Signal testing methodology for long-only portfolios
AssigneeFmr LLC
InventorCesar Hernandez
Life of this patent
Estimating the term…
Abstract
Described are methods and apparatus, including computerized methods and computer program products, for signal testing for a long-only portfolio. The methodology can be used for assessing the efficacy of a strategy for selecting securities in a long-only portfolio, and the strategy can be implemented to construct a revised long-only portfolio. The signal testing methodology can take into account the position and/or return of securities that do not have either a positive or negative attribute as well.
Claims28
A computerized method of weighting a security in a long-only portfolio, comprising:
- employing an implementable testing strategy using a respective signal value of each security in the long-only portfolio to determine to which securities to assign a revised weight related to a respective benchmark value for each security, the respective revised weight determined by reallocating the total of the benchmark weights of securities with an unfavorable signal value to the revised weights of securities with a favorable signal value, to form a revised long-only portfolio.
A computerized method of weighting a security in a long-only portfolio, comprising:
- defining a long-only portfolio comprising a set of securities, each security including a respective signal value and a benchmark weight;
- dividing the set of securities into a plurality of subsets of securities based on the respective signal value of each security, each subset corresponding to one of a plurality of states including at least a good state and a bad state;
- and
- automatically assigning a revised weight to each security in the subset of securities corresponding to the good state, the revised weight being based on the benchmark weights of the subset of securities corresponding to the bad state.
A computer program product, tangibly embodied in an information carrier, for verifying document compliance to a standard, the computer program product including instructions being operable to cause data processing apparatus to:
- define a long-only portfolio comprising a set of securities, each security including a respective signal value and a benchmark weight;
- divide the set of securities into a plurality of subsets of securities based on the respective signal value of each security, each subset corresponding to one of a plurality of states including at least a good state and a bad state;
- and
- automatically assign a revised weight to each security in the subset of securities corresponding to the good state, the revised weight being based on the benchmark weights of the subset of securities corresponding to the bad state.
A computer device, including a computer processor system configured to:
- define a long-only portfolio comprising a set of securities, each security including a respective signal value and a benchmark weight;
- divide the set of securities into a plurality of subsets of securities based on the respective signal value of each security, each subset corresponding to one of a plurality of states including at least a good state and a bad state;
- and
- automatically assign a revised weight to each security in the subset of securities corresponding to the good state, the revised weight being based on the benchmark weights of the subset of securities corresponding to the bad state.
Dependencies are inferred from the claim text.