US 2019/0295176 A1 · Asset Allocation and Portfolio Rebalancing via an Economy's Relative Information Processing Ratio

Abstract

An invention for managing assets in one or more investment funds in response to the evolution of an economy's relative information processing cycle (IPC): Specifically, and the level and variance of the economy's relative information processing ratio (IPR). A fund comprises a plurality of assets (e.g., stocks, bonds, currencies, gold, silver, oil, gas, cryptocurrencies such as bitcoin, ethereum, and the like, and cryptocurrencies which themselves are portfolios of plurality of assets, and cryptocurrencies whose value is determined by other assets). As the economy's relative information processing cycle (IPC) evolves and the relative information processing ratio rises the portfolio may be adjusted to become less conservative. As economy's relative information processing cycle (IPC) and relative information processing ratio (IPR) falls the portfolio may be adjusted to become more conservative. As the economy's relative information processing cycle (IPC) evolves and the relative information processing ratio variance rises the portfolio may be adjusted to become more conservative. As economy's relative information processing cycle (IPC) and relative information processing ratio variance (IPR) falls the portfolio may be adjusted to become less conservative. The level and variance of relative information processing ratio may be used in conjunction to adjust a portfolio.

Claims26

Dependent claims

A computer system for managing assets in each of a plurality of investment funds, the system comprising:

a processor for executing programmed instructions and for storing and retrieving data;
program memory, coupled to the processor, for storing program instructions for execution by the processor;
an output device, coupled to the processor, for displaying data;
an input device, coupled to the processor, for accepting input data associated with each investment fund for storage in the memory, including:
R/C adjustment levels for each investment fund, and an actual investment mix among the assets in each investment fund;
and
an investment program, stored in the memory and executable on the processor, for automatically and periodically:
determining for each investment fund a current relative investment level for the investment fund as a function of the relative information processing ratio R/C of an economy as determined by:
r
t
=
B
0
+
ln

(
t
)
t

(
1
-
e
-
C
1

(
1
-
R
C
)
)
-
ln

(
σ
)
t

(
e
-
C
1

(
1
-
R
C
)
)
Where
R
C
is the economy's relative information processing ratio;
t is time to maturity of the bonds;
rt is the economy's yield curve rate at maturity t;
B0 is the asymptotic long rate such as the 30-year bond yield rate;
Cl and σ are adjustment constants
determining a R/C adjusted asset mix for each investment fund as a function of the current R/C level, and modifying the investment mix of each investment fund as a function of the R/C adjusted asset mix.

63 more elements

A computer implemented method for managing assets in an investment fund using a computer comprising a processor, storage, and a memory, the method comprising the steps of:

establishing, via the processor, an investment fund, the investment fund having an actual asset allocation including a plurality of assets, predetermined R/C adjustment levels for the investment fund, each asset in the asset allocation being a member of an asset class, each asset class having an asset class weight;
periodically determining, via the processor, a current R/C adjusted asset mix for the investment fund as a function of the current R/C adjusted asset mix, the current R/C level determined by:
r
t
=
B
0
+
ln

(
t
)
t

(
1
-
e
-
C
1

(
1
-
R
C
)
)
-
ln

(
σ
)
t

(
1
-
e
-
C
1

(
1
-
R
C
)
)
Where
R
C
is the economy's relative information processing ratio;
Where t is time to maturity of the bonds;
rt is the economy's yield curve rate at maturity t;
B0 is the asymptotic long rate such as the 30-year bond yield rate;
Cl and σ are adjustment constants

58 more elements

A computer system for managing assets in each of a plurality of investment funds, the system comprising:

a processor for executing programmed instructions and for storing and retrieving data;
program memory, coupled to the processor, for storing program instructions for execution by the processor;
an output device, coupled to the processor, for displaying data;
an input device, coupled to the processor, for accepting input data associated with each investment fund for storage in the memory, including:
R/C adjustment levels for each investment fund, and an actual investment mix among the assets in each investment fund;
and
an investment program, stored in the memory and executable on the processor, for automatically and periodically:
determining for each investment fund a current relative investment level for the investment fund as a function of the relative information processing ratio R/C of an economy as determined by:
r
t
=
B
0
+
ln

(
t
)
t

(
1
-
e
-
C
1

(
1
-
R
C
)
)
-
ln

(
σ
)
t

(
1
-
e
-
C
1

(
1
-
R
C
)
)
Where
R
C
is the economy's relative information processing ratio;
t is time to maturity of the bonds;
rt is the economy's yield curve rate at maturity t;
B0 is the asymptotic long rate such as the 30-year bond yield rate;
Cl and σ are adjustment constants
determining a R/C adjusted asset mix for each investment fund as a function of the current variance of R/C, and modifying the investment mix of each investment fund as a function of the R/C adjusted asset mix.

65 more elements

Dependencies are inferred from the claim text.

Asset Allocation and Portfolio Rebalancing via an Economy's Relative Information Processing Ratio

Life of this patent

Asset Allocation and Portfolio Rebalancing via an Economy's Relative Information Processing Ratio

Life of this patent

Abstract

Claims26