Patent Document ID: 8533107
Application ID: 13503696
Patent Flag: 1

Claim One:
1. A computer-implemented method of computing a factor risk model, comprising a matrix of factor exposures, a matrix of factor-factor covariances, and a matrix of specific covariances, whose assets or underlying assets are traded in more than one market whose hours of trading are not the same, comprising: storing data for the markets and assets included in the factor risk model in a memory; selecting a single synchronization market from the more than one market utilizing a data entry device; computing daily asset returns for all assets included in the factor risk model for each market on which the assets trade utilizing a programmed processor cooperating with memory; estimating a correction matrix based on a regression of daily market returns for each market and daily market returns for the single synchronization market that synchronizes the daily asset returns to the synchronization market utilizing the programmed processor cooperating with memory; computing a synchronized factor-factor covariance matrix utilizing the daily asset returns and the correction matrix utilizing the programmed processor cooperating with memory, where the correction matrix adjusts daily asset returns for markets whose hours of trading are not the same as the synchronization market; computing the factor risk model, the matrix of factor exposures and the matrix of specific covariances using the daily asset returns and the correction matrix utilizing the programmed processor cooperating with memory; and outputting the factor risk model with the synchronized factor-factor covariance matrix, the matrix of factor exposures, and the matrix of specific covariances utilizing an output device.