CN106462898A - Stratified composite portfolios of investment securities - Google Patents

Abstract

A stratified composite portfolio can be formed by selecting a group of investment securities, stratifying them according to attributes that correlate to a specific asset risk, and assigning relative portfolio weights to the components based on their stratified positions. The attributes are selected from a universe of possible values. Further positive and negative biases can be applied at any arbitrary point or stratified position, including to individual assets, groups of arbitrarily selected assets, or arbitrary stratification positions.

Description

The layering comprehensive method of investment combination of investment securities

Cross-Reference to Related Applications

This application claims U.S. Provisional Patent Application No.61/930 submitted on January 23rd, 2014,807 rights and interests, its Full content is incorporated by reference into herein.The application with March 17th, 2014 submit to application No.14/216,390 and The application No.14/216 submitting on March 17th, 2014,936 is relevant, and the full content of this two applications is incorporated by reference into Herein.

Technical field

Present invention relates in general to the logic data model using the layering comprehensive method of investment combination for building investment securities Computerized techniques.

Background technology

The management of investment combination has become as important theory and the theme of research.Portfolio theory considers：Should be why Wealth invested by sample, and how to make throwing by the ratio being carefully chosen various assets for the investment portfolio risk of specified rate The prospective earnings of money combination maximize, or how various by being carefully chosen the expected revenus being equivalent to for given level is The ratio of assets makes risk minimization.Although it is anticipated that a certain earning rate, but the assessment of the individual share-holding in investment combination May be upwardly deviated from or be deflected downwardly desired earning rate.This variation side of being known as up or down with respect to expected value Difference (variance) or undulatory property.Over time, security should have for expected fluctuation and income in theory Efficiency frontier.According to theory, the security with higher expected risk will have higher prospective earnings.

Standard ＆ Poor 500 is stock benchmark maximum in the world.Multibillion-dollar is according to the investment of this benchmark or according to this Capital investment on the basis of benchmark.At the end of 1999, extensive market index such as Standard ＆ Poor 500 has gone through for a long time The income of extensive stock index perform poor.For example, after the investor 10 years according to Standard ＆ Poor 500 at year ends 1999 Reduce at the end of 2010 close to 20%.Till the end of the year 2012, the investor for these year ends 1999 includes many greatly Pension fund and capital endowment, Standard ＆ Poor 500 just has positive income.During this identical period, hold government debt or The extensive fund of corporation loan has had positive income, and during this period, corporation loan is more than government debt brings in.This excessive Valency is because corporate bonds have additional risk compared with government bond.These markets have the fluctuation up and down in its year, but In the rational time period, these security all have positive income and have based on the difference desired by risk.For stock index Such as Standard ＆ Poor 500 can not carry out these opinions, and Standard ＆ Poor 500 is with respect to holding the relatively low of corporation loan or government debt Risk index is interior during long period to devalue on the basis of definitely and actually performs poor.

Standard ＆ Poor 500 is market value weighting as most of widely market index.This means that individual company exists Weight in index is proportional to the market value with regard to other companies in index.Standard ＆ Poor 500 is not controlled so as to guarantee：Single Individual security or one group of security with community risk do not become a too big part for investment combination.That is, extensive Not using Control Cooling following used in scientific domain and engineering process in market index, in described Control Cooling, always Body control for limit overall a part of may be to measured entirely overall impact.These control restriction the pros and cons Impact.In overall study, control for producing potential overall master pattern.Because to being currently used in investment in stock security Benchmark there is not control, then do not guarantee：From at the end of 1999 to these present historical yields be share certificate table generally Show.It is all that (market value in the case of not have to control weights) has resulted in longer time section it is known that weighted strategy It is less than average yield.

The result of cardinal index since nineteen ninety-nine seems main theory and efficient market with the price of investment securities Theory inconsistent.Markovitz (Markowitz) and Sharp (Sharpe) are followed in most of work with regard to efficient market Pioneering work, for example silent (Merton) etc. other people later noticeable interpolation had been carried out to this pioneering work.Its Theory shows：Individual security are carried out with respect to the grade of the income after the Risk Adjusted of other investment securitieses with expected generation Price, and by following some rules, the investment combination of security has in any given period or during several periods Higher probability obtains the earning rate after this Risk Adjusted.Markovitz and the rule that other people propose are designed to assist in throwing Money person and manager select maximally effective investment combination design by the various possible investment combination of the given security of analysis.

By selecting the security not having accurately " to move " together, model shows how to reduce its risk to investor. The basic model in this field is known as mean variance model, because the prospective earnings based on various investment combinations for this model are (all Value) and standard deviation (variance).When developing original mean shift mode, Markovitz supposes：Be given for given risk The investment combination of maximum return or the investment combination providing minimum risk for given income are Efficient investment combination.Therefore, Select investment combination using following rule：A (), from the investment combination with identical income, investor will be tended to select Select and there is more low-risk investment combination, and (b) from the investment combination with same risk grade, investor will be tended to Select the investment combination having compared with superior returns.Although individual security may be performed poor in longer period of time, for effectively The rule that investment combination makes up is designed to reduce the probability that the investment combination with regard to security is performed poor.

For inconsistent one between modern investment combination and the theoretical investment combination having developed efficiet market hypothesis Explanation is：Modern investment group composition and division in a proportion theoretical examples have bigger scale and complexity.Theoretical model tends to using individual card Certificate and description variation in the investment combination being made up of unitss and low some security double-digit.By 1974 The Individual retirement account (IRA) that Employee Retirement Income Security Act (ERISA) creates, and the first index introducing in 1976 After fund, start, before the common fund prosperity of the extension nineties in 20th century, to have delivered many bases from the eighties in 20th century Plinth article.Markovitz disclosed article with regard to Portfolio Selection Based on financial periodical is written on nineteen fifty-two.According to by New York First shareholder's investigation that stock exchange (NYSE) was carried out in nineteen fifty-two, only 6.5 million Americans have equity share (about 4.2% U.S. population).Before common fund prosperity is created with modern technologies by ERISA, globalization, and early in throwing Before money person starts to recognize the oddity problem of fund that management is so big, article was write in 1963 by Sharp " ASimplified Model for Portfolio Analysis ", and the book " Portfolio having write him in 1970 Theory and Capital Markets”.

Modern investment portfolio management multibillion-dollar, and in order to reduce the exposure to non-systematic risk, investment combination will Seek many security with various risk group.Under this scale, it is challenging for setting up effective investment combination.As The sheer size of the investment that the present is carried out by common mechanism has grown exponentially.Additionally, security potential overall with The mode of heterogeneity and complexity increases.In the U.S., the gross investment of common fund was 13 trillion dollars in 2012.The U.S. is public Security are according to company's quantity less than the 20% of total global security.Additionally, most of u s company depends on global economy. This species diversity and interconnectivity are all increasing every year.Control is included in the unsystematic risk in this investment combination of company Demand is annual also to be increased.

Which results in Railway Project：1) time period of test capitalization model is too short and should give more times； 2) the theoretical mistake that risk and return relationship between not necessarily associates；3) market value weights the ineffective design of Portfolio Selection, and needs tool There are other examples of the control being contrasted with this model.In other words, need the new of investment combination for building investment securities Normal conditions, and by by the methodology of Markovitz and Sharp and ultimate principle application extensive fund till now The situation that complexity increases come the scale and variation to solve the complexity of present company and present fund.

Current system classification is in the new model of the potential Efficient investment combination setting up these extensive modern investment means In cause difficulty.These systems are similar with the basic article of financial sector, create before big digitalized data storehouse, with And the data base's such as Dewey decimal system (Dewey Decimal System) according to this epoch and Standard Industrial Classification (SIC) system Unite and to model.The stock of classification is classified by these systems.Each classification is the fixed layer that each stock has single parent Level；Parent has single parent etc..Each parent has a description, but do not have make stock under a parent with another The concept of the concrete inherent attribute of stock association under parent.In the case of not this description, the company of being difficult to understand for will expose In which changeable risk, accordingly, it is difficult to understand the how shared risk being similar to of many companies in big investment combination or Related risk.The difficulty of these types of classification is in the scale of present company's complexity and the increase of present fund and many Become more and more obvious under sample.Despite the fact that being that one of greateset risk of market value weighted strategy is a lack of for single wind The control of danger exposure, foam price or substantial amounts of non-systemic price correction, but there is currently limited instrument and come systematically Solve these problems.Accordingly, it would be desirable to processing supporting by the current data that can provide these instruments and can setting up multiple Different investment combinations is to test the efficiency of each investment combination and the multivariate classification system of testing standard situation.

Undulatory property

The undulatory property of price persistently occurs in each price fluctuation.Undulatory property is the key factor of portfolio performance, And these price fluctuations create obstruction to investment combination growth.For example, daily undulatory property has shown that and has injured lever The income of formula ETF (ETF).(referring to TonyCopper, Alpha Generation and Risk Smoothing Using Managed Volatility(2010)).

When making great efforts to reduce the impact to investment combination for the undulatory property it has been proposed that various weighting scheme.For example, in the U.S. A method described in patent No.8,306,892 is by calculating power based on market value, GDP and geographic area To operate again.In United States Patent (USP) No.8, in another example described in 131,620, based on market value and positive dividend earned come right The investment combination of security is weighted.There are many others investment combination weighting schemes.No one of these weighting schemes Fully achieve Markovitz model, especially, standardization risk gain is requirement by between the quantity of security and special securities The statistic processess that match of correlation degree.

Example for example described in United States Patent (USP) No.8,005,740 for some examples uses North American Industry categorizing system (NAICS) partly it is used for weighting.Weighting scheme based on NAICS or global industry criteria for classification (GICS) passes through it in fixed layer Affiliated company is come in the position of level.There are two kinds of main restrictions of fixing NAICS and GICS level：1) there is no common parent In the case of any entry be incoherent and can not compare；2) any entry only in same parent class can according to GICS or NAICS to be compared (module that the title instruction of group is isolated, such as " consumption for the module of restriction group Person " vs " commercial advertisement " can be relevant with customers).

In the case of not controlling, the random group of security can have from time period to an another time period significantly to be estimated The period that value swings up and down.The larger swing that these are worth may not be by variable such as measure attribute or as " growth " or " valency The specified of value " stock causes.Conversely, these larger swinging being worth are probably specific by the single company including this group Build-in attribute causes.Valuation swings and may be caused by following：For example, company relies on particular commodity for a long time, when this commodity is unexpected When losing its value；There is excessively flourishing and product and be unsatisfactory for needing in the product for company or industry in terms of demand prospect Ask；Company has long-term fixed cost contract and the accessible actual cost of its product competition person changes；Or company exists Product mix aspect has the too high some assets of weight and product category loses its value；Or other reasonses.

