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1. 发明申请

WO2012116309A3 SYSTEM, METHOD & COMPUTER PROGRAM PRODUCT FOR CONSTRUCTING AN OPTIMIZED FACTOR PORTFOLIO 审中-公开
标题翻译：用于构建优化因子组合的系统，方法和计算机程序产品
公开(公告)号：WO2012116309A3
公开(公告)日：2014-04-24
申请号：PCT/US2012026581
申请日：2012-02-24
申请人： RES AFFILIATES LLC , HSU JASON C , LI FEIFEI , SHAKERNIA OMID , BIANGOLINO DENIS
发明人： HSU JASON C , LI FEIFEI , SHAKERNIA OMID , BIANGOLINO DENIS
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06
摘要： Constructing, by at least one processor, data indicative of an optimized factor portfolio may include: receiving, by the at least one processor, data about a plurality of monthly returns for multiple years for a universe of asset classes; receiving, by the at least one processor, data about investment returns; extracting, by the at least one processor, a plurality of orthogonal risk factors, at least one factor characteristic, and an asset class-factor translation matrix by principal component analysis from the data about the universe of asset classes; and optimizing, by at least one processor, to determine the optimized factor portfolio; constructing, by the at least one processor, an investible custom mimicking portfolio based on the optimized factor portfolio, and at least one of any portfolio constraints, or any portfolio specifications, may include rebuilding using the asset class-factor translation matrix and an optimization process based on the investment returns.
摘要翻译：由至少一个处理器构建指示优化因子组合的数据可以包括：由至少一个处理器接收关于资产类别的世界的多个月的多个月回报的数据; 由至少一个处理器接收关于投资回报的数据; 由所述至少一个处理器从关于资产类别的数据的主要成分分析中提取多个正交危险因素，至少一个因素特征和资产类别因素转换矩阵; 以及通过至少一个处理器优化以确定所述优化因子组合; 由所述至少一个处理器构建基于优化因子组合的可投资定制模拟投资组合，并且任何投资组合约束或任何投资组合规范中的至少一个可以包括使用资产类别因子转换矩阵和优化过程进行重建基于投资回报。

2. 发明申请

WO2005076941A3 SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES SYSTEM, METHOD AND COMPUTER PROGRAM PRODUCT 审中-公开
标题翻译：注册利益的独立交易和证券系统，方法和计算机程序产品的主要原则
公开(公告)号：WO2005076941A3
公开(公告)日：2007-03-01
申请号：PCT/US2005003673
申请日：2005-02-04
申请人： RES AFFILIATES LLC , ARNOTT ROBERT D
发明人： ARNOTT ROBERT D
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/02
摘要： A method and apparatus for investing is set forth. Taking the present value of a future liability as the starting point, interest bearing securities or derivatives may be purchased that may have a duration less than that of the future liability, but are purchased in sufficient multiples of so that the duration of the investment, times the multiple, equals the duration of the future liability. The securities or derivatives of less duration will in almost all cases have associated interest rates that are less than that of a similar security or derivative whose duration matches that of the future liabilities. As duration decreases for the available securities or derivatives, interest rates of each will also decrease, but not as rapidly the rate of decrease in duration. By using leverage, securities or derivatives can be purchased in amounts such that the duration of the investment will match that of the future liabilities, but the total amount of interest available from the leveraged investment will exceed that for a similar instrument whose duration matches that of the future liabilities.
摘要翻译：阐述了投资的方法和设备。以未来负债的现值为起点，可能购买可能持有时间少于未来负债期限的有息证券或衍生工具，但以足够倍数购买投资期限该倍数等于未来负债的期限。几乎所有情况下的证券或衍生工具几乎在所有情况下的相关利率都低于其持续时间与未来负债相匹配的类似担保或衍生工具的利率。随着可用证券或衍生工具的持续时间减少，每个利率也将下降，但持续时间下降的速度不会很快。通过使用杠杆作用，证券或衍生工具可以按照投资期限与未来负债相一致的方式进行购买，但杠杆投资可获得的利息总额将超过其期限与未来负债。

3. 发明申请

WO2008024416A8 SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES SYSTEM, METHOD AND COMPUTER PROGRAM PRODUCT 审中-公开
标题翻译：注册权益和证券系统，方法和计算机程序产品的主要单独交易
公开(公告)号：WO2008024416A8
公开(公告)日：2008-10-16
申请号：PCT/US2007018595
申请日：2007-08-23
申请人： RES AFFILIATES LLC , ARNOTT ROBERT D
发明人： ARNOTT ROBERT D
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/06
摘要： A computer program product embodied on a computer readable medium may enable a computer processor to perform a method for generating a correlated investment. The method may include the steps of: discounting to present value one or more future liabilities at a discount rate of a bond that matures at the same time as the future liabilities; generating a correlated investment using an original investment amount and leverage funds; monitoring market information about a bond market using a computer; and recalibrating the correlated investment using the computer according to the market information, including: recommending at least one of buying or selling portions of the correlated investment as indicated by the market information. The future liabilities may be of a duration greater than the duration of the longest available bond issued by a sovereign.
摘要翻译：包含在计算机可读介质上的计算机程序产品可以使计算机处理器能够执行用于生成相关投资的方法。该方法可以包括以下步骤：以与未来负债同时到期的债券的折现率贴现一个或多个未来负债的现值; 使用原始投资额和杠杆基金产生相关投资; 使用计算机监控关于债券市场的市场信息; 以及根据所述市场信息使用所述计算机重新校准所述相关投资，所述方法包括：推荐购买或出售由所述市场信息指示的相关投资的部分中的至少一个。未来负债的持续时间可能长于主权国家最长可用债券的期限。

