Patent ID: 8812390

Claim:
A computerized method for generating an implied alpha model, comprising the steps of: inputting a plurality of variables into a computerized system; converting automatically by the computerized system a plurality of alpha factors to risk-adjusted alpha factors, wherein said converting of alpha factors comprises the steps of: calculating automatically by the computerized system the size of each risk exposure for each risk factor; deriving automatically a risk part from an alpha factor by the computerized system; and deducting automatically the risk part from the alpha factor by the computerized system; producing automatically a portfolio breakdown by the computerized system, wherein said producing of the portfolio breakdown comprises the steps of: receiving automatically the risk-adjusted alpha factors previously converted automatically by the computerized system; displaying automatically the portfolio as a linear combination of constraint coefficients and risk-adjusted alpha factors by the computerized system; and deriving automatically the portfolio breakdown by the computerized system; constructing automatically an implied alpha model by the computerized system; and generating automatically the portfolio as an optimal portfolio and a residual.