There are many reasons for random bubble.In some cases, random bubble is that extensive market (is also referred to as System) foam；In other cases, random bubble is limited to composition group (such as assets class or industry).There is surface and see it is to be (because its manufactured a lot, such as the Internet foam) of system but be nonsystematic some events.No matter which kind of situation, to throwing The impact of the income of money person is possibly very negative.

Random Walk represents the obvious randomness of the income that can not solve undulatory property and the investment securities based on stock. Random Walk is thought：The most of random selection of the investment securities based on stock will be active with the security based on stock It is equally good that management selection is made.Random Walk is the basic reason of index fund, and is that the passive-type to academia refers to The extensive support of base gold.Random Walk " takes its logic extreme ... to cover the monkey of eyes to throw away towards listed stock winged May select good investment combination as the investment combination performance by select expert during boomerang.(B.Malkiel,A Random Walk Down Wall Street, the 10th edition, 2012)

Many different weighted strategy have been suggested to process the stochastic volatility of this investment securities based on stock Problem.These indexes are performed poor compared with debt stock index, thus highlight these passive-type indexes and are constantly subject to phase Same stochastic assumption puzzlement.

In history, health care is also perplexed by identical stochastic problem.In health care, this hypothesis is designed at random Patient goes to has the flying physician that equal probabilities receive random response.Before modern medical service with Modern statistics control group, perhaps Many people think that the probability of random response is very high.Healthcare industry passes through to create detailed patient's person document and use Lentamente to solve this problem from the statistical methodology of the information development of these person documents given overall potential to control Feature.This work studies with each disease area and government organs and understands that a series of natural deviations incrementally occur, Until evolving the field certain architectures of prosperity.

System and method described herein can be by controlling the totally random of the risk and return relationship between affecting investment securities Property certain types of random event come in management of investment use.The random motion of investment securities causes obstruction to income, Especially for example gone bankrupt by event or non-systemic foam larger the moving downward that cause of rupture.In these cases, not in advance Phase investment securities will rebound the level existing before.In these cases, because market recognizes suddenly impacted security Price is too high, then this security is fixed a price again.

Non-systemic foam and bankruptcy and non-systemic factor (assets that for example associate with specific investment security, company or The potential build-in attribute of industry) association.The subject matter of the larger portfolio risk management of security is to control these The generation of the event of type.If investment combination is cursorily weighed on the security with common foam or clean risk of liquidation or security group Weight is too high, then income is greatly affected by the security of the relatively small amount in investment combination.In some cases, in specific nonsystematic The too high impact that investment combination is created with similar system of weight of property variable aspect.This is it will be evident that the Internet foam Situation.2000 calendar years, the Standard ＆ Poor 500 of market value weighting have dropped 9.09%.This is Standard ＆ Poor 500 history Upper worst 1 year.In that year, 16 stocks are had to have dropped 49.8%, simultaneously remaining market increase 4.28%.For throwing Unfortunately, this 16 companies are all the industries of mobile message, storage information or processing information to money person, are total investment combinations 24.8%.

The effort of raising investment combination income before occurs in that at least two problems：1) many suboptimum groups, and 2) no The change between group or in each group or association can be controlled to guarantee that each group to be operated in the way of predictable specific group.Existing Various on a large scale investment combination of some security constitutes group and lacks control to it, and market value weighting or even weighting all do not have Solve the problems, such as overall control.

The problem of scale

For multiple reasons, the problems referred to above are especially severes in large-scale Portfolio Selection.Unreliable In the case of hierarchical system with efficient system attribute and using layering comprehensive classification, it is particularly difficult to control and associates with security Different attribute.Set forth below is the various example reasons being difficult to scale management why.

A () proprietorial charter limits：For many funds and fund manager, the ratio to the company that it can have There is restriction.For example with 5% share-holding, there is 13-D file and supervision.Many funds will not or can not be across this threshold.

B () proprietorial mobility limits：The individual security that fund has are more, and fund is more difficult to the flowing according to stock Property is sold.Additionally, because scale, many funds have absolute dollar and limit or the restriction of dollar equivalent to proprietary rightss.As Fruit fund has 500 hundred million dollars to invest, then 1,000,000 dollar investments may be considered very little.

C () larger fund needs substantial amounts of security to fill investment combination：Due to the factor of above-mentioned identification and other Practical problem, larger fund needs to invest substantial amounts of company due to flowability problem and proprietary rightss problem.Throughout economic system, There are many connections, and the quantity of company is more, is more difficult to follow the tracks of and supervise the potential connection contacting from these and risk. The major part of these connections is the nonsystematic due to associating with the supplier of company, product, industry, business, geographical position etc. Attribute causes.For there is the investment combination of a large amount of security, it is highly susceptible to becoming excessively concentrating on unsystematic risk and divides In class.In the situation not used for the reliability controlling these different attributes and effective property system and layering comprehensive classification Under, it is difficult for understanding different potential risk groups and controlling different potential risk groups.

D () investor is not selected all qualified company and the fact that to invest is：Due to above-mentioned identification factor and Many more practical problems, larger fund needs to invest larger company.Available company is over time in this set And change.Additionally, as time go on, these security depend on what company at any given point in time is present in which point Class and there is variable weight and differently assemble.In addition to changing over time, this industry, department or company select Change with geographical position.In fact, compared to drive product latent currency, department's difference be probably geographical position it Between price movement bigger the reason.For example, in terms of technology stock, U.S.'s investment combination is than Europe and Latin America investment Combination is more important.Europe and Latin America are relatively important in terms of commodity and raw material.If the target of fund manager is goods Coin difference, then control the change of these departments to be important.First it should be understood that any given point in time and any specific geography position There are different potential risk groups in putting or classifying, then, these can not be controlled different potential with currently known technology Risk.

E () attribute risk is multidimensional, because attribute risk is the risk concentrated：Single or multiple attributes contribute to distinguishing The risk of individual company.For example, the company being in semicon industry being identified is differentiable risk.Further, since half The species of conductor is the characteristic of required raw material and client, then the species (for example, storage, process, connection) of quasiconductor is Important.These change but important factor is often collected in a classification of extensive fund.The showing of current system Classification is had to tend to be standardized based on the whole world and can not make a distinction between these factors.For existing extensive It is impossible to represent that many attributes risk of connection is obvious restriction for investment combination.

If not better controling over investment combination and especially extensive investment combination, non-systemic event is likely to occur There are systematic effects.The following provide the example of non-systemic event.Known and existing system does not solve for security The systematic effects of the random fluctuation of the component of extensive investment combination potential statistics reason.However, in improved control The impact of non-systemic event in the case of system, can be limited.

Content of the invention

Layering comprehensive method of investment combination can be formed by following manner：Select one group of investment securities；According to one or more During security are layered partly by the attribute of the investment securities risk association of multiple identifications；And the layered position based on part is by phase The investment combination weight answered distributes to part.Attribute can be selected from the universe of possible values.Can be in any arbitrfary point or layering Position includes individual investment securities, groups of optional investment securities or arbitrary layered position and applies other overgauge And minus deviation.

The particular community being associated with investment securities be can be used for by certain weights are distributed to risk group come to investment card Certificate is layered and the share-holding in investment combination is weighted to investment securities, in risk group, hold potential security with Meet any risk target of overall investment securities.For example, one of target risk group being layered can be subtracted Few attribute specific undulatory property resistance is to the impact as overall investment combination.

Many attributes risk integrative can provide instrument come managing risk by following manner：By designing described synthesis Lai sharp With manager expect event reduce from the potential risk of these attributes or make from these attributes potential risk Littleization, and/or increase from the potential income of risk of these types or make the potential income of the risk from these types Bigization.

In some embodiments, can be by the build-in attribute based on investment securities come to the security with risk attributes Label and apply and limit the weighting scheme to the exposure of individual attribute to create layering comprehensive method of investment combination.The result of this process It is the investment combination of following weightings：Across the classification of multiple risk attributes, risk is layered, and according to the attribute type in group The risk in group of individuals and subgroup is layered, to obtain the desired risk distribution that can be represented by target score.

Brief description

Fig. 1 shows the exemplary method for establishment layering comprehensive method of investment combination and investment securities being weighted.

Fig. 2 shows the exemplary method for establishment layering comprehensive method of investment combination and investment securities being weighted.

Fig. 3 shows the example layering with Three Estate.

Fig. 4 shows the example data set consistent with the layering of example Three Estate.

Fig. 5 shows the exemplary method for establishment layering comprehensive method of investment combination and investment securities being weighted.

Fig. 6 shows the exemplary method of the weight for calculating layering comprehensive method of investment combination.

Fig. 7 shows the exemplary method for creating the layering comprehensive method of investment combination with target score.

Fig. 8 A to Fig. 8 B shows the example grammar being expressed as limiting level sentence or bar code.

Fig. 9 graphically illustrates the example relationship between syntactic element.

Figure 10 shows the example computerized system for being layered comprehensive method of investment combined weighted.

Specific embodiment

Risk is introduced

Security are the creditors representing proprietary rightss position (stock) and government department or company in open transaction company Relation (bond) or the financial instrument of the proprietorial right being represented by option.Security be represent financial value type can Exchange, negotiable financial instrument.Issuing house or entity are known as publisher.The price of security is based on it all Prospective earnings during the time of power.And then it is contemplated that income is prospective quality and the achievement of the potential entity based on associating with security Effect.

Expected with increment or income expection or potential risk expection or these incomes variances carry out investing industry Investment.Investment securities has two main performance indicators：Special time period earning rate and obtain expected yield general Rate or risk.This two indices is association：Calculated risk is higher, then prospective earnings are higher.In other words, the wind of greater degree Danger should be compensated by the income of greater degree.The probability of income is closed with the variance of the expected result for given investment securities Connection.The actual gain requiring for investing industry may be constrained by including following many factors：Market condition, given throwing The offer of money capital or expected inflation or deflation.However, for the given market of preset time, with regard to investment card The earning rate of the correlation of certificate will include and following relevant risks：The relevant risk of the species of investment securities and with investing industry The hidden industry of association or attribute.

Security change according to its income characteristic and expection.Every kind of security represent the specifically all power and positions in specific company Put.Each type such as bond, stock instrument or derivant have specific proprietary rightss and the investment feature of its own.From security Prospective earnings be type based on security and its characteristic, and the associated entity relevant with the proprietary rightss being represented by security is latent In performance.For any security it is contemplated that income and actual gain can be different in essence.Prospective earnings and actual gain it Between difference be security risk.

There are two kinds of major type of risks in investment securities.First type, systematic risk or market risk, refer to Be affect total effect for example widely market income, macroeconomic system resource hold or total income etc. event.In many rings Under border, the such as event such as earthquake and main weather disaster causes overall risk, because these events not only affect dividing of resource Cloth and affect the total amount of resource.Second type, unsystematic risk (also is known as abnormal risk or commercial risks), refers to Be the entity that associates with security change because any number of factor experiences in terms of wealth or even failure risk.Systematicness Risk is relevant with the overall risk in overall investment field.Unsystematic risk and security have the entity of the entity of proprietary rightss position Particular risk is relevant.

