SYSTEMS AND METHODS FOR CUSTOMIZING A PORTFOLIO USING VISUALIZATION AND CONTROL OF FACTOR EXPOSURE

SYSTEMS AND METHODS FOR CUSTOMIZING A PORTFOLIO USING VISUALIZATION AND CONTROL OF FACTOR EXPOSURE

Systems and methods for customizing a portfolio using visualization and control of factor exposures are disclosed. Assets are selected for inclusion in factor portfolios from a universe of assets based on risk premia factor scores. The factor portfolios can be combined into blended portfolios having...

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Bibliographische Detailangaben
Hauptverfasser: Monty Joshi Himanshu, Hissen Helmut, Vaidyanathan Vijay, Mantilla Garcia Daniel, Ang Andrew
Format: Patent
Sprache:eng
Schlagworte:
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Beschreibung
Zusammenfassung:Systems and methods for customizing a portfolio using visualization and control of factor exposures are disclosed. Assets are selected for inclusion in factor portfolios from a universe of assets based on risk premia factor scores. The factor portfolios can be combined into blended portfolios having varying degrees of factor exposures using simple visual controls for adjusting relative proportions of the factor portfolios. Any one of the individual factor portfolios and the resulting blended portfolio can be evaluated by comparing its performance against a benchmark portfolio or across a number of regimes representing various market or economic conditions or factor-specific regimes.