[go: up one dir, main page]

WO2002021410A1 - Procede et systeme servant a creer ou a gerer des fonds a base de recommandations - Google Patents

Procede et systeme servant a creer ou a gerer des fonds a base de recommandations Download PDF

Info

Publication number
WO2002021410A1
WO2002021410A1 PCT/US2001/041878 US0141878W WO0221410A1 WO 2002021410 A1 WO2002021410 A1 WO 2002021410A1 US 0141878 W US0141878 W US 0141878W WO 0221410 A1 WO0221410 A1 WO 0221410A1
Authority
WO
WIPO (PCT)
Prior art keywords
recommendation
investment fund
financial
indicator
capital
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Ceased
Application number
PCT/US2001/041878
Other languages
English (en)
Inventor
Eric Shkolnik
Aleksey S. Popelyukhin
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
INTEGRATED DATA CONSULTING SERVICES Inc
Original Assignee
INTEGRATED DATA CONSULTING SERVICES Inc
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by INTEGRATED DATA CONSULTING SERVICES Inc filed Critical INTEGRATED DATA CONSULTING SERVICES Inc
Priority to AU2001289156A priority Critical patent/AU2001289156A1/en
Publication of WO2002021410A1 publication Critical patent/WO2002021410A1/fr
Anticipated expiration legal-status Critical
Ceased legal-status Critical Current

