if a total return for the passive commodity index portfolio is greater than or equal to a specified return over a selected period of time and a second leverage factor if the total return for the passive commodity index portfolio is less than the specified return over the selected period of time.

10. The computer implemented investment product as recited in claim 9, wherein the first leverage factor is 300% and the second leverage factor is 150%.

11. The computer implemented investment product as recited in claim 1, wherein the base portfolio of assets comprises a pre-existing portfolio of assets held by the investor.

12. The computer implemented investment product as recited in claim 1, wherein the base portfolio of assets comprises stocks, bonds, Treasury bills (T-bills), cash, currencies, mortgages, any other security, or a combination thereof.

13. The computer implemented investment product as recited in claim 1, wherein the passive commodity index portfolio is keyed to the S&

P Diversified Trends Indicator.

14. The computer implemented investment product as recited in claim 1, wherein the passive commodity index portfolio is keyed to the Mount Lucas Management Commodity Index.

15. The computer implemented investment product as recited in claim 1, wherein the passive commodity index portfolio includes bonds and currencies.

16. The computer implemented investment product as recited in claim 1, wherein the leverage factor is less than or equal to 150%.

17. The computer implemented investment product as recited in claim 1, wherein the leverage factor is less than or equal to 300%.

18. A computer adapted to manage a computer implemented investment product comprising:

a computer;

data stored on the computer that corresponds to a notional performance portfolio of assets;

the notional performance portfolio of assets comprising;

(a) a base portfolio of assets having a selected exposure amount, (b) a passive commodity index portfolio, of long and short positions, having a passive commodity index portfolio exposure in an amount substantially equal to a product of the selected exposure amount multiplied by a leverage factor of at least 100%, and (c) the notional performance portfolio having a lower risk and a higher return as compared to either the base portfolio or the passive commodity index portfolio; and

wherein the computer monitors the base portfolio and the passive commodity index portfolio, and calculates a return of the notional performance portfolio.

19. The computer as recited in claim 18, further comprising:

a rebalanced base portfolio of assets having a rebalanced base portfolio exposure in an amount substantially equal to a sum of the selected exposure amount and a change in value of the selected exposure amount and of the passive commodity index portfolio exposure over a time period; and

a releveraged passive commodity index portfolio, of long and short positions, having a releveraged passive commodity index portfolio exposure in an amount substantially equal to a product of the rebalanced base portfolio exposure multiplied by a second leverage factor.

20. The computer as recited in claim 18, wherein the second leverage factor is a function of a performance of the passive commodity index portfolio over a selected period of time.

21. The computer as recited in claim 18, further comprising a loss limitation which limits a maximum loss an investor can incur as a result of a change in value of the passive commodity index exposure.

22. The computer as recited in claim 21, wherein the loss limitation comprises a put option.

23. The computer as recited in claim 18, wherein the base portfolio of assets is keyed to an equity index.

24. The computer as recited in claim 23, wherein the equity index comprises the S &

P 500 Stock Index.

25. The computer as recited in claim 18, wherein the leverage factor is a function of a performance of the passive commodity index portfolio over a selected period of time.

26. The computer as recited in claim 18, wherein the leverage factor is a first leverage factor if a total return for the passive commodity index portfolio is greater than or equal to a specified return over a selected period of time and a second leverage factor if the total return for the passive commodity index portfolio is less than the specified return over the selected period of time.

27. The computer as recited in claim 26, wherein the first leverage factor is 300% and the second leverage factor is 150%.

28. The computer as recited in claim 18, wherein the base portfolio of assets comprises a pre-existing portfolio of assets held by the investor.

29. The computer as recited in claim 18, wherein the base portfolio of assets comprises stocks, bonds, Treasury bills (T-bills), cash, currencies, mortgages, any other security, or a combination thereof.

30. The computer as recited in claim 18, wherein the passive commodity index portfolio is keyed to the S&

P Diversified Trends Indicator.

31. The computer as recited in claim 18, wherein the passive commodity index portfolio is keyed to the Mount Lucas Management Commodity Index.

32. The computer as recited in claim 18, wherein the passive commodity index portfolio includes bonds and currencies.

33. The computer as recited in claim 18, wherein the leverage factor is less than or equal to 150%.

34. The computer as recited in claim 18, wherein the leverage factor is less than or equal to 300%.

35. A computer implemented investment system comprising:

one or more computers;

data stored on the one or more computers that corresponds to a notional performance portfolio of assets comprising;

(a) a base portfolio of assets comprising Treasury bills (T-bills) having a selected exposure amount,

(b) a passive commodity index portfolio, of long and short positions, having a passive commodity index portfolio exposure in an amount substantially equal to a product of the selected exposure amount multiplied by a leverage factor of at least 100%, and

(c) the notional performance portfolio having a lower risk and a higher return as compared to the passive commodity index portfolio; and

wherein, the one or more computers monitor the base portfolio and the passive commodity index portfolio and calculate the return for the notional performance portfolio.

36. The computer implemented investment product as recited in claim 35, wherein the leverage factor is greater than or equal to 300%.