The expected yield (and undulatory property) of investment securities depends on including market forces and depends on specific investment security Factor with the strength of its potential characteristic.The former strength is systematic and the security of impact broad sense class.The latter is tool Body and each the specific investment security specific to the particular community relying on each specific investment security.The investment depending on the latter is demonstrate,proved The variation of certificate income depends on the particular community of specific security.

Unsystematic risk

Unsystematic risk or commercial risks are specific to the quality of the special entity associating with security and attribute.Particular business Wealth change or even bankruptcy is relevant with commercially itself build-in attribute.These attributes include any number of factor, this because Element include business, commercial management/employee, commercial occupation, commercial product, commercial accounts, the client of commercial accounts, supply effective The specific qualification of property, the strength of commercial supplier or business and debt.With in these things, any one is relevant or these things The relevant event of combination in any may cause the wealth of business to change, and according to do so, changes the business with entity associated Prospective earnings.

In addition to individual company, if the investment combination of security is excessively exposed to or excessively concentrates on specific nonsystematic In property risk, then this investment combination may be affected by these unsystematic risks.Mainly former for investment combination Because being this exposure being reduced by following manner to unsystematic risk：Investment combination is dispersed in there is unique non-systemic Many investments of risk are above so that unsystematic risk will not substantially change wealth or the prospective earnings of total investment combination. This strategy is for can be invested investment combination in the individual of individual security of relatively small amount with relatively small amount investment diversification Person is relatively easy to.However, this strategy verified for fairly large investor for example have multi-million dollar or Multi-million dollar equivalent pension fund to be invested or capital endowment are difficult.These large-scale investor must be in office The value of meaning given point in time investment representative multi-million dollar on hundreds and thousands of security.For having this scale of investment Investor, makes the impact of the unsystematic risk factor of investment combination minimize verified extremely difficult, and investor is inclined To on larger industry foam weight too high, and by repeatedly technology bubble and the gold in big bankruptcy or larger degradation class Melt the upper persistently too high negative effect of weight of instrument (such as RMBS).Invention disclosed herein provides a kind of right Systematically control these non-systemics that are disproportionate and negatively affecting extensive investment combination in investment combination management person The method of investment portfolio risk.

Attribute

System described herein can by the company that associates with investment securities distribute one or more attributes Lai Operation.Method described herein can be realized with using the attribute with corporate linkage on the computing device or be invested with potential The attribute that the investment securities of security association is relevant investment securities is finely divided.These attributes can serve as example broken with event The labelling of the particular risk of product or foam association.These attributes make investment combination management person can will invest group according to particular community Conjunction is layered or is segmented in groups, and wherein, each group represents the risk related to particular community.The son of the level of these parent groups Class has unique risk and the total risk shared with its parent between group.

After investment combination is layered, weight can be assigned to the unit of layering, and can execute to base Reconstruct plan in systematic weighting.In this way, investment combination management person is appreciated that and manages in investment combination Particular risk.Furthermore, it is possible to particular risk is designed by the weight of the unit being arbitrarily directed to layering setting.In some enforcements In mode, the level of the multiple grades that manager can form different groups and subgroup using weight determines opening in process The calculated risk beginning, is then weighted to group according to expected Risk Results.

Method described herein calculates the investment for following investment securitieses based on the specific attribute of investing industry The weight of combination, the investment combination of described investment securities has different from the unsteered investment combination of identical investment securities Special properties.As described in more detail below, the present invention is by setting up the investment combination of investment securities, using investing industry Specific attribute passes through controlled reducing the randomness of individual investing estate income, the investment combination of described investment securities In a controlled manner particular community and its risk are carried out layering to reduce specific investment industry in the investment combination of overall group The impact of the risk of attribute, overall group represents group and the spy including the shared attribute associating with group by total attributes defining Determine the group of investment securities.

Layering

In order to control unsystematic risk, investment combination management person must control the business being present in any investment combination Particular risk.These risks can be company's relevant risk, industry relevant risk, product relevant risk, client's relevant risk or Supplier's relevant risk, etc..Investment combination becomes bigger, gets over indigestion investment combination for investment combination management person and exposes In what specific unsystematic risk.The method of risk component layers described herein decreases to as overall investment combination The specific undulatory property of attribute negative effect.

System described herein can be used for creating the standardization bar code that a large amount of commercial attribute are identified.Described system The standardization bar code with standardized nature can be distributed to the security in investment combination by system.Based on the attribute of this bar code, Specific unsystematic risk present in investment combination exposes and can be identified and control.When specific unsystematic risk exposes quilt During identification, the method can be used for being exposed to these risks and controlling these unsystematic risks by limiting investment combination.

Described system can be used for creating the level of the layering of particular risk group, by being used for identifying non-systemic wind The weight that the weight of calculating of danger or user provide come across these layered risk group distribute security in investment combination and Select the expected exposure to layered risk group.Therefore, layering can be used to systematically control to unsystematic risk Expose.It is then possible to manage these exposures over time by creating reequilibrate rule, described reequilibrate rule is suitable The exposure to the unsystematic risk that these identify for the investment combination is reseted on cycle planning table.In this way, can be systematically Determine and the management exposure to a large amount of unsystematic risks for the extensive Portfolio Selection.

Have the business of total build-in attribute or one group of attribute to and this attribute or this group Attribute Association event related.Phase Important level with the attribute of particular business is changed by the index of closing property.For example, if all-network equipment company shares Identical client, then the loss of major customer (as Nortel Networks, giant network company) will affect all companies.However, comparing In the situation less than the 5% of company trade for the Nortel Networks, Nortel Networks be the impact of the situation of only client of the said firm more Greatly.In this way, from the company in groups in the risk group of attributes defining to investment combination management person provide to and event have The method that security in the group of particular community correlation closed are grouped.Additionally, most of attribute enters but larger set of properties A part.All companies of shared Nortel Networks are all parts for network equipment group, and network equipment group is entered but communication equipment A part for group, communication equipment group is entered but a part for larger digital technology group.In this way, made using particular community Investment combination management person is carried out to security to importances of individual security point by wide classification and narrow classification and these classification Group.

The process of layering can include：Totally it is divided into independent subset (referred to as layer), in described independent subset Specific overall independent sample can be placed.Layering is the important tool in statistics, in statistics, specific total in order to create The sample set of body, is totally divided into part or subset (being known as layer), specific overall in, the distribution of selected sample Ratio is derived from each layer.By creating the restriction subset that restriction ratio is assigned, statistics can create to total result to be had The control of meaning.

It is layered overall result and be referred to as control group, because the component of subset and weight are defined and can be tested. Any overall in it is intended to there is overall subset there is the random fluctuation with the totally different feature as entirety.This Then the subpopulation that the impact of abnormal subpopulation differently can be showed by being totally grouped into expection a bit guarantees in research As overall overall when use in each subpopulation some mitigate.As an example, if in the yield studying workman, can Lower than the other times efficiency in this week in Monday morning to find workman.If however, carried out to 20 days working in a year Stochastical sampling, then may randomly receive the sample set being partial to Monday singularly.Poorly efficient one of factor data collection deflection work Period, therefore this is not the representative of work.In order to make great efforts to eliminate this deviation, can be by overall set across each for one week Five subsets of it a subset composition are layered.When carrying out stochastical sampling, by the work to each subset allocation equivalent Make day so that forming whole sample by five subsets in the example sky being respectively provided with equivalent.In this way, layering can limit sample The deviation of this collection, and increased the probability representing result.

Layered approach is universal in above-cited example.Layering provides following controls, and described control is permissible：1) Guarantee the agonic sample set as entirely overall representative；Or 2) guarantee that special tolerances to create desired are The result of necessary potential overall representative.The former example is the test in clinical trial or social sciences.In these situations Under, experimenter attempts to be formed to change and assumes to investigate how hypothesis affects controlled overall representative sample collection.The latter shows Example is risk management, and in risk management, different subsets populations are incoherent and have highly different presence or fluctuate. In this case, layering may wish to for sample set to be partial to specific subclass and for example has of a relatively high fluctuation or relatively low fluctuation Subset.In both cases, layering enable statistics person based on realize hierarchical mode type set up have measurable The sample set of result.In layered sampling, shared attribute based on member or feature are come cambium layer.These attributes can be with base In the module of overall correlative, for example overall scale, speed or life-span.Additionally, attribute can be able to be known based on physics The color of other attribute such as hair, the color of skin or eye color, righthanded or lefthanded.

In the environment of investment securities, the value of investment securities can be directly or indirectly related to following：1) type of assets Or the type of the operation directly or indirectly associating with security, and/or 2) with the particular community of asset association or with security directly or The operation of indirect association.

The comprehensive method of investment combination total prospective earnings can according to the prospective earnings of each individual investment securities and its in synthesis Weight in investment combination is determining.Total undulatory property of comprehensive method of investment combination can be according to the undulatory property of individual investment securities and power Weight to determine with these individual investment securitieses paired dependency each other.Therefore, it can control overall undulatory property, and permissible Reduced by investment combination being separated into the group with of a relatively high intra class correlation and relatively low inter-class correlation Total ripple.By investment securities is divided into relevant cluster, that is, based on attribute that is corresponding with risk shared and not sharing The group being formed, can control undulatory property.

Limit

Investment securities：As used in this article, investment securities be defined as representing following in any one or all of Financial instrument：Proprietary rightss position in company's (stock) or a pool of assets；Credits relationship with company；By the money of publisher Produce the individuality directly or indirectly established or government organs' (bond)；Or the right by option or the representative of other derivatives or all Power.Investment securities can be interchangeable, the negotiable financial instrument representing with a kind of financial value of entity associated.Investment card The value of certificate can type based on security with the relationship type of publisher and the assets class that directly or indirectly associates with security Type and accountingdebt.

Attribute：The entity being represented by investment securities can be with Attribute Association.System can identify multiple with entity associated Attribute.As non-exclusive example, system can operate to following attribute type：(1) relevant with universe, or (b) is intrinsic 's.The attribute relevant with universe can be such as marking system it is intended that being security or the growth/value security of high/low amount.System May be configured to identify polytype build-in attribute.As non-limiting example, the type of build-in attribute can be：Grammer The build-in attribute of structure, context property, measure attribute and the attribute based on market.Some build-in attributes can also be considered It is absolute.Measure attribute example can be gross debt and the exemplary properties based on market can be market value.Context property Example can include：A () geographical position attribute, the attribute that (b) belongs to the assets of company is (for example, " big for shipping company Container " and " baby container "), (c) attribute relevant with product (for example, " luxurious " and " not luxurious " apparel article), (d) and The relevant attribute of client (for example, the list of particular customer), and attribute (for example, the specific supplier that (e) is relevant with supplier List).System can identify the combination in any of different types of attribute.

