System and method for managing asset portfolios

A computer system for facilitating management of asset portfolios, comprising:

• one or more memory devices;
• one or more processors, each processor being in communication with at least a respective said memory device, said processors collectively being configured to:
• obtain the characterization of a portfolio of investment components, wherein each said investment component is defined at least in part as a discreet portion of the overall value of said portfolio;
• store total return time history data for each said investment component;
• provide a collection of strategy pairs, each said strategy pair being defined by respective first and second allocation alternatives;
• receive a designation of at least a respective one of said strategy pairs for each said investment component;
• implement a respective timing oscillator for each said investment component;
• compute an oscillator time history for each said investment component by way of their respective said timing oscillator;
• calculate modified time histories of total return for each said investment component, wherein each said modified time history consists substantially of
• (a) for sub-periods within which the value of said timing oscillator was positive, historical performance results obtained using said first allocation alternative of the respective strategy pair, and
• (b) for sub-periods within which the value of said timing oscillator was negative, historical performance results obtained using said second allocation alternative of the respective strategy pair;
• derive allocations for said portfolio by inputting said modified time histories into an algorithm which is based upon classic modern portfolio theory;
• modify said allocations based upon a current value of the respective said timing oscillator such that for each said investment component:
• (i) if said timing oscillator is currently positive, the respective said first allocation alternative is used, and
• (ii) if said timing oscillator is currently negative, the respective said second allocation alternative is used;
• and
• format said modified allocation for presentation to a user on a computer display.

A non-transitory computer-readable storage medium encoded with a computer program for facilitating management of asset portfolios, wherein execution of said computer program by one or more processors causes said one or more processors to perform a method, said method comprising:

• obtaining, from a user, the characterization of a portfolio of investment components, wherein each said investment component is defined at least in part as a discreet portion of the overall value of said portfolio;
• storing total return time history data for each said investment component;
• providing a collection of strategy pairs, each said strategy pair being defined by respective first and second allocation alternatives, wherein:
• in at least one said strategy pair, said second allocation alternative is lower risk than its respective said first allocation alternative;
• at least one said first allocation alternative is selected from the group consisting of long, long on margin, and T-bills;
• and
• at least one said second allocation alternative is selected from the group consisting of long, short, and short on margin.
• receiving a designation of at least a respective one of said strategy pairs for each said investment component;
• implementing a timing oscillator for each said investment component;
• computing an oscillator time history for each said investment component by way of said timing oscillator;
• calculating modified time histories of total return for each said investment component, wherein each said modified time history consists substantially of:
• (a) for sub-periods within which the value of the respective said timing oscillator was positive, historical performance results obtained using said first allocation alternative of the respective strategy pair, and
• (b) for sub-periods within which the value of the respective said timing oscillator was negative, historical performance results obtained using said second allocation alternative of the respective strategy pair;
• deriving allocations for said portfolio by inputting said modified time histories into an algorithm which is based upon classic modern portfolio theory;
• modifying said allocations based upon a current value of the respective said timing oscillator such that for each said investment component:
• (i) if the respective timing oscillator is currently positive, the respective said first allocation alternative is used, and
• (ii) if the respective timing oscillator is currently negative,the respective said second allocation alternative is used;
• and
• formatting said modified allocations for presentation to said user on a computer display.