INVESTMENT ALLOCATION SYSTEM FOR MANAGING INVESTMENT RETURN AND RISK AND METHOD THEREOF

The present invention discloses an investment allocation system for managing investment return and risk and method thereof. The investment allocation system comprises a storage unit, a MDD computation unit, an operation unit, and an allocation process unit. The storage unit stores a threshold, first data sets comprising values of potential investments, and second data sets comprising values of benchmark assets. The MDD computation unit transforms the data sets into MDD sequences. The threshold is assigned to the first MDD sequence in order to obtain a corresponding kth-quantile thereof. Further, an operation unit inserts an object according to the kth-quantile into the second MDD sequence. The operation unit further divides the number of the second list of objects having smaller values than the object by the number of the whole second list of objects to obtain a consistency index. Also, an allocation process unit allocates assets by processing the consistency indexes.