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Definitions

  • the present invention relates to a method of creating or managing an investment fund.
  • One object of the present invention is to provide a mechanism for allowing the consistent utilization of the investment recommendations provided by the financial institutions.
  • Another object of the present invention is to maximize the risk- adjusted return in an investment fund.
  • a further object of the present invention is to create or manage the investment fund based on the above-mentioned recommendation provided by the financial institutions.
  • the present invention provides a method and system for forming or managing an investment fund.
  • at least one recommendation is selected from a set of recommendations provided by an analytical source.
  • At least one financial instrument that is associated with the selected recommendations is then obtained to form or manage the investment fund.
  • the present invention also provides a method and system for forming or managing an investment fund having a capital.
  • One or more analytical sources are designated. At least one desired recommendation level is selected from the designated analytical sources. Then, one or more financial instruments associated with the selected recommendation level(s) provided by the designated analytical source or sources are obtained.
  • the obtained financial instruments according to the present invention may include shares of a common stock or other investment securities. Liquid assets used to obtain or purchase the financial instruments may include cash and/or freely marketable securities.
  • the capital of the investment fund may be allocated by applying a mathematical algorithm.
  • the initial allocation of the capital the investment fund may be carried out in accordance with a first mathematical algorithm.
  • the capital may be re-allocated upon an occurrence of a predetermined triggering event.
  • the re-allocation of the capital may be carried out in accordance with a second mathematical algorithm.
  • the first mathematical algorithm and the second mathematical algorithm may be either different or substantially the same.
  • the mathematical algorithms used to determine the allocation and/or the re-allocation of the capital of the investment fund according to the present invention may relate to a performance indicator of the financial instruments to be obtained or already held by the investment fund.
  • the mathematical algorithms may also relate to a performance indicator of the investment fund as a whole, or may include an equal division of the fund's capital among all financial instruments associated with the recommendation(s) of a particular analytical source.
  • the indicator may include the ratio of an excess return to a variance of the excess return, the standard deviation of the return, and/or a price to earnings per share ratio.
  • the indicator may also include the Sharpe's ratio.
  • the predetermined triggering events according to the present invention may include a new recommendation from the designated analytical source, a change in the recommendation level(s) for one or more financial instruments held by the investment fund, a withdrawal of liquid assets by the investors, a new investment of the liquid assets, a change in a performance indicator, and/or an expiration of a predefined time limit.
  • Fig. 1 shows an embodiment of a method for creating and/or managing an investment fund according to the present invention.
  • Fig. 2 shows another embodiment of the method according to the present invention.
  • Fig. 3 shows an exemplary diagram of a method for providing an initial allocation of capital in the investment fund according to the present invention.
  • Fig. 4 shows an exemplary system according to the present invention.
  • Fig. 5 shows an exemplary diagram of a method which provides a re-allocation of capital of the investment fund according to the present invention.
  • Analytical source an entity that issues recommendations for securities in the ordinary course of business (e.g., a financial institution, a group of financial analysts, a sub-group of analysts which analyses a specific industry or a sector or a single financial analyst).
  • Liquid asset - cash or freely marketable securities readily convertible to cash.
  • Recommendation - a set of one or more recommendation levels used by the analytical source to describe the estimated market prospects of a specific financial instrument.
  • Recommendation level - a rating that the specific financial instrument is given by the analytical source.
  • a recommendation can be a set of possible recommendation levels used by an analytical source to describe the market prospects of certain financial instruments.
  • the recommendation levels are usually short phrases indicating the recommended action with respect to the particular financial instrument, such as "Buy”, “Hold”, “Sell”, etc.
  • the recommendations may include, for example, three recommendation levels (e.g., “Buy”, “Hold” and “Sell”), four recommendation levels (e.g., “Strong Buy”, “Buy”, “Hold” and “Sell”), etc.
  • Various types of the recommendation levels may also be used by different analytical sources. These levels may be, e.g., “Underperform”, “Market Perform” and “Outperform”; “Sell”, “Hold” and “Accumulate” and so on.
  • the recommendations may be “upgraded”, for example, from “Hold” to “Buy”, or “downgraded”, for example from “Hold” to “Sell”. An upgrade or downgrade constitutes a change in the recommendation level.
  • shares of Company A's stock may be trading on the New York Stock Exchange ® at $35 per share on a particular date.
