CA2236169A1 - Appareil et procedes associes pour modifier automatiquement un portefeuille financier par reajustement dynamique, en utilisant une fonction non constante des poids des capitalisations en cours - Google Patents

Appareil et procedes associes pour modifier automatiquement un portefeuille financier par reajustement dynamique, en utilisant une fonction non constante des poids des capitalisations en cours Download PDF

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Publication number
CA2236169A1
CA2236169A1 CA 2236169 CA2236169A CA2236169A1 CA 2236169 A1 CA2236169 A1 CA 2236169A1 CA 2236169 CA2236169 CA 2236169 CA 2236169 A CA2236169 A CA 2236169A CA 2236169 A1 CA2236169 A1 CA 2236169A1
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CA
Canada
Prior art keywords
security
securities
portfolio
cash
index
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.)
Abandoned
Application number
CA 2236169
Other languages
English (en)
Inventor
Erhard Robert Fernholz
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.)
DIVERSITYPATENT LLC
Original Assignee
Individual
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 Individual filed Critical Individual
Priority claimed from US08/764,232 external-priority patent/US5819238A/en
Publication of CA2236169A1 publication Critical patent/CA2236169A1/fr
Abandoned legal-status Critical Current

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR 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
    • G06Q40/02—Banking, e.g. interest calculation or account maintenance
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR 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
    • G06Q40/06—Asset management; Financial planning or analysis

Landscapes

  • Business, Economics & Management (AREA)
  • Engineering & Computer Science (AREA)
  • Finance (AREA)
  • Accounting & Taxation (AREA)
  • Development Economics (AREA)
  • Theoretical Computer Science (AREA)
  • Physics & Mathematics (AREA)
  • General Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Entrepreneurship & Innovation (AREA)
  • Operations Research (AREA)
  • Human Resources & Organizations (AREA)
  • Game Theory and Decision Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

L'invention concerne un appareil et des procédés pour modifier automatiquement un portefeuille ayant une assiette de placements prédéfinie, par exemple un fonds indiciel. Selon ces procédés, on suit un indice de capitalisation pondéré déterminé, pour effectuer un réajustement dynamique de la position tenue pour chaque type de placement. Plus particulièrement, dans un système ordinateur (50, 60), un poids cible est attribué à chaque placement, par rapport aux autres placements du portefeuille, qui est proportionnel à une fonction non constante des poids des capitalisations en cours, correspondant aux placements du fond indiciel. Une fois ces poids cibles déterminés, le système va utiliser les poids cibles de chaque placement et un poids réel, comme par exemple la proportion du portefeuille dans laquelle ce placement est tenu à ce moment, pour provoquer une transaction pour adapter, dans une bande prédéfinie, le poids réel au poids visé, en réajustant la composition du portefeuille. Le système peut fonctionner de manière sélective dans l'un ou l'autre des modes suivants: en mode de rééquilibrage dynamique consistant à calculer de nouveaux poids cibles et à effectuer des transactions appropriées ou en mode d'investissement de liquidités consistant à initier une ou plusieurs transactions, pour absorber l'excès de liquidités du portefeuille.
CA 2236169 1995-12-15 1996-12-13 Appareil et procedes associes pour modifier automatiquement un portefeuille financier par reajustement dynamique, en utilisant une fonction non constante des poids des capitalisations en cours Abandoned CA2236169A1 (fr)

Applications Claiming Priority (6)

Application Number Priority Date Filing Date Title
US869895P 1995-12-15 1995-12-15
US60/008,698 1995-12-15
US2111696P 1996-07-03 1996-07-03
US60/021,116 1996-07-03
US08/764,232 1996-12-13
US08/764,232 US5819238A (en) 1996-12-13 1996-12-13 Apparatus and accompanying methods for automatically modifying a financial portfolio through dynamic re-weighting based on a non-constant function of current capitalization weights

Publications (1)

Publication Number Publication Date
CA2236169A1 true CA2236169A1 (fr) 1997-06-19

Family

ID=27358677

Family Applications (1)

Application Number Title Priority Date Filing Date
CA 2236169 Abandoned CA2236169A1 (fr) 1995-12-15 1996-12-13 Appareil et procedes associes pour modifier automatiquement un portefeuille financier par reajustement dynamique, en utilisant une fonction non constante des poids des capitalisations en cours

Country Status (5)

