公开(公告)号：US08533089B1

公开(公告)日：2013-09-10

申请号：US12958778

申请日：2010-12-02

申请人： Anthony Renshaw

发明人： Anthony Renshaw

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06

摘要： Construction of indexes are addressed wherein a portfolio of securities and their associated investment weights or shares is generated. Indexes comprising a plurality of securities can often be bought and sold more cheaply than buying and selling the individual constituents of the index resulting in reduced transaction costs. In passive and enhanced indexing, investments are made with reference to an index. Factor indexes can serve as active manager benchmarks for investable products such as exchange traded funds and mutual funds. Computer based systems, methods and software are addressed for constructing indexes that replicate the returns of a quantitative factor such as medium term momentum or value with the best possible replication of the underlying factor returns. The methodology provides an approach to determine the index even when all desirable characteristics of the index are not simultaneously achievable.

摘要翻译： 解决指数的构建，其中产生证券组合及其相关投资权重或股份。 包括多个证券的指数通常可以比购买和销售指数的各个成分更便宜地购买和出售，导致交易成本降低。 在被动和增强的索引中，投资是参考一个指数。 因素指标可以作为交易所交易基金和共同基金等可投资产品的主动经理基准。 针对基于计算机的系统，方法和软件，构建用于复制定量因子（如中等动量或价值）的回报的索引，并以最佳可能的潜在因素回报率进行复制。 即使在索引的所有期望特征不能同时实现的情况下，该方法也提供了确定索引的方法。

公开(公告)号：US20110289017A1

公开(公告)日：2011-11-24

申请号：US12827358

申请日：2010-06-30

申请人： Anthony Renshaw

发明人： Anthony Renshaw

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06

摘要： Portfolio optimization typically involves a risk model to control the level of risk in the portfolio constructed. By creating different portfolios using different risk models (fundamental or statistical; long, medium or short horizon) corresponding to different times or dates (a current or an old risk model), one obtains a large number of low risk (volatility) portfolios. A risk model return portfolio is the difference in the any two of these portfolios, and a risk model return is the return associated with a risk model return portfolio. A number of risk model return portfolios exhibit repeatable returns that can be used to an investor's advantage. Furthermore, these returns exhibit very low correlation with the benchmark returns. As such, they are uncorrelated sources of return. Such returns are considered valuable by investors. The present invention uses risk model return portfolios and their returns to create attractive investments for investors. The risk model return portfolios can be used to analyze market trends and create implied alphas for portfolio construction. They can also be used to provide constituent information that can be further used as the basis for an exchange traded fund (ETF), index or other investment vehicle.

摘要翻译： 投资组合优化通常涉及风险模型来控制投资组合中的风险水平。 通过使用对应于不同时间或日期（当前或旧风险模型）的不同风险模型（基础或统计学，长期，中期或短期水平）创建不同投资组合，可获得大量低风险（波动）投资组合。 风险模型回报组合是这两个投资组合中的两个差异，风险模型回报是与风险模型回报组合相关的回报。 一些风险模型回报组合表现出可重复的回报，可用于投资者的优势。 此外，这些回报与基准回报的相关性很低。 因此，它们是不相关的回报来源。 这种回报被投资者认为是有价值的。 本发明使用风险模型回报投资组合及其回报，为投资者创造有吸引力的投资。 风险模型回报投资组合可用于分析市场趋势，并为投资组合建立创造暗示。 它们也可用于提供可进一步用作交易所买卖基金（ETF），指数或其他投资工具的基础的构成信息。