Computer system and computerized method for administering an investment fund

A computer system for simulating a plurality of potential asset allocation strategies, for selecting an investment strategy from the plurality of potential asset allocation strategies, and for administering an investment fund having a plurality of shares, a managed distribution schedule comprising a plurality of consecutive annual periods and a number of payments to be provided during each of the consecutive annual periods, and an investment strategy for investing in assets to provide funds sufficient to meet the managed distribution schedule, the computer system comprising:

• a computer processor, the computer processor specially programmed with instructions for performing method steps comprising:
• modeling the plurality of asset allocation strategies by defining a capital markets model, said capital markets model comprising:
• a core module comprising a dynamic statistical model of global macroeconomic and financial risk factors, including global equity factors, global fixed income factors, and global economic factors, and adapted to generate forecasts of such risk factors over a selected time horizon;
• an attribution module configured to map returns of selected asset classes to contemporaneous changes in said risk factors based on observed historical relationships and estimated using regression techniques;
• a simulation module configured to construct scenarios for said risk factors and said selected asset classes to create a distribution of future returns, volatilities and correlations;
• using the capital markets model to perform thousands of regression-based Monte Carlo simulations to model distributions of returns and volatilities for a plurality of asset classes;
• combining the plurality of simulations for the plurality of asset classes to create a set of potential investment portfolios, each potential investment portfolio corresponding to one of the plurality of potential asset allocation strategies;
• generating a visual output comprising a digital image of an efficient frontier of the potential asset allocation strategies plotted by probability of year-to-year decline and probability of maintaining real or nominal distributions;
• receiving as an input via a user interface a selected asset allocation strategy corresponding to one of the potential asset allocation strategies plotted along the efficient frontier;
• calculating annually the value of each of the payments to be provided according to the managed distribution schedule in a selected annual period;
• periodically updating the modeling of the plurality of asset allocation strategies using updated historical results of the plurality of asset classes and investments represented in the investment portfolio and a plurality of asset classes and investments not represented in the investment portfolio;
• generating an updated digital image comprising an updated efficient frontier of the potential asset allocation strategies plotted by probability of year-to-year decline and probability of maintaining real or nominal distributions;
• receiving via the user interface selection of an updated asset allocation strategy;
• and
• reinvesting or rebalancing the investment portfolio according to the updated asset allocation strategy.

A method for selecting an investment strategy from the plurality of potential asset allocation strategies, and for administering an investment fund having a plurality of shares, a managed distribution schedule comprising a plurality of consecutive annual periods and a number of payments to be provided during each of the consecutive annual periods, and an investment strategy for investing in assets to provide funds sufficient to meet the managed distribution schedule, the method comprising providing a computer system comprising a computer processor specially programmed with instructions for performing method steps comprising:

• a) using the computer processor for modeling the plurality of asset allocation strategies by defining a capital markets model, said capital markets model comprising:
• a core module comprising a dynamic statistical model of global macroeconomic and financial risk factors, including global equity factors, global fixed income factors, and global economic factors, and adapted to generate forecasts of such risk factors over a selected time horizon;
• an attribution module configured to map returns of selected asset classes to contemporaneous changes in said risk factors based on observed historical relationships and estimated using regression techniques;
• a simulation module configured to construct scenarios for said risk factors and said selected asset classes to create a distribution of future returns, volatilities and correlations;
• b) using the capital markets model in the computer processor to perform thousands of regression-based Monte Carlo simulations to model distributions of returns and volatilities for a plurality of asset classes;
• c) using the computer processor for combining the plurality of simulations for the plurality of asset classes to create a set of potential investment portfolios, each potential investment portfolio corresponding to one of the plurality of potential asset allocation strategies;
• d) using the computer processor for generating a visual output comprising a digital image of an efficient frontier of the potential asset allocation strategies plotted by probability of year-to-year decline and probability of maintaining real or nominal distributions;
• e) using a user interface of the computer system for inputting a selected asset allocation strategy corresponding to one of the potential asset allocation strategies plotted along the efficient frontier;
• e) using the computer processor for calculating annually the value of each of the payments to be provided according to the managed distribution schedule in a selected annual period;
• f) recording issuance of at least one share to an investor in exchange for funds received from the investor;
• g) investing the received funds according to the selected asset allocation strategy, thereby creating an investment portfolio;
• h) providing each of the payments to the investor during the selected annual period;
• i) periodically updating the modeling of the plurality of asset allocation strategies in the capital markets model in the computer processor using updated historical results of the plurality of asset classes and investments represented in the investment portfolio and a plurality of asset classes and investments not represented in the investment portfolio;
• j) using the computer processor for generating an updated digital image comprising an updated efficient frontier of the potential asset allocation strategies plotted by probability of year-to-year decline and probability of maintaining real or nominal distributions;
• e) using the user interface of the computer system for inputting selection of an updated asset allocation strategy;
• and
• j) using the computer processor for reinvesting or rebalancing the investment portfolio according to the updated asset allocation strategy.