The combination in any of multiple attributes can be formed as synthesized attribute.The combination in any of build-in attribute is considered comprehensive Close build-in attribute, meanwhile, the combination in any of association attributes or build-in attribute can be formed together with the combination in any of association attributes For comprehensive association attributes.Synthesized attribute can be defined as new single attribute.

In some cases, attribute can be defined as including the attribute relevant with the entity being associated with investment securities, with And correspondingly eliminate the attribute of investment securities itself.For those embodiments, system may be configured to bounded attribute with Especially exclusion and following relevant attributes：The type (such as stock, debt or derivant) of investment securities and investment securities Feature, such as preference, Expiration Date, persistent period or knock-down price.In those configurations, because the included attribute of lock and investment card Company associated by certificate or assets are related, are not related to investment securities itself, the attribute that therefore those are excluded is not considered For attribute.

In some embodiments, build-in attribute can be defined as excluding measure attribute and performance attribute.Included Build-in attribute can be potential entity or the critical nature of assets, feature or the inherent character of investment securities association.For example, inherently Attribute can limit：What company does, for example, manufacture or transport；The attribute relevant with the product of company, such as vehicle, calculating The type of machine, sofa and vehicle, computer or sofa；The attribute relevant with the client of company, such as client or enterprise；With visitor The relevant attribute of the client at family；The attribute relevant with the geographical position of enterprise or the attribute relevant with the individual service of enterprise；With Product is with company for providing the material of its product relevant attribute；The polynary industry that can run with company or industry partly in Any one relevant attribute；The attribute relevant with the pattern of trade of company, such as integration, nonconformable, forward integration, Backward integration or network；The management of the management based on company, decision-making and strategy or strategy, the such as risk of uniqueness；Finance Lever；With any one relevant genus in the particular business of commerce and trade or the pluralistic Government of country's association or macroeconomy risk Property；The attribute associating with the metering risk being identified by the business as its trade core or trade hazard；Or with depend on by The particular business of investment community or the classification associated risk of department.In any given time point, in these attribute factors Any one or the industry event relevant with these attribute factors can affect and the investment being associated with the entity with these attributes The risk of security association.Although build-in attribute can provide relevant order or the placing, build-in attribute is not necessarily literal Ranking.

In some embodiments, the attribute relevant with universe can be defined as including based on the spy of any one in following Property：Ranking system；Marking system, this marking system compares the metering of sketch-based user interface or the performance spy of entity in certain time point The assets levied or associate with investment securities, the investment securities then score related by investment securities being scored is carried out point Group；Or any system being identified by any type of marking system, described any system will based on identical entity, The scoring of product or assets gives different discre values to this identical entity, product or assets in the different time；And row Name system.In such systems, because the tolerance that these systems are based on given point in time investment securities is grouped Time point gauging system, then identical entity or same asset group can be allocated different values in different time points.Full The security of foot classification depend on the score of company in this time point or group of assets, not necessarily rely on be scored specific potential Business or group of assets.

Layering comprehensive unit：As it is used in the present context, layering comprehensive unit is defined as the layering for investment securities Tissue, including：1) by the parent group of one or more attributes defining, wherein, all members of parent group jointly have for Limit the attribute of parent group；And 2) at least two subgroups of parent group, subgroup be considered parent group subclass and/or Class born of the same parents each other.All members of subgroup have the attribute for limiting subgroup jointly.Additionally, all members of subgroup are common There is the attribute of the parent group for limiting subgroup.Subelement in any layering comprehensive unit and layering comprehensive unit can wrap Include other subelements any number of of the rule deferring to its parent unit or subelement.In some cases, it is layered comprehensive list Unit can include only parent group and two subelements.In other cases, layering comprehensive unit can include and original comprehensive list First parent by support scale and the as many part of multiformity.

Layering comprehensive method of investment combination：As used in this article, layering comprehensive method of investment combination is defined as including at least Two layering comprehensive units, wherein, the attribute representative risk group of the parent in comprehensive unit so that：1) parent risk group is relative In other parent risk group, there are different risk distributions；And 2) include risk group in investment securities all subelement quilts It is defined to be layered comprehensive unit.

Although there may be other restrictive conditions in the parent group of layering comprehensive unit, comprehensive unit parent can be expired Foot and member share the condition of specific total attribute or total community set.The parent group of multiple layering comprehensive units can wrap Include：The investment combination being defined to create comprehensive unit solves to limit with the comprehensive unit that will pass through including layering comprehensive method of investment combination Difference risk the layering comprehensive method of investment combination.

Grammatical structure attribute

Above-mentioned attribute can be expressed as limiting the specific language in domain of the structure of layering comprehensive unit and layering comprehensive method of investment combination Method.Limiting structure can be carried out by using domain specific syntax and domain specific syntax position, including to be associated with syntactic position Particular data entities relevant attribute in domain is identified.Grammer label can have the pass lineage making syntactic position be relative to each other Property.

As used in this article, grammer is considered one group of rule.Syntactic position is based on this regular collection Active position.Symbol in data base can be used for flag data entity.Grammer label can be used for label symbol and rule Between association.This regular collection that grammer label is set up based on grammer is come by its in data entity and the domain by sign flag He is associated data entity.The tagged process of grammer provides the means for associated domain customizing messages.Obtain in domain Information and this information being tagged using with the information-related rule in domain.Grammer label can be dynamic.

Grammer label for being layered comprehensive unit can be used as the expression formula of the labelling of label.Such expression formula can To observe the grammer that can represent with the grammatical representation formula in BNF notation or equivalence element notation.Comprise that there is probable value scope Any expression formula of the grammer of element or subexpression can be organized by different level, and in this case, expression formula or sublist reach Formula describes the dimension of the region including in hyperspace or continuous subregion.Acquiescently, the syntactic element specified according to level According to successive from the top to the bottom in level, the position according to the syntactic element in expression formula is from left to right explaining.

Grammer can represent the level coordinate providing continuously specialization；The degree of specialization increases with the depth of level Plus.Grammer can also provide according to multiple grades and progressively serialize；The degree of serializing is with the element at continuous grade The increase of quantity and increase.

Additionally, for following both, according to continuous specialization grade and/or serializing degree, syntactic element is shared near Like syntactic position：

A) parent of the syntactic element in level；And

B) according to the class born of the same parents of the syntactic element in across the various level similar position of identical grammer in same domain.

If syntactic element relatively close other elements based on its level specialization or sequence location, syntactic element can To be considered to have approximate syntactic position.These relations allow to compare the value across syntactic position.By default, specify according to level Syntactic element alphabetically organized in the grade of given level and/or by numeral tissue.

The grammer label of attribute is usually real by data by data entity is distributed to the unit in shared grammer tag set Body is got up with shared attribute relationship.Grammer label is according to the grammar association of data entity by other data in data entity and domain Entity is associated.Therefore, the data entity of shared grammer label is inherently grouped and/or is assembled by grammer label.? Under certain situation, grammer label can be used for establishment and the normative model for investment combination be discussed in further detail below.

Show that the example of grammer represents in Fig. 8 A and Fig. 8 B.The figure that figure 9 illustrates grammer represents.

Investment combination architectures

Build the extensive investment combination of security because many reasons are challenging.It is not reliable and effective Property system and be difficult in the case of controlling the hierarchical system of different attribute using the comprehensive level of layering.Herein The system and method for description can independently with together with design and manage based on large-scale risk exposure.

The synthesis of designed investment securities is following one group of security：According to for building the overall of comprehensive potential security Or potential risk group (or selection) becomes to have the risk gain distributions different from not controlled group designing.

Layering comprehensive method of investment combination including investment securities can the dynamic combined of entity based on similar kind produce Following new units, described new unit includes a part for each component in the component be combined to create novel entities, described new Entity has the characteristics different from the potential component obtaining respectively.Dynamic characteristic means that the characteristic of investment securities changes over time And change.Investment is comprehensive to be may be configured to occupy this dynamic characteristic to create as time go on substantially maintenance investment comprehensively Characteristic reliable comprehensive.

Method for setting up layering comprehensive method of investment combination using the domain specific syntax for investment securities can include Following steps：1) investment securities with community risk attribute is grouped；2) grouped investment securities is layered as down State subgroup：A) from different risk associations, b) still associate with the risk characteristics of the group belonging to it simultaneously.

In one embodiment, layering comprehensive method of investment combination can include the mark to multiple investment securitieses and associated weights Know.As non-limiting example, it is possible to use the computerization of the exemplary method according to Fig. 1 process execute mark and Weighting.As shown in FIG. 1, the method can firstly generate layering investment combination framework (1125), then generates investment securities The results list (1150) with weight.In the initial step, hierarchical block (1105) can receive the investment securities as input The level (1122) of attribute (1120) and attribution rule, the level (1122) of investment securities attribute (1120) and attribution rule all may be used To be stored in one or more computerized data storage devices.As non-limiting example, investment securities attribute is permissible Those examples selected from middle offer defined above.Can be using other attributes and other attribute types.

As set forth above, it is possible to provide attribution rule by the grammer for investment combination framework.Grammatical ruless can limit genus Property and and the relation that is associated between the investment securities of attribute.

Hierarchical mode (1105) can also include selecting submodule (1110), in order to receive as input from user's Selection (1121) to attribute and/or rule.In some embodiments, can be with the structure of pre-defined rule and/or rule.Example As shown the grammer including the rule for describing company in Fig. 8 A to Fig. 8 B.In other embodiments, can by with The pre-existing regular collection of family editor, or the combination of this rule can be limited by user.Rule, as shown in Fig. 8 A to Fig. 8 B Those rule, limit syntactic element between relation.Then, grammer is applied to by the attribute that user selects.Real at other Apply in mode, user can be provided with the interface for creating new regulation (1121), then, new regulation (1121) is imported into Hierarchical block (1105).

In some embodiments, rule statements can be for entity or entity associated investment securities be based on its attribute And return true or false, with boolean's sentence of " attribute " " operator " " value " form.In some embodiments, rule can be One or more rule statements are combined the Boolean expression of (via Boolean operator).Line in fig .9 shows Example rule.

In some embodiments, the level of rule can be defined to one group of two or more rule in following constraint Relation between then, this relation pair applies the order of these rules to be defined：Described it is constrained to, in a node of level The investment securities of any entity or entity that place is unsatisfactory for rule will not pass through the rule of any one in the subclass of parent.Layering Submodule (1115) is configured to the level (1122) of rule, investment securities attribute (1120) (is can in this stage Choosing), with regard to regular establishment and select rule input (1121) or investment securities other mark lists (1131) come Create layering investment combination framework (1125).Then, layering investment combination framework (1125) can electronically be represented and be deposited Storage is in computerized data storage device.