  • the financial analyst familiar with the business of Company A has previously maintained a "Hold” recommendation level for Company A's shares of its common stock.
  • this financial analyst has upgraded Company A's common stock to "Buy", informing the investment public that, in his or her view, the shares of Company A's stock should rise in value.
  • the investment public may react to the analyst's change in the recommendation level by buying the shares of Company's A common stock. As a result, the price of the Company A's shares may rise to, for example, $40.
  • the investment public may disagree with the recommendation of the financial analyst.
  • the degree of the market reaction to the recommendation is likely to depend on the analyst's reputation and track record.
  • the method of outputting the financial data and recommendation data, which allows the public to follow and evaluate the track records of financial institutions is described in co-pending U.S. Patent Serial Application No. 09/295,220 filed on April 21, 1999, which is incorporated herein by reference in its entirety.
  • the public may choose to follow the recommendations of one analytical source, and/or and ignore the recommendations of another.
  • the method and system according to the present invention allows the investment public to make such choices in a consistent manner by providing an investment vehicle for the investors seeking to follow the recommendations from a specific analytical source or sources. Indeed, with the present invention these investors may invest in the financial instruments (e.g., the funds) which are rated by the financial analyst in a particular manner.
  • the investment fund is created and/or managed by the method and system of the present invention by selecting at least one recommendation (or recommendation level) from a set of recommendations (or recommendation levels) provided by an analytical source (step 1).
  • at least one financial instrument that is associated with the selected recommendation(s) or recommendation level(s) are obtained.
  • the typical analytical sources are a financial analyst, a financial institution or a group of analysts.
  • the financial instruments may include shares of stock, bonds, options and futures, Real Estate Investment Trusts (REITs), or any other investment securities or vehicles used for the investment purposes for which the analytical sources provide their recommendations.
  • the financial instruments may be purchased or obtained in any other manner.
  • the method and system of the present invention provides an ability to utilize a consistent investment scheme to invest in the financial instruments that are associated with the recommendations generated by the analytical source.
  • the method and system of the present invention enables an investment in the particular financial instruments that have associated therewith a desired (or undesired) recommendation level from the designated analytical source.
  • the method of the present invention may designate the analytical source or sources (step 10), select a desired recommendation level (step 20), and obtain the financial instrument(s) that carry the selected recommendation level from the designated analytical source(s) (step 30).
  • the decision to obtain the financial instrument(s) can be performed when the recommendation at the selected level has been issued by the designated analytical source(s).
  • the investment fund according to the present invention which is designated as Goldman Sachs ® Buy 1 should preferably obtain all financial instruments carrying the "Buy" recommendation level from Goldman Sachs ® .
  • the investment fund designated as Thomas Shoes Market Perform should preferably obtain financial instruments rated as "Market Perform” by Thomas Weisel, and so on.
  • the Goldman Sachs ® Buy fund is formed and managed by designating Goldman Sachs ® as the analytical source, selecting the "Buy” recommendation level of the selected analytical source, and obtaining or purchasing all financial instruments carrying the "Buy” recommendation level from Goldman Sachs ® .
  • the investment fund designated as Goldman Sachs ® Buy and Thomas Weisel ® Market Perform may also consist of all financial instruments that carry a "Buy” recommendation from Goldman Sachs ® , and, simultaneously carry a "Market Perform” recommendation from Thomas Weisel ® .
  • a usage of other variations and/or combinations of different financial instruments carrying various recommendations are also conceivable according to the present invention.
  • the funds of the present invention are not limited by a single recommendation level. In fact, such fund may consist of all financial instruments rated as "Buy” as well as “Hold” by Goldman Sachs ® .
  • Fig. 3 shows a method for the creation and initial allocation of the capital in the investment fund according to the present invention.
  • the desired analytical source is designated and made known to the potential investors (e.g., the financial analyst-Smith).
  • a first mathematical algorithm used to determine the initial allocation of the fund's capital is chosen and disclosed to the investment public (e.g., the capital of the fund is divided equally among all financial instruments).
  • the desired recommendation level is then selected from the designated analytical source(s) (e.g., the "Buy" recommendation level).
  • the liquid assets are then collected from the investors to create the capital of the fund (step 400).
  • the designated analytical source(s) may provide several outstanding recommendations.
  • the capital of the fund is invested in the securities that carry the designated recommendation level from the selected analytical source (step 500), and the initial allocation of the capital of the investment fund in accordance with the chosen first mathematical algorithm is provided (step 500).
