Systems and methods for computing systematic risk factor exposures of investment funds

Systems and methods for computing systematic risk factor exposures of investment funds

Embodiments disclosed herein provide for systems and methods of calculating the coefficients and creating a linear multivariate model of price returns for a given target portfolio by using the factor characteristic data of the fund's constituents at a particular point in time. The systems and m...

Ausführliche Beschreibung

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Bibliographische Detailangaben
Hauptverfasser: Staines, Joe, Kishelev, Michael, Skuratovsky, Ilya, Poole, Andrew R
Format: Patent
Sprache:eng
Schlagworte:
CALCULATING
COMPUTER SYSTEMS BASED ON SPECIFIC COMPUTATIONAL MODELS
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
ELECTRIC DIGITAL DATA PROCESSING
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Beschreibung
Zusammenfassung:Embodiments disclosed herein provide for systems and methods of calculating the coefficients and creating a linear multivariate model of price returns for a given target portfolio by using the factor characteristic data of the fund's constituents at a particular point in time. The systems and methods provide for creating quantile matrices based on the target portfolio and a plurality of synthetic factor portfolios, and computing weights on each synthetic factor portfolio such that the sum of squared differences between each cell in the profile matrix of the fund and the factor portfolios is minimized.