Rule can serve as sentence entity and investment securities being filtered based on attribute.Level can be used for rule Between relation be defined, described relation specify application rule order.Also will be from relatively from any company of high-grade exclusion Inferior grade group is excluded.Any parent can be changed by changing one of attribute limiting parent or subclass (or more) Or subclass totally to configure many property system described herein.

The example graph of layering investment combination framework obtained by showing in figs. 3 and 4 and text representation.Fig. 3 shows Instance attribute and its syntactic position are gone out.Illustratively being presented in the diagram based on the rule of attribute shown in Fig. 3.Shown in Fig. 3 Rule describe high-level grade, high-level grade includes：There is praedial business location (1；1205) and equipment material Material manufacturer (2；1210) two groups.Rule in Fig. 3 also describes the business location (1.A of real-estate development business；1215)、 Real estate operator (1.B；1220), REIT/ real estate hires out business (1.C；1225), it is used for the material manufacture of messaging device Business (2.A；1230), it is used for the manufacturer (2.B of the material of non-information processing equipment；1235).At the grade two of layer architecture Show these business locations.Rule in Fig. 4 includes several tertiary gradient relations.The tertiary gradient defines：For motionless Produce developer (1.A；1215) the client real-estate development business (1.A.i under；1240), industrial hereditaments developer (1.A.ii； 1245) relation；In real estate operator (1.B；1220) the North America real estate operator (1.B.i under；1250), Europe is motionless Produce operator (1.B.i；1255) and Asia real estate operator (1.B.i；1260) relation；And the motionless output of REIT/ Rent business (1.C；1225) the low lever REIT (1.C.i under；1265) and lever REIT (1.C.ii；1270).In group (2.A； 1230) and group (2.B；1235) show other relation under, but do not have here to further describe.

Many attributes can be used for creating investment combination framework.Investment combination framework can include the group of the level of nesting. As non-limiting example, in some instances, the attribute being had by quoting all entities in universe is formed These groups are so that at each grade, each element of universe is accurately in a group.In some embodiments, these Group can be subdivided into any number of subclass subgroup, and needs not be identical for each the group quantity in original parent group , and this Subdividing Processing can carry out arbitrarily secondary, every time in the way of " from top to bottom " to level add grade.At some In embodiment, layering comprehensive unit is used to set up larger layering comprehensive unit, and is created in the way of " from bottom to up " Build-up layers level.In some embodiments, it is possible to use " from top to bottom " and " from bottom to up " mode combination.No matter constructive method How, layering investment combination framework (1125) of generation can include the property set hierarchically arranged according to the attribution rule limiting The electronic representation closing.

The weighting of investment securities

Layering comprehensive method of investment combination can include one or more layerings comprehensively, and one or more layerings are comprehensive to be passed through Correspondingly the component comprehensive to layering is weighted maintaining the risk exposure of restriction.

Layering described herein can be adjusted in various manners, allow the user to the entirety of controlled investment security, Thus controlling the result being caused by the event with the population interconnection of investment securities.The deviation of investment combination income can based on under Any one or all changes carrying out in stating is creating：1) the overall change of investment securities；2) overall to investment securities It is layered the mode of (investment combination framework)；And, 3) any position in hierarchical layer delaminating units are carried out plus The mode of power.

When having determined that investment combination framework, weighting can be determined for investment securities.As non-limiting example, Weighting function can be following arbitrary functions：For the specific group in layering investment combination framework, return the value between 0 and 1, should Value instruction is relevant with the compatriot of this group in layering investment combination framework, weight that is being associated with this group.In some embodiments In, at each grade all compatriot weighting functions and can be equal to 1.

In some embodiments, the weight of security is only the function of its position in level.Show as non-limiting Example, weight can be by evenly divided between all subclasses in the subclass of given parent group.If that is, first Grade comprises 10 groups, and each group will be presented 10% weight.If one of these groups comprise 4 subgroups, each Its parent group can be presented 25% weight, obtained weight are 25%*10%=2.5% by subgroup；Meanwhile, if Different top tier group has 5 subclass groups, and each subclass group weight is 20%*10%=2%.Each grade weight can be directed to This process multiple, finally produces the weight of each bottom tier group.Similar process may apply to the security in each bottom tier group, Produce the weight of each security of universe.

In some embodiments, weighting algorithm can be executed as follows by computer：

In other embodiments, any group of weight can be the function of the attribute of the company of this group.As unrestricted Property example, the function of one or more of attribute attribute being had by the security in universe is (using to group Any attribute is forming) it is weighted.As non-limiting example, can be proportional to the gross debt of all security in group This group parent group in group is weighted.In some embodiments, function depends on single attribute, in other embodiment party In formula, function depends on multiple attributes.In some embodiments, identical function is used for each group in framework being carried out add Power.In other embodiments, different functions can be used for different groups in level are weighted.In some embodiments In, weighting can be executed as follows by computer：

With reference to the example of Fig. 1, computerized weighting block (1130) receives layering investment combination framework (1125).As Shown in Fig. 2, weighting block can be configured to receive the mark (1131) of investment securities, and associates with investment securities The mark (1132) of investment securities attribute.Then, weighting block can generate the list (1150) of investment securities and weight.In figure Weighting block is shown in further detail in 6.As illustrated, this system can receive the selection of investment securities to be weighted And/or mark (1305).Investment securities to be weighted may be located at any one point or multiple point of above-mentioned hierarchical layer.So Afterwards, the weight (1310) of the weight of single security for present level and security group can be calculated.In some embodiments, Can start to calculate at the top grade of hierarchical layer.In present level, the weighting scheme for this grade and rule can be identified Then (1315).Can be by untreated weight proportion being calculated weight coefficient divided by n, n is quantity or the card of investment securities The quantity (1320) of certificate group.As non-limiting example, with reference to Fig. 4, top grade weight for group 1 can be calculated as 50% with And 50% can be calculated as group 2.In the second grade, organize 1A to organize 1C can respectively with .50*.33=0.165 or 16.5% is weighted.

Before or after the calculating of weight, arbitrarily positive weighted deviation or negative weighted deviation (1325) can be applied.Pass through Weight carried out add, subtract, multiplication and division or other computings to apply deviation.It is applied to a group or any deviation of investment securities will Corresponding contrary deviation is asked to be applied in identical group or the peer-group of same levels elsewhere.If bottom can be reached Grade and complete the weighting of bottom grade, then can terminate weighting and process.Otherwise, can continue with lower level.

Then, the electronic representation of weighted investment securities can be input to as non-limiting example as instruction ETF (EFT) or other financial instruments, such as hedge fund, mutual fund, limited partnership or other throwings Money instrument.

In alternative embodiment, the step for layering and the method weighting can be rearranged.For example, invest The list of security be directed into investment combination Design Treatment Anywhere.Investment securities and/or restructuring are processed can be It is chosen so as to before layering create the exposure to specific universe.In layer architecture, weighting scheme and/or reequilibrate scheme any one Can be chosen before selecting investment securities or after selecting investment securities or choose.

The step of the investment combination for creating above-mentioned investment securities can be carried out with sequence and the change of alternative.For example, With reference to Fig. 1, the identification to investment securities (1131) can be provided to hierarchical block (1105).In this arrangement, it is layered submodule Block can generate layering investment combination framework (1125) of investment securities, and then, layering investment combination framework (1125) is transfused to To weighting block (1130).

Recombinate and again weight

Additionally, some embodiments can include periodically recombinating specified weight to maintain desired risk sudden and violent Dew.Layering investment combination can include：By to layering investment combination component correspondingly weighted sum periodically recombinate specified Weight to maintain desired risk exposure thus maintaining one or more hierarchical composite units of the risk exposure of restriction.Ginseng According to the embodiment shown in Fig. 1, Fig. 2 and Fig. 5, can the step shown in arbitrfary point execution with the input example based on modification Weighted Rule as modification to create the investment combination again weighting.With reference to Fig. 5, in other embodiments, can pass through solely Vertical weighting block again (1155) weights again to provide.Again weighting block (1155) receives and is assigned to investment combination layer The list of the target exposure (1151) of level position.Then, weighting block selects new investment securities comprehensive in layering to include again Close in investment combination.

Layering comprehensive method of investment combination scoring

Using method specifically described herein, score can be calculated for layering investment combination.Score can be investment combination Feature, and can use under multiple environment.In some embodiments, target score can be that expectation investment combination reaches The gageable number arriving.In other embodiments, target score can be the property set that investor wants that investment combination has Close.Investment combination score can be according to investment combination calculate value or value vector, the vector of described value or value can be with pin The target score that the investor of this investment combination is had is compared.Target score can be theoretical value or estimated value.

Target score can serve as the mode of optimization of investment combination.Investor can select target score, then this system Can be used to set up the optimized layering comprehensive method of investment combination for this score.Alternatively, target score can be used to build The vertical investment combination reflecting potential overall performance.That is, target score can be the tolerance how expectation totally executes, And layering comprehensively can be used to measure overall performance.Give the weighted list of the investment securities of investment combination and target Score, can calculate the score of investment combination based on the attribute that investment combination is derived.

How target score can feature based on investment combination execute to expectation investment combination or manager thinks to be formed Want the estimation how investment combination executes.Target score can by measure following in any one or all of performance obtain ?：Individual company, the individual company of stochastical sampling, delaminating units and/or synthesis.

Target score can also be identified as the target score that investor requires the part as the investment objective.Here, Investor may wish to using layering comprehensively come the score that makes it.By group is set up based on total attribute, can be with shape Become risk group.It is then possible to these risk group are carried out appropriately weighted obtaining target score, thus produce have known partially The investment combination of difference.

In some embodiments, layering comprehensive method of investment combination can be designed to meet the target score of user's restriction. As non-limiting example, target score can include following in any one or all：(a) absolute benefit target (for example, it is contemplated that Rolling rate), (b) risk gain measure (for example, Sharpe Ratio, Suo Tinuo ratio or Alpha (alpha)), or (c) by The risk target (for example, Downside Deviation or beta (beta)) of undulatory property tolerance.In some embodiments, target score can be Value or a n dimensional vector n of element or multidimensional vector, for example, those examples provided above.For example, target score can be [actual Income risk free rate]/[prospective earnings risk free rate], wherein, target score is more than or equal to one.

Describe according to the embodiment side comprehensive for building the layering with target fractional referring to Fig. 7 Method.As initial step, user sets up overall (7005) invested by the universe identifying investment securities.For example, totally may be used To be financing corporation and the energy company of the U.S..Next, the universe to security is filtered (7015).Then, to company Totally it is layered (7020).By this process, based on common characteristic, company is put in the group of delaminating units, level.