  • the recommendation level is selected and the mathematical algorithm is chosen, the investment activities of the fund may be automated by utilizing the appropriate computer hardware and software known in the art.
  • One exemplary embodiment of the system according to the present invention is shown in Fig. 4.
  • Fig. 4 shows an exemplary embodiment of a system 50 according to the present invention.
  • the system 50 includes an arrangement 55 which is connected (e.g., via a wired connection or a wireless connection) to a communications network 30.
  • the arrangement 55 includes a storage device 10, a communications device 15 and a computing device 20.
  • the storage device 10 may be a hard drive, a Read-Only-Memory ("ROM”) device, a Read- Access-Memory (“RAM”) device, a laser disk storage device, etc.
  • the communications device 15 may be a network card, a modem, etc.
  • the computing device 20 may be a general purpose microprocessor (e.g., an Intel ® Pentium ® processor) or a special purpose processor.
  • the arrangement 55 utilizes the communications device 15 to connect to the communications network 30.
  • the computing device 20 is connected to the communications device 15 for receiving data from and transfer the data to the communications network 30.
  • various user display devices may be connected to the communications network 30.
  • these user devices may be a personal computer 35, a laptop computer 36, a workstation 37 and/or other communication devices.
  • These user devices communicate with the arrangement 55 via the communications network 30 to possibly receive display data generated by the arrangement 55.
  • the arrangement 55 is adapted to receive various information via the communications network 30.
  • Such information generally includes financial data for financial instruments 40 and financial analyst analysis rating data 45 (e.g., the recommendations) for these financial instruments.
  • the arrangement 55 may also receive ratings standard data 48 (e.g., the recommendation levels) for each financial analyst.
  • the financial data 40 may include stock names and corresponding stock prices.
  • the financial data 40 may also include the financial information on options and other financial instruments.
  • the financial analyst analysis data 45 may provide a list names of financial analysts, their rating statuses for one or more stocks, and particular points in time when the rating statuses were issued.
  • the financial analyst analysis data 45 may also provide one or more stocks, the rating statuses for each of the stocks by the investment banks which evaluate the particular stock, and the points in time when the rating statuses were issued by the financial analysts.
  • the ratings standard data 48 may include names of financial analysts and rating lists for each financial analyst.
  • the financial analyst rating standard data 48 may provide a name of a particular financial analyst (e.g., Bear Stearns) and a rating list of this financial analyst (e.g., Strong Buy, Buy, Above Average, Accumulate, Hold, Below Average and Sell).
  • a data provider e.g., an information server
  • the arrangement 55 may request the data 40, 45, 48 from a data provider (e.g., an information server) via the communications network 30. Then, the data provider transmits a data stream which includes the requested financial data 40 and the requested financial analyst analysis data 45 to the arrangement 55.
  • the data provider may also transmit the financial analyst ratings standard data 48 to the arrangement 55.
  • the arrangement 55 receives this data stream from the communications network 30 via its communications device 15, and records the data provided in the data stream in the storage device 10.
  • the storage device 10 may include one or more databases to conveniently maintain the currently received data, along with the data which was previously received. These databases may include the financial data 40 which can be correlated with the financial analyst analysis data 45 using, e.g., an indexing procedure.
  • a user may be connected to the communication network 30 via a display device (e.g., the personal computer 35, the laptop 36, the workstation 37, a printer, etc.). Then, the user may want to participate in investing in one or more of the funds created and/or managed using the data 40, 45, 48.
  • the arrangement 55 may create and/or manage the funds associated with the recommendations issued by the particular financial analyst(s). In addition, the arrangement 55 may allow the user to invest in these funds, manage his or her assets within the funds, and/or sell the assets from one or more of the funds.
  • the arrangement 55 may execute one or more of these functions by retrieving the information regarding the ratings or other analyst data from the storage device 10 (by the computing device 20) and executing the method according to the present invention described herein with reference to Figs. 1, 2, 3 and 5.
  • the management and investment practices of the investment funds according to the present invention are similar to the currently existing index funds (i.e., S & P 500 index funds, Dow Transportation index fund, etc.) in which the investment decisions and the capital allocation are guided by predetermined mathematical algorithms.
  • the traditional mutual funds are managed by individuals with a significant degree of discretion. Therefore, the investment funds according to the present invention may be called the Recommendation Based Funds (RBF).
  • Example 1 shows the initial allocation of the capital in a hypothetical Recommendation Based "Buy” Fund. It should be understood that this example is provided only as an illustration, and in no way limits the present invention.
