Back to results
US 2016/0110811 A1Published application
Methods and Apparatus for Implementing Improved Notional-free Asset Liquidity Rules
AssigneeAxioma, Inc.
InventorsFrank Pak-Ho Siu, Anthony A. Renshaw
Life of this patent
Estimating the term…
Abstract
On the basis of simulated backtests, many portfolios including so-called smart beta and other factor products often boast impressive track records. However, given the additional trading that occurs, can such advertised performance truly be realized once transaction costs are taken into account? One might expect these products to make a concerted effort to manage liquidity. However, explicit efforts to manage liquidity in existing smart beta and factor ETF and index products have been relatively modest. A new set of rules are provided that are independent of the notional value of the portfolio that can be used to better manage the liquidity of investment portfolio.
Claims32
A computer-implemented method for constructing a portfolio of investment assets comprising:
- electronically receiving by a programmed computer a set of N potential investments having a range of liquidities;
- electronically receiving by the programmed computer an N-dimensional vector giving a measure of the trading liquidity for each of the possible investments;
- electronically receiving by the programmed computer an N-dimensional vector giving percentage weights for a benchmark portfolio of investment assets;
- electronically receiving by a programmed computer a subset of illiquid assets from the potential investments;
- calculating on the programmed computer a portfolio of assets with percentage weights, wherein a sum over the subset of illiquid assets of ratios of each percentage weight of the asset in the portfolio squared over the measure of trading liquidity is less than or equal to a constant value times a sum over the subset of illiquid assets of ratios of each percentage weight of the asset in the benchmark portfolio squared over the measure of trading liquidity wherein the constant value is independent of a number of shares or a currency amount invested in each potential investment;
- electronically outputting the portfolio employing an output device.
3 more elements
A computer-implemented method for constructing a portfolio of investment assets comprising:
- electronically receiving by a programmed computer a set of N potential investments having a range of liquidities;
- electronically receiving by the programmed computer an N-dimensional vector giving a measure of the trading liquidity for each of the possible investments;
- electronically receiving by the programmed computer an N-dimensional vector giving percentage weights for a benchmark portfolio of investment assets;
- electronically receiving by a programmed computer a subset of illiquid assets from the potential investments;
- calculating on the programmed computer a portfolio of assets with percentage weights, wherein a sum over the subset of illiquid assets of ratios of each percentage weight of the asset in the portfolio times each percentage weight traded in the asset in the portfolio over the measure of trading liquidity is less than or equal to a constant value times a sum over the subset of illiquid assets of ratios of the percentage weight of each asset in the benchmark portfolio squared over the measure of trading liquidity wherein the constant value is independent of a number of shares or a currency amount invested in each potential investment;
- electronically outputting the optimized portfolio employing an output device.
3 more elements
A computer-implemented method for constructing a portfolio of investment assets comprising:
- electronically receiving by a programmed computer a set of N potential investments having a range of liquidities;
- electronically receiving by the programmed computer an N-dimensional vector giving a measure of the trading liquidity for each of the possible investments;
- electronically receiving by a programmed computer a subset of illiquid assets from the potential investments;
- calculating on the programmed computer a portfolio of assets with percentage weights, wherein the ratio of each percentage weight of the asset in the portfolio over the measure of trading liquidity is the same value for each asset in the subset of illiquid assets where the value is independent of a number of shares or a currency amount invested in each potential investment;
- and
- electronically outputting the optimized portfolio employing an output device.
3 more elements
A computer-implemented method for constructing a portfolio of investment assets comprising:
- electronically receiving by a programmed computer a set of N potential investments having a range of liquidities;
- electronically receiving by the programmed computer an N-dimensional vector giving a measure of the trading liquidity for each of the possible investments;
- electronically receiving by a programmed computer a subset of illiquid assets from the potential investments;
- calculating on the programmed computer a portfolio of assets with percentage weights, wherein the ratio of each percentage weight traded in the asset in the portfolio over the measure of trading liquidity is the same value for each asset in the subset of illiquid assets where the value is independent of a number of shares or a currency amount invested in each potential investment;
- and
- electronically outputting the optimized portfolio employing an output device.
3 more elements
A computer-implemented method for constructing a portfolio of investment assets comprising:
- electronically receiving by a programmed computer a set of N potential investments having a range of liquidities;
- electronically receiving by the programmed computer an N-dimensional vector giving a measure of the trading liquidity for each of the possible investments;
- electronically receiving by the programmed computer an N-dimensional vector giving percentage weights for a benchmark index of investment assets;
- determining on the programmed computer a first low liquidity, possibly empty subset of the N potential investments having a liquidity less than a predetermined low liquidity;
- determining a second high liquidity, possibly empty subset of the N potential investments having a liquidity greater than a predetermined high liquidity;
- determining a central range subset of the N potential investments having liquidities between the low predetermined liquidity and the high predetermined liquidity;
- calculating a portfolio on the programmed computer in which the percentage weight of each investment in the central range subset of investments is determined by a liquidity constraint;
- and
- electronically outputting the portfolio employing an output device.
6 more elements
Dependencies are inferred from the claim text.