Load aware optimization

A method of reallocating a portfolio of one or more financial products, the method comprising:

• determining whether the portfolio includes a loaded financial product;
• decomposing a fraction relating to a relative amount of the loaded financial product currently held in the portfolio into three terms, a first term being a known value representing a portion of the loaded financial product that is currently held in the portfolio, a second term being a variable representing a portion of the loaded financial product that may be sold in order to generate a recommended portfolio from the portfolio, and a third term being a variable representing a portion of the loaded financial product that may be purchased in order to generate the recommended portfolio from the portfolio and from a set of available financial products;
• determining an adjusted return for each loaded financial product of the set of available financial products and each loaded financial product contained within the portfolio based on a predetermined period of time, an expected return of each loaded financial product, and an amount of load associated with each loaded financial product;
• and
• generating the recommended portfolio of one or more financial products from the available set of financial products and from one or more financial products in the portfolio based on the predetermined period of time, current holdings in each loaded financial product, information regarding expected future contributions to or withdrawals from each loaded financial product during the predetermined period of time, and an expected return of each financial product that is non-load-bearing.

A method of reallocating a portfolio of one or more financial products, the method comprising:

• modeling each loaded financial product of the one or more financial products in terms of at least a loaded portion and an unloaded portion;
• calculating an adjusted return for each loaded financial product via the modeling and based on an expected return of each loaded financial, a predetermined holding period, current holdings in each loaded financial product, information regarding expected future contributions to or withdrawals from each loaded financial product during the predetermined holding period, and a load fee associated with each loaded financial product;
• and
• generating a reallocated portfolio based upon the adjusted return of each loaded financial product and expected returns of each unloaded financial product of the one or more financial products.

A method of financial product selection comprising:

• calculating a plurality of adjusted returns by calculating an adjusted return for each of a plurality of loaded financial products of a set of financial products available to a particular investor for investment, the plurality of adjusted returns representing expected performance of the plurality of loaded financial products as a result of a corresponding load applied to each of the plurality of loaded financial products;
• modeling each of the plurality of loaded financial products in the set of financial products available to the particular investor for investment in terms of at least a loaded portion and an unloaded portion, the loaded portion's performance described in terms of an associated adjusted return of the plurality of adjusted returns, and the unloaded portion's performance described in terms of an associated expected return of a plurality of expected returns of the plurality of loaded financial products;
• and
• generating one or more portfolios of financial products from the set of financial products in varying proportions based upon expected returns of non-loaded financial products of the set of financial products, the adjusted returns of the plurality of loaded financial products, and the modeling.

A computer system comprising:

• a processor;
• and
• a computer readable-medium containing instructions that when executed cause the processor to
• calculate a plurality of adjusted returns by calculating an adjusted return for each of a plurality of loaded financial products of a set of financial products available to a particular investor for investment, the plurality of adjusted returns representing expected performance of the plurality of loaded financial products as a result of a corresponding load applied to each of the plurality of loaded financial products;
• represent each of the plurality of loaded financial products in the set of financial products available to the particular investor for investment in terms of at least a loaded portion and an unloaded portion, the loaded portion's performance described in terms of an associated adjusted return of the plurality of adjusted returns, and the unloaded portion's performance described in terms of an associated expected return of a plurality of expected returns of the plurality of loaded financial products;
• and
• generate one or more portfolios of financial products from the set of financial products in varying proportions based upon expected returns of non-loaded financial products of the set of financial products, the plurality of adjusted returns, and the representation of each of the plurality of loaded financial products in terms of at least a loaded portion and an unloaded portion.

A method comprising:

• determining feasible exposures to a plurality of asset classes achievable by a particular investor by determining a combination of one or more asset classes of the plurality of asset classes and proportions of the one or more asset classes of the plurality of asset classes that characterize future performance of each financial product of a set of financial products available to the particular investor for investment;
• determining an adjusted return for each load-bearing financial product of the set of financial products based on a predetermined holding period, current holdings in the load-bearing financial product by the particular investor, information regarding expected future contributions to or withdrawals from the load-bearing financial product during the predetermined holding period, and an expected return of each load-bearing financial product, and an amount of load associated with each load-bearing financial product;
• and
• identifying a recommended efficient portfolio of one or more financial products form the set of financial products by maximizing an expected utility of wealth for the particular investor based upon the feasible exposures, the adjusted return of each load-bearing financial product of the set of financial products, and an expected return of each non-load-bearing financial product of the set of financial products.

A method comprising:

• identifying a relationship between returns of each financial product of a set of financial products that are available to a particular investor for investment in an account and returns of combinations of one or more factor asset classes of a set of factor asset classes by performing an exposure analysis on each financial product of the set of financial products;
• determining expected returns and volatility of returns for each of a plurality of efficient portfolios of one or more of the financial products from the set of financial products based upon the relationship, estimated adjusted returns for each load-bearing financial product of the set of financial products, information regarding expected future cash contributions to or cash withdrawals from the account, and loads associated with each load-bearing financial product;
• and
• identifying a recommended portfolio of the plurality of efficient portfolios by selecting an efficient portfolio of the plurality of efficient portfolios.

A method of reallocating a portfolio of one or more financial products, the method comprising:

• a step for modeling each loaded financial product of the one or more financial products in terms of at least a loaded portion and an unloaded portion;
• a step for calculating an adjusted return for each loaded financial product taking into consideration the loaded portion and the unloaded portion and based on an expected return of each loaded financial, a predetermined holding period, current holdings in each loaded financial product, information regarding expected future contributions to or withdrawals from each loaded financial product during the predetermined holding period, and a load fee associated with each loaded financial product;
• and
• a step for generating a reallocated portfolio based upon the adjusted return of each loaded financial product and expected returns of each non-loaded financial product of the one or more financial products.