  • John Smith is designated as the analytical source.
  • the first mathematical algorithm is chosen, and includes an equal division of the capital among all financial instruments that carry the recommendation level to be selected from John Smith.
  • the liquid assets are collected by the investors who are interested in investing in the financial instruments recommended by John Smith.
  • the total of the collected liquid assets may be $9,000.
  • John Smith has "Buy" recommendations for the shares of a common stock of companies A, B and C.
  • the chosen mathematical algorithm e.g., an equal division of capital
  • John Smith "Buy” Fund should invest $3,000 in the shares of company A, $3,000 in the shares of company B and $3,000 in the shares of company C.
  • the chosen mathematical algorithm may relate to an indicator of the performance of the financial instruments to be obtained by the investment fund.
  • the exemplary indicators of this nature can be price to earnings per share (P/E) ratio, standard deviation of return, ratio of excess return (E(R e )) to variance of excess return (VartJRJ), etc., all of which are well known in the art.
  • P/E earnings per share
  • E(R e ) ratio of excess return
  • VartJRJ variance of excess return
  • the capital of the investment fund may be used to obtain the specific financial instruments in accordance with the relative weight of the indicator for the specific financial instrument to the total capital of the fund.
  • Such allocation of the capital may, e.g., further the goal of maximizing the risk adjusted return of the investment fund since these indicators are related to the performance of the financial instruments. For example, a smaller price per earning per share ratio (P/E) may indicate the strength of the shares of the particular stock.
  • P/E price per earning per share ratio
  • Example 2 described below shows the initial allocation of the capital in a hypothetical Recommendation Based "Buy” Fund with the chosen mathematical algorithm based on the price to earnings per share (P/E) ratio. It should be understood that this example is provided only by way of an illustration, and in no way limits the present invention.
  • John Brown is designated as the analytical source.
  • the chosen first mathematical algorithm is the allocation of the capital in accordance with the P/E ratios for the financial instruments to be obtained (e.g. , for which the exemplary algorithm is shown below) that carry the recommendation level to be selected from John Brown's recommendations.
  • a Recommendation Based Fund can be designated as John Brown "Buy” Fund.
  • the initial liquid assets of the fund are provided by the investors and consist of, e.g., $1,000.
  • the John Brown “Buy” Fund purchases the financial instruments associated with a "Buy” recommendation from John Brown or from other sources.
  • John Brown has "Buy” recommendations for the shares of a common stock of companies A l5 B, and .
  • the P/E for the shares of companies A ]5 B] and Cj are 50, 40 and 10, respectively.
  • the John Brown "Buy” Fund preferably allocates the initial capital on the basis of the P/E ratios for shares of stock of companies A l5 Bi and Cj .
  • a part of the fund's capital allocated to the shares of the particular stock is preferably inversely proportional to the P/E ratio for the stock.
  • Y C1 (P E A1 +P/E B1 +P/E C1 )/P/E C1 ; (3 * YAI/(YAI+YBI+YCI): (*
  • X B1 X * Y B1 /(Y A1 +Y B1 +Y C1 );
  • X C1 X * Y C1 /(Y A1 +Y BI +Y C1 ), (6 where P/E A ⁇ , P/E B1 and P/E cl are the price to earnings per share ratios for stocks A, ,
  • X is the total capital of the fund
  • Y A1 , Y B1 and Y C1 are the fractions of the P/E ratios for stocks A l5 Bj and C l5 respectively
  • X A1 , X B1 and X C1 are the capital allocations (in dollars) for stocks A b B r and C l5 respectively.
  • the John Brown “Buy” Fund should preferably invest $689 in the shares of company A l5 $172 in the shares of company B 1 and $137 in the shares of company .
  • Another useful indicator of the performance of financial instruments is the ratio of excess return (ECRJ) to a variance of excess return (Var(R e )).
  • ECRJ excess return
  • Var(R e ) variance of excess return
  • Example 3 Creation of John Johns Buy RBF based on the ratio of excess return to the variance of excess return (E(R,V Var(RJ). 1. John Johns is designated as the analytical source.
  • the first mathematical algorithm is chosen, and includes the allocation of the capital in accordance with the E(R e )/ Var(Rg) ratios for the financial instruments to be obtained that carry recommendation level to be selected from John Johns.
  • the exemplary algorithm is described in further detail below. 3.
  • the "Buy" recommendation level for John Johns as the designated analytical source is selected.
  • the liquid assets are collected from investors who are interested in investing in the financial instruments recommended by John Johns.
  • the collected liquid assets of the fund are, e.g., $10,000.
  • the John Johns "Buy” Fund purchases the financial instruments carrying a "Buy” recommendation from John Johns or from another entity.
  • John Johns has "Buy" recommendations for shares of a common stock of companies A 2 , B 2 and C 2 .
  • the E(R e )/ V r(R e ) ratios for the shares of companies A 2 , B 2 and C 2 are 0.1, 0.4 and 0.5, respectively.
  • the John Johns "Buy” Fund allocates the initial capital on the basis of the E(R e )/ Var(R e ) ratios for the shares of stock of companies A 2 , B 2 and C 2 . Since the larger E(R e )/ Var(R e ) ratios may indicate the strength of the financial instrument, the allocation of the capital of the fund invested in the specific stock can be directly proportional to the E(Rg)/ Var(R e ) ratios for the particular stock.