After overall layering, identification will be used for assessing the module of investment combination.The module using can take Certainly overall in be layered.For example, the module for investment-grade bond investment combination can be expected output or expectancy wave Dynamic, the module of stock portfolio simultaneously can be calculated risk and prospective earnings.When having identified module, Target score (7010) can be set up.Target score is that user wants to see the target that investment combination obtains, by the degree being identified Amount standard carrys out metric objective.For example, the target score of investment-grade bond investment combination can be that investor wants investment combination to obtain The expected output obtaining and expected fluctuation.The following describe the example embodiment of target score.

Comprehensive method of investment combination (7020) of design when arranging target score, can be created.It can be comprehensively two or more The combination of multiple delaminating units.Comprehensively can be designed to reach target score.Following manner design synthesis can be passed through：To point It is weighted (7025) to company strategy in layer unit and delaminating units, and the company in delaminating units is carried out again add Power (7030).Again weighting processes can include changing overall composition and (is meeting the totally middle interpolation of overall standard weighted sum Or delete component).

Can be according to target score come test synthesiss (7035).If target score is accepted, and then process and can reach To completing.Without meeting target score, then then can adjust some or all of in following various parameters, including 1) layer Level is regular (for example, framework), and 2) Weighted Rule, 3) pass through the universe that level and weighting are filtered, and 4) rebalancing/weight Neotectonics strategy.Can repeat to process till creating there is the investment combination being satisfied with score.

The comprehensive mode that can serve as optimization of investment combination of layering.As described above, the synthesis of design can be configured to completely Foot-eye score.Here, target score can be considered the investment objective.For example, target can be to set up following synthesis, described comprehensive Matching outlined in income, performance, variance and/or other quality and the target score closing.

Therefore, replace setting up potential overall most representational investment combination, following investment combinations can be created：Ground is right The group policy of lower grade be weighted so that investment combination will nearest with its target score as mate.Here, meet throwing Money combination and foundation comprehensively make it possible to identify totally interior visibly different risk group.Because these risk group are identified, then Can strategically across risk group distribution weight to meet target score.

In investment securities, investor major concern is risk and return relationship between.Therefore, in some embodiments, target Score can react the investment objective of the investment combination quantifying with respect to portfolio risk and income feature.Set up investment Comprehensive target is by comprehensive Design and potential component to be weighted designing risk and return relationship between.Designed investment is comprehensive The comprehensive score that can reliably obtain theoretical estimation can be produced (by by the individual securities data phase by multiple properties affect Combine and to calculate).

Using method described herein, comprehensively can be designed to improve these inherent characters.Specific spy can be created Property is to use in certain circumstances.In investment securities, can be formed comprehensively with management comprehensive score.Layering is comprehensive to be can be used to Obtain target score.Layering makes it possible in investment combination, the risk of identification is grouped.Therefore, when establishment meets target During the design investment combination of score, preferably can qualitatively and quantitatively understand the risk that investment combination will expose.

Investment statistics for layering comprehensive method of investment combination

The revision of known statistical analysiss can be used (to include according to the investment combination that method described herein generates Alpha (alpha), beta (beta) and Sharpe Ratio and Suo Tinuo ratio) scoring.Standard layers model can be based on Investment combination and the modification with regard to standard investment combination to generate scoring.For example, the Alpha of layering can be calculated as to pass Premium after the adjustment of standard layers portfolio risk.It is also directed to be layered investment combination calculating with respect to delamination criterion city The layering beta of field, in layering investment combination, delamination criterion market is defined as the beta having for 1.

In some embodiments, because market can be defined as the layering investment group of the context subset of overall market Close, then based on context the beta of standard layers can also limit.For example, as non-limiting example, context subset is permissible It is defined as department, industry, geographical position, time, dictionary term etc..

Normal conditions for layering investment combination

Markovitz supposes to set up several investment combinations to determine an investment combination most effectively representing packet.Set up Single model is how Criterion model to test this process most representative.In Criterion model, exist to quilt It is estimated the control of the potential overall and target score obtaining from normal conditions.In Finance, using the throwing of individual security Money combines and to suppose this model of investment combination exploitation.Exist due to weighting the current of investment combination for investment securities, market value It is inconsistent that normal conditions there is no the fact that the target score being supposed by theory or earning rate and causes.

Using system and method described herein, investment combination can be layered with limit standard.Delaminating units can serve as Instrument for Criterion model and exploitation standard target score.Can be come using reliable and effective investment securities species Being totally finely divided to investment securities, so that research on standard is effective.User can develop criteria scores and with Test hypotheses and make Used in the comparative study of other layering investment combinations, benchmark is effective.System may be configured so that standard layers are invested Combination can be used to derive target score.The mesh for layering investment combination can be limited with respect to base standard target score Mark score, such as target Alpha score.

In initial step, theoretical score can be limited or estimate score.Using based on change following in any one or institute Some adjustment：1) the overall change of investment securities；2) how being totally layered to investment securities；And 3) how to divide In level, delaminating units are weighted layer by layer, investment combination can be designed to：1) create for given overall representative result (referred to herein as normal condition)；2) it is partial to the result of first direction；Or 3) deflection second direction result.

Depend on how to be adjusted, deviation can towards the subsets populations in the specific overall collection of investment securities for example Reason set of locations or time group or specific build-in attribute class (or subset of Attribute class).Give in overall hierarchical layer being directed to, Can by hierarchical structure itself (by structure or Attributions selection) or distribute to specific level unit weighting specific to manage Deviation (or shortage of special tolerances).

Non-standard synthesis is configured to the synthesis according to normal conditions change.Variance away from normal conditions is considered as to set Meter or the Alpha of algorithm.Using the present invention, losing side difference can be designed as the Alpha for short investment position.Design Positive variance can be designed as the Alpha for long investment position.For example, distribution can be standard (based on standard feelings Condition) or off-gauge.Non-standard distribution can be positively biased (to the right of standard) or negative bias (to the left of standard).As above institute State, the adjustment to weight can be used to generate the investment combination of the distribution with these types.

Data set standardization and probability are formed

Financial benchmark index is frequently used for assessing the performance of financial instrument.Standard and Poor's 500 Index is for towards stock Such benchmark index of fund example.LEH global bond index is that the benchmark for Bond Fund refers to Number.Standard and Poor's 500 Index is market value weighting so that the market value of individual stock is used for the value of the stock in index being carried out add Power.Therefore, the change of the market value of relatively large company has out-of-proportion impact to index.Due to representing relatively large company Instrument be worth on fluctuate, then follow the tracks of these indexes fund also experienced corresponding be worth on fluctuate.

Larger economic data set be may apply to reduce result according to the Mathematical treatment of method described herein The fluctuation of (such as investment return) and randomness.In some embodiments, multivariate algorithms can be used to organize larger number According to collection.Methods described can be used to generate cause effect relation and execute real-time analysis.

This system can be additionally configured to the data set representing investment securities is standardized.Standardization includes base Statistical classification in the entity attributes associating with investment securities.Can be the genus of those described above type for standardized attribute Property, or the business with the entity being associated with security and relevant other attributes of assets.

Multiple investment securitieses can be organized in statistical classification.Use for selecting in attribute can be provided by system Family interface.System can include statistical classification editing machine (being referred to as dictionary editing device in some embodiments).Statistical classification Can be limited at using in the system of editing machine.Individually or in conjunction, statistical classification can be defined as above-mentioned genus In property any one or more.It is also based on above-mentioned grammer and coding system to limit statistical classification.In some feelings Under condition, statistical classification can also be delaminating units.

Bankruptcy example

Following example shows the service condition of the synthesis for investment securities.In this example, create investment grade The layering comprehensive method of investment combination of corporation loan security.

Investment grade debt is that have the particular kind of security of clear and definite expected yield and clear and definite risk.Each bond To be graded by third party rating organization.This grading obtains the probability of the promise breaking to debt for the bond issue business.In default risk In the case of, default risk is one of the most suitable risk in the investment of such security risk, has identical grading The Yield To Maturity that corporate bonds will have like, holds its dependent variable (for example expiring), constant.It is assumed that it is anticipated that carrying out institute There is payment (coupon payments and face value), then Yield To Maturity is that bondholder holds under the present price of given bond Matured bonds are by the annualized return obtaining.In other words, Yield To Maturity is current value and the bond of the cash flow of bond The equal discount rate of current value.For all bonds of the similar grading having from these mechanisms, for the given Expiration Date Income will be identical or in very narrow scope.That is, the performance of investment grade corporation loan security is measurable.

Although different investment grade debt securities can have an identical Default Probability, one of triggering promise breaking or more Multiple events can change according to publisher.That is, different companies can face specific intrinsic value with company and The relevant different risk factor of its business.Although some factors in these factors are probably unique for the said firm, It is that other factors are possibly total for groups of company.Such risk generally can include：Industry risk, product wind Danger, customer risk, the sensitivity to interest rate, the economic factor outside the control in geographical position, politics or company or and company CEO or the relevant risk of management.There is the specific attribute of many companies of the default risk of the company that possibly relies on.These belong to Property can include but is not limited to：

1) monetary lever：Some companies more or less use lever than other companies；

2) assets based on attribute or proper operation：Such attribute is not measure attribute or performance attribute, but limits What attribute, the attribute for example manufacturing, transporting do in company；Product such as vehicle, computer or sofa and car with company , the relevant attribute of the type of computer or sofa；The attribute relevant with the client such as client or enterprise of company；With client's The relevant attribute of client；The attribute relevant with the geographical position of enterprise or its individual service；With product and company using providing The relevant attribute of the material of its product；With the polynary industry of company possible operation or industry partly in any one relevant attribute； The attribute relevant with the pattern of trade of company, such as integration, nonconformable, forward integration, backward integration or network；With business Any one relevant attribute in the pluralistic Government of the particular trade of industry trade or country's association or macroeconomy risk；With by conduct Metering risk or the attribute of trade hazard association that the business of the core of its trade is identified；Or with depend on by investment community Particular business or the classification associated risk of department.In any given time point, these factors any one or and these Any one in the relevant industry event of factor may cause or increase the risk of any specific company bankruptcy.

3) management or strategy：Company has the risk of uniqueness based on its management, its decision-making and strategy.

4) asset value：Bankruptcy (one kind of promise breaking) changes the valency of the investment securities by single corporation issues at all Money.In voluntary bankruptcy, the supposition of the income based on the operation carrying out changes over each individuality including liquidating plan and company The analysis of the right of investment securities.In this case, investor is based on the investment securities in the capital structure of distributing and releasing corporation Position receive the ability of the payment with regard to given security assessing it.It is preferential that investment securities can have been designated as clearance. If the latent property of company is sold or processes, these clearance priority specify which security obtains which income and assorted When obtain.