Country Link
EP (1) EP0867009A1 (fr)
JP (1) JP2002502514A (fr)
AU (1) AU1343297A (fr)
CA (1) CA2236169A1 (fr)
WO (1) WO1997022075A1 (fr)

Families Citing this family (22)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US6393409B2 (en) 1997-10-31 2002-05-21 Morgan Stanley Dean Witter & Co. Computer method and apparatus for optimizing portfolios of multiple participants
US6594643B1 (en) * 1997-11-14 2003-07-15 Charles C. Freeny, Jr. Automatic stock trading system
US6806977B1 (en) 1998-12-31 2004-10-19 Automated Business Companies Multiple integrated machine system
EP1183633A2 (fr) 1999-06-03 2002-03-06 Algorithmics International Corp. Systeme et procede de gestion de risques servant a fournir une evolution de portefeuille d'instruments basee sur des regles
US7870051B1 (en) * 1999-07-01 2011-01-11 Fmr Llc Selecting investments for a portfolio
CA2390087A1 (fr) 1999-11-18 2001-05-25 Netstock Corportion Service informatise d'investissement sur des titres regroupes
AU2001251372B2 (en) * 2000-04-07 2006-06-29 Pershing Rules based securities order processing
AU2001261282A1 (en) * 2000-05-09 2001-11-20 Roger Alcaly A method and system for generating an index of investment returns
US7379909B1 (en) 2000-10-04 2008-05-27 Tradestation Technologies, Inc. System, method and apparatus for monitoring and execution of entry and exit orders
JP2002312649A (ja) * 2001-04-11 2002-10-25 Fukushima Printing Co Ltd ウェッブを利用したプリント・オン・デマンド受注生産管理システムおよびその方法
JP4365208B2 (ja) * 2001-06-19 2009-11-18 ゴールドマン サックス アンド カンパニー 外国為替カバードワラントシステムおよび組成
US8374951B2 (en) 2002-04-10 2013-02-12 Research Affiliates, Llc System, method, and computer program product for managing a virtual portfolio of financial objects
US8005740B2 (en) * 2002-06-03 2011-08-23 Research Affiliates, Llc Using accounting data based indexing to create a portfolio of financial objects
US8374937B2 (en) 2002-04-10 2013-02-12 Research Affiliates, Llc Non-capitalization weighted indexing system, method and computer program product
US7747502B2 (en) 2002-06-03 2010-06-29 Research Affiliates, Llc Using accounting data based indexing to create a portfolio of assets
US7792719B2 (en) 2004-02-04 2010-09-07 Research Affiliates, Llc Valuation indifferent non-capitalization weighted index and portfolio
US8589276B2 (en) 2002-06-03 2013-11-19 Research Afiliates, LLC Using accounting data based indexing to create a portfolio of financial objects
US8639604B1 (en) 2004-10-26 2014-01-28 Invest N Retire, LLC System and method for managing tax-deferred retirement accounts
US7818246B2 (en) * 2005-04-05 2010-10-19 Barclays Capital Inc. Systems and methods for order analysis, enrichment, and execution
US8065217B2 (en) 2008-02-12 2011-11-22 Bids Trading, L.P. Real-time portfolio balancing and/or optimization system and method
AU2012298732A1 (en) * 2011-08-23 2014-02-27 Research Affiliates, Llc Using accounting data based indexing to create a portfolio of financial objects
CN106462898A (zh) * 2014-01-23 2017-02-22 洛卡有限公司 投资证券的分层综合投资组合

Family Cites Families (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US5101353A (en) * 1989-05-31 1992-03-31 Lattice Investments, Inc. Automated system for providing liquidity to securities markets
IE60553B1 (en) * 1989-12-21 1994-07-27 Paxlea Limited A computer system for portfolio management investment functions
DE69331452T2 (de) * 1992-06-10 2003-05-28 Cfph Llc Datenprozessor für Wertpapier mit festem Einkommen und Verfahren um diesen zu benutzen
EP0686926A3 (fr) * 1994-05-24 1996-06-12 Ron S Dembo Procédé et appareil pour la duplication optimale de portefeuilles

Also Published As

Publication number Publication date
JP2002502514A (ja) 2002-01-22
EP0867009A1 (fr) 1998-09-30
AU1343297A (en) 1997-07-03
WO1997022075A1 (fr) 1997-06-19

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EEER Examination request
FZDE Dead