  • the following is the exemplary mathematical algorithm that relates to E(R e )/ Var(R e ) ratios for the shares of stock of companies A 2 , B 2 and C 2 to be obtained by the fund.
  • the John Johns “Buy” Fund should preferably invest $1,000 in the shares of company A 2 , $4,000 in the shares of company B 2 , and $10,000 in the shares of company C 2 .
  • the above-described exemplary mathematical algorithm may also relate to an indicator of a performance of the investment fund as a whole, e.g., an average performance indicator for all financial instruments to be obtained by the fund.
  • This indicator may be, for example, the Sharpe's ratio of the fund.
  • the mathematical algorithm for the capital allocation can be either explicitly specified/set as provided in the examples above or derived from a particular goal function that maximizes ( and/or minimizes) a pre-selected indicator of the fund's performance.
  • the Sharpe's ratio may serve as a well-recognized, objective and verifiable measurement of the risk-adjusted return.
  • the maximization of the risk- adjusted return is one of the financial goals of RBF.
  • the Sharpe's ratio of RBF may be maximized by allocating the capital of RBF in accordance with the ratio of excess return (E(Rg)) to the variance of excess return (Var(R e )) for each financial instrument held by the respective fund.
  • Example 4 provided below shows an exemplary mathematical algorithm that may be used to allocate the capital of a hypothetical RBF.
  • x andy are defined as the capital allocations of the unit of money to stock A and B, respectively.
  • Fig. 5 shows a diagram of the method for the re-allocation of the capital of the investment fund according to the present invention.
  • step 1000 the capital is allocated for the fund.
  • the capital of the fund may be re-allocated upon an occurrence of one or more predetermined triggering events (step 2000). Such exemplary events are described in further detail below.
  • the designated analytical source may issue a new recommendation (event 2100) for one or more financial instruments not previously held by the investment fund.
  • a new recommendation for one or more financial instruments not previously held by the investment fund.
  • John Smith may issue a new recommendation for the shares of the common stock of company D.
  • the John Smith "Buy” RBF's capital is invested in the shares of companies A, B and C.
  • the capital of the John Smith "Buy” RBF should preferably be re-allocated in order to obtain the shares of the common stock of Company D.
  • a change in the recommendation level (event 2200) from the designated analytical source may possibly require a re-allocation of capital.
  • the John Smith Buy RBF should preferably re-allocate these funds to remove the shares of Company A from its holdings.
  • triggering event may also necessitate the re-allocation of the capital.
  • a withdrawal of the liquid assets by one or more investors (event 2300), or a new investment of liquid assets into the investment fund (event 2500) may require a sale or purchase of the financial instruments.
  • the allocation of the capital of the investment fund is determined by applying a mathematical algorithm, which may be related to the indicator of the performance of one or more financial instruments, or to the indicator of the performance of the investment fund as a whole.
  • a change in the performance indicator (event 2400), which relates to the chosen mathematical algorithm may also be selected to necessitate a re-allocation of capital.
  • vent 2600 may also be chosen as a triggering event for re-allocating the capital.
  • the triggering events leading to the re-allocation of the capital may be predetermined at the creation of the investment fund, and as such may be defined as the predetermined triggering events (general event 2000).
  • the new allocation of capital after the re-allocation may be determined by an application of a second mathematical algorithm (step 3000).
  • the second mathematical algorithm may be substantially the same as, or different from the first mathematical algorithm (step 200) used in the determination of the initial allocation of the capital.
  • the new allocation of the capital is usually achieved by the sale and/or purchase of the financial instruments (step 4000).
  • the exemplary investment fund based on the predetermined triggering events is a Fixed-Horizon Recommendation Based Fund (FH-RBF).
  • FH-RBF is an investment fund in which the financial instruments to be obtained are held for a predefined time period (t 0 ,t,) after the recommendation at the selected recommendation level is issued by the designated analytical source.
  • t 0 is defined as the period of time from the issuance of the recommendation at the desired recommendation level to the time when the associated financial instruments is preferably obtained by the investment fund
  • tj is defined as the time from the issuance of the recommendation to the time when the associated financial instrument should be sold by the investment fund.
  • Example 5 provided below describes a creation and operation of FH-RBF.
  • the pre-defined period (to, ⁇ ) can be the same for all financial instruments held by the investment fund.
  • the time period (t ) may be different for one or more of the financial instruments.
  • Goldman Sachs ® is designated as the analytical source. 2.
  • the first mathematical algorithm is chosen which includes the equal division of the capital among all financial instruments.
  • Goldman Sachs ® "Buy 3-45 days” FH-RBF is created.