Each of these attributes are the potential sources of default risk for fixed income investment person or clean risk of liquidation. For example, some in these attributes relevant with the group of company (can produce the company of vehicle or business are located at the public affairs of New Orleans Department).Therefore, the investment combination not controlling particular community may cursorily be exposed to the particular risk of concentration.Member when group When promise breaking bankruptcy or voluntary bankruptcy, also can affect other companies in this group.

The present invention includes the layering comprehensive method of investment combination for setting up investment grade corporation loan security in the following manner Method：By the investment combination that management is exposed to any specific company or industry limit to clean risk of liquidation, corporate events and The exposure of other such unsystematic risk factors.Market value weighting debt investment combination in, with respect in investment group In conjunction, the issuing scale of the total scale of all distribution is proportionally weighted to security.Weighting scheme in such non-management In, for issue the company of substantial amounts of debt or industry may in investment combination weight too high.If these companies or industry One of company or industry there is negative event and for example go bankrupt, then will tempestuously affect investment combination itself.Layering is comprehensive Investment combination is the instrument limiting the particular exposed to the amount calculating, and for individual company and extensive industry or macroscopic view Economic impact is limited.

The default risk that the application present invention manages investment grade corporation loan investment combination provides showing of an embodiment Example.Each debt securities has the risk class of the value of the clearance of the latent assts of the company of depending directly on.This risk with The demand of the market risk and debt securities itself that are associated with supply is clearly separated, and with possible impact in given point in time Earning rate * required for given investment securities is for example in the risk free rate of this time point) market factors separate.

System described herein avoids such unsystematic risk throughout investment combination；That is, described system Single security or the significant impact of security group can be reduced or eliminated.This can by based on non-systemic attribute to risk group Company in (layer) carries out being grouped and for example the company with similar product or similar customer basis is grouped to obtain together ?.The layering being appropriately performed guarantees that single unsystematic risk will not represent to the great wind as overall investment combination Danger.In such layering synthesis, clean risk of liquidation is propagated so that the bankruptcy of any one group or company throughout the group of enough uniquenesses Impact minimize.

The present invention can be used for layer creating as follows.For investment-grade bond, there is the degradation of three types or bankruptcy Reason：1) the specific risk of company；2) the specific risk of industry；And 3) the specific risk of product.The investment grade of given grading Bond should have degradation risk or the clean risk of liquidation of equal probabilities, but this grading does not provide the possible cause with regard to bankruptcy Information.Practically, for the bond of identical grading, the factor that may cause publisher's promise breaking may be fundamentally different.However, These bankruptcy factor constitutionallies are relevant with the build-in attribute of distributing and releasing corporation.Using these attributes, can be based on broken with publisher Bond is grouped into risk group by the characteristic of the relevant bond issue business of product factor.This process can be repeated to form the wind of nesting Danger group level, wherein, each subgroup is had the risk of its own but also has the risk being associated with parent group.Then, these Risk group can be used for building the comprehensive layer of layering investment.By being layered to investment across these layers, can substantially subtract Gently the negative event of single company or industry may have a strong impact on the probability of investment combination.

Industry risk example

Following example shows other service condition investment securities being layered to synthesis.In this example, create Build the synthesis of the investment securities of stock according to Standard ＆ Poor 900 index.This synthesis is including the U.S. from various industries Wide base (broad-based) index of the deep bid of corporation issues and mid-game stock security.This universe be Standard and Poor's 500 Index and The combination of Standard ＆ Poor 400 index, Standard and Poor's 500 Index and Standard ＆ Poor 400 index follow the tracks of deep bid company and mid-game respectively Company.During a period of time, such stock universe should show relevant with risk-free investing such as treasury bill Consistent income premium.

In this example, the income of the Standard ＆ Poor 900 market value being weighted builds with being designed for use with the method for the present invention The income of the comprehensive identical universe of security of layering be compared.The attribute relevant with the functional character of this 900 companies is used The layer nested to create the layering being functionally grouped together similar company.These layers are used for according to described herein Method determines the weight for each security.Investment combination, by quarterly rebalancing, each security is returned it and initially weighs Weight.

Layering provides in the environment of negative price vibrations (being colloquially called industry foam " rupture ") of specific industry experience Important benefits.Increase with industry foam, the market value of the company in this industry increases, therefore, this industry weights investment in market value Weight in combination increases.(it lacks base to the weight of individual company with the weight of similar company's group to weight fund in market value Control in attribute) in, such foam can cause the unintentionally over-exposure to particular risk group, described particular risk group Including the risk only affecting specific industry.When the too high industry foam collapse of weight, investment combination is out of proportionly impaired.I.e. The company outside industry foam is made reasonably to show, the negative income of the too high company of weight can produce for whole investment combination Negative income.

However, in layering comprehensive method of investment combination, layer and different industry wind can be made by carrying out to universe being layered Danger corresponds to and to substantially mitigate the risk of industry foam.In this way, the specific risk of industry is isolated, and is unable to ratio Imbalance ground causes the negative performance in investment combination.

The growth of information technology stock from 1997 to 2000 and crash illustrate the benefit that the layering comprehensive method of investment is combined Place.Using the attribute of Grammatical composition, define that industry function is related to the group of the company of mobile, storage or processing information.In this group Company include：Microsoft, Cisco, Intel, AOL, high pass and other such information technology companies.

20 in Standard ＆ Poor 900 maximum such information technology stocks are in the later stage nineties 19th century weight Increase so as to get 2000, this 20 stocks have dominated investment combination., 1998 and the end of the year 1999 in 1997, this 20 Common weight is 11.8%, 13.7% and the 20.4% of Standard ＆ Poor 900 to individual stock respectively.In 2000, when foam crash When, these stock discounts 42.3%, make a profit -6.9% simultaneously as overall Standard ＆ Poor 900.Exclude these information public Department, remaining company of Standard ＆ Poor 900 has made a profit 6.8%.That is, " overall market " decline in 2000 is not system Property fault；But the not controlled result being excessively exposed to single industry.

In layering comprehensive method of investment combination, the specific risk of such industry can be controlled.It is layered the comprehensive method of investment in example In combination, 20 information firms of identical are set at 2.0% weight, and quarterly are adjusted to this weight.? 2000, the group of this isolation performance bad (devalued 59.7%), but outside this group, example layering comprehensive method of investment combination tool There is considerable income.Exclude this 20 companies, example layering comprehensive method of investment combination profit 21.3%.Generally, in 2000, Example layering comprehensive method of investment combination profit 17.6%, the market value exceeding accurate identical universe weights investment combination 24.5%.

The performance of the market value weighting standard pul 900 compared with performance being layered comprehensive method of investment combination with the example of identical universe Show how layering can prevent non-systemic industry risk from affecting whole investment combination.

System architecture

System and method described herein can be realized with software or hardware or combination in any therein.Retouch herein The system and method stated can using each other can or cannot physically or logically detached one or more computing device come Realize.Additionally, the various aspects of method described herein can combine or be merged into other functions.Figure 10 illustrates use In the example computerized system realizing the present invention.

In some embodiments, shown system element can be incorporated in single hardware unit or be separated into many Individual hardware unit.If using multiple hardware units, hardware unit can physically be orientated as close to each other or away from each other.

Methods described can calculating can access from computer-usable storage medium or computer-readable recording medium Realizing, computer-usable storage medium or computer-readable recording medium provide program code for computer to machine program product Any instruction execution system using or be used in combination with computer or any instruction execution system.Computer-usable storage medium Computer-readable recording medium can be can comprise or storage program any device, program supply computer or instruction execution System, device, equipment are used or are used in combination with computer or instruction execution system, device, equipment.

The data handling system being suitable to store and/or execute corresponding program code can include directly or indirectly being coupled to At least one processor of computerized data storage device such as memory element.Input/output (I/O) equipment (include but not It is limited to keyboard, display device, instruction device etc.) system can be coupled to.Network adapter can also be coupled to this system so that Data processor can become by intervening private network or total network and being coupled to other data handling systems or remotely beat Print machine or storage device.In order to provide and the interacting of user, feature can be realized on the computer have following apparatus, described Device includes：Display device such as LCD (liquid crystal indicator) or the another type of supervision for displaying to the user that information Device and keyboard and input equipment such as user can provide mouse or the tracking ball of input by it to computer.

Computer program can be the one group of instruction that can directly or indirectly use in a computer.System described herein System and method can be realized using following programming languages：Such as Flash^TM、JAVA^TM、C++、C、C#、Visual Basic^TM、 JavaScript^TM, the combination of PHP, XML, HTML etc. or programming language, including compiler language or interpretative code, and can be with The deployment of any form, including for example independent program or as module, partly, subprogram or be suitable to use in a computing environment Other units.Software can include but is not limited to firmware, resident software, microcode etc..Realizing the interface between programming module When can use agreement such as SOAP/HTTP.Components and functionality described herein can use and be suitable to any of software development Any desktop operating system that programming language executes under visual environment or invisible environment realizing, operating system include but not It is limited to：The Microsoft Windows of different editions^TM、Apple^TMMac^TM、iOS^TM、Unix^TM/X-Windows^TM、Linux^TMDeng.This is System can be realized using application frame such as Ruby on Rails.

Processing system can be communicated with computerized data-storage system.Data-storage system can include non-pass It is type data store or relational data storage part such as MySQL^TMOr other relevant databases.Other physics can be used With logical data base type.Data store can be database server, for example Microsoft SQL Server^TM、 Oracle^TM、IBM DB2^TM、SQLITE^TM, or any other database software, relationship type or otherwise.Data store The information of identification grammer label can be stored and grammer label is carried out operate any information needing.In some embodiments In, processing system can with using OOP and can in the form of object data storage.In these embodiments, Processing system can be using Object-Relation Mapping (ORM) come data storage object in relevant database.Described herein System and method can be realized using any number of Physical data model.In an example embodiment, it is possible to use RDBMS.In these embodiments, the table in RDBMS can include the row of denotation coordination.In the case of economic system, table Show that the data of company, product etc. can be stored in the table of RDBMS.Table can have the predetermined relationship between data.Table also may be used To have the ornamental equivalent associating with coordinate.

Suitable processor for the program of execute instruction includes but is not limited to：The microprocessor of general and special purpose And only processor of any kind of computer or one of multiple processor or core.Processor can receive and deposit Storage is deposited from computerized data storage device such as read only memory, random access memory, read only memory and at random The instruction and data of the combination in any of both access to memory or data storage device described herein.Processor can include The operation of electronic installation and any process circuit of performance or control circuit are controlled on work.