4. 发明申请

WO2008024416A3 SEPARATE TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES SYSTEM, METHOD AND COMPUTER PROGRAM PRODUCT 审中-公开
公开(公告)号：WO2008024416A3
公开(公告)日：2008-04-24
申请号：PCT/US2007018595
申请日：2007-08-23
申请人： RES AFFILIATES LLC , ARNOTT ROBERT D
发明人： ARNOTT ROBERT D
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/00 , G06Q40/06
摘要： A computer program product embodied on a computer readable medium may enable a computer processor to perform a method for generating a correlated investment. The method may include the steps of: discounting to present value one or more future liabilities at a discount rate of a bond that matures at the same time as the future liabilities; generating a correlated investment using an original investment amount and leverage funds; monitoring market information about a bond market using a computer; and recalibrating the correlated investment using the computer according to the market information, including: recommending at least one of buying or selling portions of the correlated investment as indicated by the market information. The future liabilities may be of a duration greater than the duration of the longest available bond issued by a sovereign.

5. 发明申请

WO2008118372A2 USING ACCOUNTING DATA BASED INDEXING TO CREATE A PORTFOLIO OF FINANCIAL OBJECTS 审中-公开
标题翻译：使用基于会计数据的索引来创建一个金融对象组合
公开(公告)号：WO2008118372A2
公开(公告)日：2008-10-02
申请号：PCT/US2008003762
申请日：2008-03-21
申请人： RES AFFILIATES LLC , ARNOTT ROBERT D , WOOD PAUL C
发明人： ARNOTT ROBERT D , WOOD PAUL C
IPC分类号： G06Q40/00
CPC分类号： G06Q30/02 , G06Q40/00 , G06Q40/06
摘要： A system, method and computer program product creates an index based on accounting based data, as well as a portfolio of financial objects based on the index where the portfolio is weighted according to accounting based data. A passive investment system may be based on indices created from various metrics. The indexes may be built with metrics other than market capitalization weighting, price weighting or equal weighting. Non-financial metrics may also be used to build indexes to create passive investment systems. Additionally, a combination of financial non-market capitalization metrics may be used along with non-financial metrics to create passive investment systems. Once the index is built, it may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted indexes and price-weighted indexes, in which the price of a security contributes in a substantial way to the calculation of the weight of that security in the index or the portfolio, and equal weighting weighted indexes. Valuation indifferent indexes avoid overexposure to overvalued securities and underexposure to undervalued securities, as compared with conventional capitalization-weighted and price-weighted.
摘要翻译：系统，方法和计算机程序产品基于基于会计的数据创建索引，以及基于根据基于会计的数据对投资组合进行加权的指数的财务对象组合。被动投资系统可能基于各种指标创建的指数。指数可以用市场资本加权，价格加权或相等加权之外的度量来构建。非财务指标也可用于构建创建被动投资系统的指数。此外，可以结合使用金融非市场资本化指标和非金融指标来创建被动投资系统。一旦指数建立起来，它就可以作为购买证券组合证券的基础。特别排除的是广泛使用的资本化加权指数和价格加权指数，其中证券的价格对计算指数或投资组合中证券的权重以及等权重加权指数有实质性贡献。与传统的资本化加权和价格加权相比，估值无差异指数避免了高估证券的过度曝光和低估证券的低估。