Landscapes

  • Business, Economics & Management (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Engineering & Computer Science (AREA)
  • Development Economics (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Theoretical Computer Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

Procédé et système servant à constituer ou à gérer un fond d'investissement dont la totalité de la valeur de marché de l'actif représente son capital. Dans un mode de réalisation, on désigne une ou plusieurs sources analytiques. Puis on sélectionne à partir de cette source analytique désignée, au moins un niveau de recommandation désiré. On obtient ensuite un ou plusieurs instruments financiers associés au niveau de recommandation sélectionné produit par la source analytique désignée. Dans un autre mode de réalisation, on sélectionne au moins une recommandation dans un ensemble de recommandations produit par une source analytique. On obtient enfin au moins un instrument financier associé à cette recommandation sélectionnée afin de constituer ou de gérer le fond d'investissement.
PCT/US2001/041878 2000-09-06 2001-08-23 Procede et systeme servant a creer ou a gerer des fonds a base de recommandations Ceased WO2002021410A1 (fr)

Priority Applications (1)

Application Number Priority Date Filing Date Title
AU2001289156A AU2001289156A1 (en) 2000-09-06 2001-08-23 Method and system for creating or managing recommendation based funds

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US65607900A 2000-09-06 2000-09-06
US09/656,079 2000-09-06

Publications (1)

Publication Number Publication Date
WO2002021410A1 true WO2002021410A1 (fr) 2002-03-14

Family

ID=24631524

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2001/041878 Ceased WO2002021410A1 (fr) 2000-09-06 2001-08-23 Procede et systeme servant a creer ou a gerer des fonds a base de recommandations

Country Status (2)

Country Link
AU (1) AU2001289156A1 (fr)
WO (1) WO2002021410A1 (fr)

Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US7783547B1 (en) 2004-12-10 2010-08-24 HedgeCity Corporation System and method for determining hedge strategy stock market forecasts

Citations (8)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US5193056A (en) * 1991-03-11 1993-03-09 Signature Financial Group Inc. Data processing system for hub and spoke financial services configuration
US5704045A (en) * 1995-01-09 1997-12-30 King; Douglas L. System and method of risk transfer and risk diversification including means to assure with assurance of timely payment and segregation of the interests of capital
US5729700A (en) * 1995-02-24 1998-03-17 Meyer Melnikoff Methods and apparatus for facilitating execution of asset trades based on nonnegative investment risk, using overlapping time periods
US5812987A (en) * 1993-08-18 1998-09-22 Barclays Global Investors, National Association Investment fund management method and system with dynamic risk adjusted allocation of assets
US5893079A (en) * 1994-12-13 1999-04-06 Fs Holdings, Inc. System for receiving, processing, creating, storing, and disseminating investment information
US6003018A (en) * 1998-03-27 1999-12-14 Michaud Partners Llp Portfolio optimization by means of resampled efficient frontiers
US6064985A (en) * 1998-01-21 2000-05-16 Assured Equities, Inc. Automated portfolio management system with internet datafeed
US6092056A (en) * 1994-04-06 2000-07-18 Morgan Stanley Dean Witter Data processing system and method for financial debt instruments

Patent Citations (8)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US5193056A (en) * 1991-03-11 1993-03-09 Signature Financial Group Inc. Data processing system for hub and spoke financial services configuration
US5812987A (en) * 1993-08-18 1998-09-22 Barclays Global Investors, National Association Investment fund management method and system with dynamic risk adjusted allocation of assets
US6092056A (en) * 1994-04-06 2000-07-18 Morgan Stanley Dean Witter Data processing system and method for financial debt instruments
US5893079A (en) * 1994-12-13 1999-04-06 Fs Holdings, Inc. System for receiving, processing, creating, storing, and disseminating investment information
US5704045A (en) * 1995-01-09 1997-12-30 King; Douglas L. System and method of risk transfer and risk diversification including means to assure with assurance of timely payment and segregation of the interests of capital
US5729700A (en) * 1995-02-24 1998-03-17 Meyer Melnikoff Methods and apparatus for facilitating execution of asset trades based on nonnegative investment risk, using overlapping time periods
US6064985A (en) * 1998-01-21 2000-05-16 Assured Equities, Inc. Automated portfolio management system with internet datafeed
US6003018A (en) * 1998-03-27 1999-12-14 Michaud Partners Llp Portfolio optimization by means of resampled efficient frontiers

Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US7783547B1 (en) 2004-12-10 2010-08-24 HedgeCity Corporation System and method for determining hedge strategy stock market forecasts

Also Published As

Publication number Publication date
AU2001289156A1 (en) 2002-03-22

Similar Documents

Publication Publication Date Title
Danis Do empty creditors matter? Evidence from distressed exchange offers
US7529684B2 (en) Method for obtaining and allocating investment income based on the capitalization of intellectual property
US8489491B2 (en) Method of managing financial instruments, equipment lease derivatives and other collateral instruments, data architecture, application and process program
US7480632B2 (en) Electronic collateral management system and method
US8560412B2 (en) Method and apparatus for financial investment advice available to host of users over a public network
US20060195375A1 (en) System and method of evaluating credit instruments
US20060253368A1 (en) System and method for creating and trading credit rating derivative investment instruments
MX2007002831A (es) Sistema de busqueda y solucion para productos seguros.
Ahmed Basel III liquidity requirement ratios and Islamic banking
US20090070274A1 (en) Method and system for identification and analysis of investment assets
US20020103667A1 (en) System and process for securitizing payments to third parties
US8688560B2 (en) Electronic collateral management system and method
US7752104B2 (en) Financial instruments and methods of use
US8793182B2 (en) Method of processing investment data and associated system
McCarthy Benchmarking the World: A Proposal for Regulatory Oversight of Stock Market Index Providers
US20040143533A1 (en) Computerised apparatus and methods of converting a portfolio strategy into a set of tactics
WO2002021410A1 (fr) Procede et systeme servant a creer ou a gerer des fonds a base de recommandations
Putri et al. IMPLEMENTATION OF PRUDENTIAL PRINCIPLES IN IMBT CONTRACTS HOUSE FINANCE PRODUCTS IN INDONESIAN SYARIAH BANK
US20220215474A1 (en) Computer system and method for investment portfolio analysis and rebalance
WO2001050390A1 (fr) Systeme et procede d'acquisition et de gestion de titres exprimes en dollars
Baker et al. Closed-end Funds
EP1376421A1 (fr) Procédé et système pour la valorisation des obligations
Weiss Private Equity Opportunities for Retail Investors in the European Union
Quboa et al. Detecting Underwriters Stabilisation Trades: A Clinical Study
JP2004287653A (ja) 預かり資産管理システム、預かり資産に関する取引判定プログラム及び預かり資産に関する取引判定方法

Legal Events

Date Code Title Description
AK Designated states

Kind code of ref document: A1

Designated state(s): AE AG AL AM AT AU AZ BA BB BG BR BY BZ CA CH CN CO CR CU CZ DE DK DM DZ EC EE ES FI GB GD GE GH GM HR HU ID IL IN IS JP KE KG KP KR KZ LC LK LR LS LT LU LV MA MD MG MK MN MW MX MZ NO NZ PH PL PT RO RU SD SE SG SI SK SL TJ TM TR TT TZ UA UG UZ VN YU ZA ZW

AL Designated countries for regional patents

Kind code of ref document: A1

Designated state(s): GH GM KE LS MW MZ SD SL SZ TZ UG ZW AM AZ BY KG KZ MD RU TJ TM AT BE CH CY DE DK ES FI FR GB GR IE IT LU MC NL PT SE TR BF BJ CF CG CI CM GA GN GQ GW ML MR NE SN TD TG

121 Ep: the epo has been informed by wipo that ep was designated in this application
REG Reference to national code

Ref country code: DE

Ref legal event code: 8642

32PN Ep: public notification in the ep bulletin as address of the adressee cannot be established

Free format text: COMMUNICATION PURSUANT TO RULE 69 EPC (EPO FORM 1205A OF 030903)

122 Ep: pct application non-entry in european phase
NENP Non-entry into the national phase

Ref country code: JP