Patent ID: 8285620
Filing Date: 2012-10-09
Classification: G06Q

Abstract:
1. A method of assigning portfolio weights to each financial instrument in a portfolio of financial instruments based on a ranking of the financial instruments, the method comprising: assigning a long-short portfolio weight to each financial instrument in the portfolio to create a long-short portfolio by: determining, with a processor, a cutoff rank and a long-short risk multiplier (LSRM) parameter for the portfolio, wherein the LSRM parameter is indicative of a magnitude of active positions in the long-short portfolio; determining, with the processor, a ranking and a benchmark weight for each financial instrument in the portfolio; and assigning, with the processor, a long-short portfolio weight to each financial instrument in the portfolio, wherein the long-short portfolio weight assigned to the i wherein BmkWgt i denotes the benchmark weight for the i th financial instrument and RelWgt i denotes a relative weight for the i th financial instrument determined according to the relationship for all i with Rank and for all i with Rank wherein Rank i denotes the ranking for the i th financial instrument and Rank c denotes the cutoff rank; and converting the long-short portfolio weight for a respective financial instrument in the long-short portfolio to a corresponding long-only portfolio weight by: determining, with the processor, a long-only adjustment multiplier (LOAM) parameter based on the LSRM parameter and a sum of long-short portfolio weights corresponding to short-held financial instruments in the long-short portfolio; assigning, with the processor, a long-only portfolio weight to the respective financial instrument based on a difference between the ranking of the respective financial instrument and the cutoff rank, the benchmark weight of the respective financial instrument, and the LOAM parameter, if the ranking of the respective financial instrument is larger than the cutoff rank; and assigning, with the processor, a long-only portfolio weight of substantially zero to the respective financial instrument if the respective financial instrument corresponds to a short-held financial instrument in the long-short portfolio.