Processor can also include the one or more data storage devices for data storage, or on can working It is coupled to and communicated with the one or more data storage devices for data storage.As non-limiting example, so Data storage device can include：Disk (include internal hard drive and removable disk), magneto-optic disk, CD, read only memory, Random access memory and/or flash memory devices.It is suitable to the storage device comprising computer program instructions data with understanding Can also include：The nonvolatile memory of form of ownership, including, for example, semiconductor memory system, such as EPROM, EEPROM and flash memory device；Disk such as internal hard drive and removable disk；Magneto-optic disk；And CD-ROM and DVD-ROM CD.Processor and memorizer can be realized by ASIC (special IC), or are incorporated in ASIC.

System described herein, module and method can be come real using the combination in any of software element or hardware elements Existing.System described herein, module and method can be using the one or more void operating individually or in conjunction Plan machine is realizing.Any applicable virtual method can be used for for physical computing machine platform being encapsulated into hardware computing platform Or in the virtual machine controlling lower execution of the virtualization software running on main frame.Virtual machine can have virtual system hardware and visit Objective operating system software.

System and method described herein can be realized in following computer systems：Including back-end component, for example several Computer system or inclusion middleware such as application server or Internet server according to processor；Or include front end component Computer system for example has the client computer of graphic user interface or explorer；Or combination in any therein. The part of system can be by the medium of any form of digital data communications or digital data communications such as communication network come even Connect.The cyber-net that the example of communication network includes such as LAN, WAN and forms the Internet.

One or more embodiments of the present invention can be implemented with other computer system configurations, including：Hand-held Equipment, microprocessor system, the consumption electronic product based on microprocessor or programmable consumer electronics, minicomputer, Mainframe computer etc..The present invention can also be implemented in a distributed computing environment, in a distributed computing environment, by via net The remote processing device execution task that network connects.

Although it have been described that one or more embodiments of the present invention, but, various changes, interpolation, displacement and Its equivalent way is included within the scope of the invention.

In the description of embodiment, with reference to form the accompanying drawing of a part for embodiment, accompanying drawing passes through the side of diagram Formula shows the specific embodiment of claimed theme.It is understood that other embodiment can be used, and permissible It is changed or changes such as structural change.Such embodiment, it is altered or varied and not necessarily deviate from respect to being intended to Seek the scope of the theme of protection.Although step herein may be presented with a certain order, in some cases, permissible Change order makes in the case of the function of not changing described system and method, in the different time or with different suitable Sequence provides some inputs.Disclosed step can also be executed in different order.Additionally, various calculating herein are necessarily To be executed with disclosed order, and to may be easy to realize the other embodiment using alternative computation sequence.Except Outside being reordered, calculate and can also be broken down into the son calculating with identical result.

Claims (30)

1. a kind of computer implemented method of the database representation for building investment securities, methods described includes：

Data entity set is stored electronically in data system, each data entity in described data entity represents investment Security, and each investment securities is corresponding with economic entity；

Would indicate that the attribute of described economic entity tag electronics distribute to multiple investment securitieses；

Select multiple investment securitieses of being represented by data entity to include in the index of described investment securities, fund or investment combination In；

Selected investment securities is layered as by least first layer group and the based on the first total attribute and the second total attribute In two layering groups, wherein, shared by one or more by the economic entity that the investment securities in described first layer group represents The first of tag recognition has attribute, and the economic entity being represented by the investment securities in described second layering group shares by one The total attribute of the second of individual or more tag recognition；

Select layered investment securities group；

Based on the 3rd total attribute and the 4th total attribute by selected investment securities be layered at least first layer subgroup and In second layering subgroup, wherein, the economic entity being represented by the investment securities in described first layer subgroup share by one or The total attribute of the 3rd of more tag recognition, and the economic entity being represented by the investment securities in the described second layering subgroup Shared the 4th total attribute by one or more tag recognition；

Wherein, described total attribute is shared in it is corresponding group；

The group that is layered based on described investment securities and subgroup are distributing to described investment securities by positive weight or negative weight One or more of；

Layered group and subgroup are stored electronically the database representation for index, fund or investment combination；And

Make it possible to the Database Systems of described index, fund or investment combination in described Database Systems are represented and create Build, read, updating or deletion action.

2. method according to claim 1, also includes：

Negative weight or positive weight are distributed to security one or more groups, wherein, one or more groups Weight and be equal to 1；

Negative weight or positive weight are distributed to one or more subgroups, wherein, described group one or more Subgroup weight and be equal to 1；And

Negative weight or positive weight are distributed to one or more investment securitieses, wherein, described subgroup one or More investment securitieses weight and be equal to 1；And

By weight and the institute of the subgroup in the weight of the described security in the subgroup of the described security of calculating, the group of described security Negative weight or positive weight are distributed to investment securities by the weight stating the group in investment combination.

3. method according to claim 2, also includes：

Setting is for the target weight of group, subgroup or security；And

By described group, subgroup or security periodically rebalancing to its target weight.

4. method according to claim 2, also includes：To exchange, index provider, index counter, brokerage firm, The transmission of one or more of assets manager, investment consultant, fund manager or stock exchange platform, transmission or forwarding Information with regard to one or more data entities and one or more weight.

5. method according to claim 4, also includes：Using one or more weights come in security, synthesis, group or throwing Buy in money combination, sell, short-term is sold or executed transaction.

6. method according to claim 1, wherein, one or more security, subgroup, group or investment combination be stock, Bond, derivant, commodity, fund or ETF.

7. method according to claim 1, also includes：Obtain performance feature using financial instrument.

8. method according to claim 7, wherein, described financial instrument is selected from：Stock, bond, derivant, commodity, base Gold or ETF.

9. method according to claim 1, wherein, by the economic entity that investment securities represents be：Company, assets, resource, Product or debt.

10. method according to claim 9, wherein, described total attribute and the input being represented by investment securities, output, Business, product, the client of the client of supplier, client or described company, assets, resource or debt are relevant.

11. methods according to claim 1, also include：

Receive the target performance metric standard as input from user；And

Assessment investment combination, group or subgroup are determining or to be expected whether it meets described performance metric standard, or whether it is pre- It is calculated as meeting described performance metric standard；Or

Build investment combination, group or subgroup to obtain described performance metric standard.

12. methods according to claim 11, wherein, described performance metric standard is prospective earnings, risk measurement, fluctuation Property tolerance, Alpha, beta or Sharpe Ratio.

13. methods according to claim 1, wherein, group and its composition subgroup include being layered comprehensive unit.

14. methods according to claim 13, wherein, described layering comprehensive unit be designed or selected to from potential The overall group that do not control of security is compared, and has different risk gain distributions.

15. methods according to claim 1, wherein, index is the investment securities collection do not invested being represented by data entity Close, and investment combination is the investment securities set of the investment being represented by data entity.

16. methods according to claim 1, wherein, described first attribute and described second attribute are different.

17. methods according to claim 16, wherein, described 3rd attribute and described 4th attribute different from each other and with Described first attribute is different with described second attribute.

18. methods according to claim 1, also include：

Other total attribute identification is the basis for being layered as any amount of layer further, wherein, each layer of inclusion At least two subsets in the set of higher level；And

General character also based on attribute is being layered to described subgroup.

19. methods according to claim 1, wherein, are layered to described group or subgroup to create than by generally accepting Measured market value weighting investment combination, average weighted investment combination or the Factors Weighting investment combination of canonical statistics test more The performance of standard profile.

20. methods according to claim 19, wherein, described performance is by income, prospective earnings, risk, variance, fluctuation Property, expected variance, expected undulatory property or mobility to be measuring.

21. methods according to claim 1, wherein, described attribute be described potential economic entity intrinsic.

22. methods according to claim 21, wherein, described build-in attribute is not based on the factor, based on metering, based on achievement Imitate or based on capital market.

23. methods according to claim 21, wherein, verify as tested by statistical significance, distribute to data real The build-in attribute of body be possible at any time interim maintain steady state value attribute.

24. methods according to claim 1, wherein, the potential business of described build-in attribute and described company or publisher Association, or associate with the company in the value chain of described build-in attribute or publisher.

25. methods according to claim 24, wherein, described business includes：Buying, transport, storage, research and development, manufacture, matter Amount control, sale, transaction, banking, investment research, asset management, audit, capital, the energy, information, soil, real estate, Instrument, work, raw material, simple assemblies, complex assemblies or other products, final products, resource, assets, debt, agent, Department, working group, supplier, lender, investor, shareholder, client, the client of client, negative side, partner, service provider, Input, output.

26. methods according to claim 24, wherein, described potential business does not include：Based on described metering or capital city The expression of field, or the module of assets, debt, input, business, or the product of company or the product of publisher.

27. methods according to claim 1, wherein, the feature of described attribute is will to put into the process changing into output In, the role of each economic entity in described economic entity.

28. methods according to claim 27, wherein, described attribute is functional.

29. a kind of for executing order in a computing environment to build the system of the database representation of investment securities, described system Including：

Computerized processor, described computerized processor is configured to：

Would indicate that the attribute of economic entity tag electronics distribute to multiple investment securitieses；

Select multiple investment securitieses of being represented by data entity to include in the index of described investment securities, fund or investment combination In；

Selected investment securities is layered as by least first layer group and the based on the first total attribute and the second total attribute In two layering groups, wherein, shared by one or more by the economic entity that the investment securities in described first layer group represents The first of tag recognition has attribute, and the economic entity being represented by the investment securities in described second layering group shares by one The total attribute of the second of individual or more tag recognition；

Select layered investment securities group；

Based on the 3rd total attribute and the 4th total attribute by selected investment securities be layered as at least first layer subgroup and In second layering subgroup, wherein, the economic entity being represented by the investment securities in described first layer subgroup share by one or The total attribute of the 3rd of more tag recognition, and the economic entity being represented by the investment securities in the described second layering subgroup Shared the 4th total attribute by one or more tag recognition；

Wherein, described total attribute is shared in it is corresponding group；And

Based on the group belonging to described investment securities and subgroup, positive weight or negative weight are distributed in described investment securities One or more；And

Electronic data storage part, described electronic data storage part is configured to：

Data entity set is stored electronically in data system, each data entity in described data entity represents investment Security, and described investment securities is corresponding with economic entity；

Make it possible to the Database Systems of described index, fund or investment combination in described Database Systems are represented and create Build, read, updating or deletion action；And

Layered group and subgroup are stored electronically the database representation for index, fund or investment combination.

30. systems according to claim 29, wherein, described computerized processor is additionally configured to：

Negative weight or positive weight are distributed to security one or more groups, wherein, one or more groups Weight and be equal to 1；

Negative weight or positive weight are distributed to one or more subgroups, wherein, described group of one or more subgroups Weight and be equal to 1；And

Negative weight or positive weight are distributed to one or more investment securitieses, wherein, described subgroup one or more Individual investment securities weight and be equal to 1；And

By weight and the institute of the subgroup in the weight of the described security in the subgroup of the described security of calculating, the group of described security Negative weight or positive weight are distributed to investment securities by the weight stating the group in investment combination.