6. 发明申请

WO2008024381A2 METHOD AND APPARATUS FOR MANAGING A VIRTUAL PORTFOLIO OF INVESTMENT OBJECTS 审中-公开
标题翻译：用于管理投资对象的虚拟投资组合的方法和设备
公开(公告)号：WO2008024381A2
公开(公告)日：2008-02-28
申请号：PCT/US2007018534
申请日：2007-08-22
申请人： RES AFFILIATES LLC , ARNOTT ROBERT D
发明人： ARNOTT ROBERT D
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q10/063 , G06Q40/00 , G06Q40/04 , G06Q40/10
摘要： A method and apparatus system for managing virtual mutual funds. A plurality of investment managers manage a plurality of accounts for a plurality of investors. The investors directly hold assets in the accounts so that the investors may take advantage of any tax benefits generated by transactions using the assets in the accounts. An investor may have one or more accounts and thus one or more managers. A manager may have one or more investors and thus one or more accounts to manage. A virtual mutual fund manager uses a holdings matrix and a lot matrix to track the asset lots in the accounts. When a manager wishes to make a trade affecting an investor, the virtual mutual fund manager determines which asset lots held by the investor should be used to execute the trade. Optionally, each investor may be associated with a tax-managed account. The tax-managed account is used by the virtual fund manager to make deferred "paper" trades thereby avoiding certain adverse tax consequences that may be created when an investor has multiple managers. Optionally, each investor may allow loss-harvesting trades to be executed on his or her behalf in circumstances where such trades may reduce the investor's tax obligations.
摘要翻译：一种管理虚拟共同基金的方法和设备系统。多个投资管理者为多个投资者管理多个账户。投资者直接在账户中持有资产，以便投资者可以利用账户资产交易产生的任何税收优惠。投资者可能有一个或多个账户，因此可能有一个或多个经理。经理可能会有一个或多个投资者，因此需要管理一个或多个账户。虚拟共同基金经理使用持仓矩阵和批量矩阵来跟踪账户中的资产批次。当一位经理想要进行一个影响投资者的交易时，虚拟共同基金经理将确定投资者持有的哪些资产应该用来执行交易。可选地，每个投资者可以与税收管理账户相关联。虚拟基金经理使用税收管理账户进行延期“纸张”交易，从而避免投资者拥有多名经理人时可能产生的某些不利税务后果。可选地，在这种交易可能减少投资者的纳税义务的情况下，每个投资者可以允许他或她代表他们执行获利交易。

7. 发明申请

WO2007078399A2 USING ACCOUNTING DATA BASED INDEXING TO CREATE A PORTFOLIO OF ASSETS 审中-公开
标题翻译：使用基于数据的指数创建资产组合
公开(公告)号：WO2007078399A2
公开(公告)日：2007-07-12
申请号：PCT/US2006042430
申请日：2006-10-30
申请人： RES AFFILIATES LLC , WOOD PAUL C , ARNOTT ROBERT D
发明人： WOOD PAUL C , ARNOTT ROBERT D
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/04 , G06Q40/12
摘要： A system, method and computer program product creates an index based on accounting based data, as well as a portfolio of financial objects based on the index where the portfolio is weighted according to accounting based data. A passive investment system may be based on indices created from various metrics. The indexes may be built with metrics other than market capitalization weighting, price weighting or equal weighting. Non-financial metrics may also be used to build indexes to create passive investment systems. Additionally, a combination of financial non-market capitalization metrics may be used along with non-financial metrics to create passive investment systems. Once the index is built, it may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted indexes and price-weighted indexes, in which the price of a security contributes in a substantial way to the calculation of the weight of that security in the index or the portfolio, and equal weighting weighted indexes. Valuation indifferent indexes avoid overexposure to overvalued securities and underexposure to undervalued securities, as compared with conventional capitalization-weighted and price-weighted.
摘要翻译：系统，方法和计算机程序产品基于基于会计的数据创建索引，以及基于根据基于会计数据加权投资组合的指数的财务对象组合。被动投资系统可以基于从各种指标创建的指数。指数可以用除市值加权，价格加权或相等权重之外的指标构建。非财务指标也可用于构建指标来创建被动投资系统。此外，金融非市值资本指标的组合可以与非财务指标一起使用，以创建被动投资系统。一旦该指数建成，它可能被用作为投资组合购买证券的基础。具体排除的是广泛使用的资本化加权指数和价格加权指数，其中证券的价格以实质的方式对该指数或投资组合中该证券的权重进行计算，以及相等的加权权重指数。估值无差异指数避免过度暴露于高估的证券和低估的低估证券，与传统的资本化加权和价格加权相比。

8. 发明申请

WO2005076812A3 NON-CAPITALIZATION WEIGHTED INDEXING SYSTEM, METHOD AND COMPUTER PROGRAM PRODUCT 审中-公开
标题翻译：非资本化加权指标系统，方法和计算机程序产品
公开(公告)号：WO2005076812A3
公开(公告)日：2007-05-03
申请号：PCT/US2005002345
申请日：2005-01-27
申请人： RES AFFILIATES LLC , ARNOTT ROBERT D
发明人： ARNOTT ROBERT D
IPC分类号： G06F17/16
CPC分类号： G06Q40/06 , G06Q40/00 , G06Q40/04
摘要： Apparatus and methods for automatically modifying a financial portfolio having a pre-defined universe of securities, such as, e.g., an index fund, that tracks a given capitalization weighted index, through dynamic re-weighting of a position held in each such security. Specifically, in a computer system (50, 60), a target weight is accorded to each such security, relative to others in the portfolio, in proportion to a non-constant function of current capitalization weights of the securities in the index. Once these target weights are determined, then, in response to both the target weight of each such security and an actual weight, as a proportion of the portfolio, in which that security is currently held, a trade will be generated by the system in order to conform, within a predefined band, the actual weight to the target weight so as to rebalance the holdings in the portfolio. The system can selectively operate in either one of two modes: a dynamic rebalancing mode for calculating new target weights and issuing appropriate trades, or a cash investment mode for issuing one or more trade(s) to consume excess cash then held in the portfolio.
摘要翻译：用于通过对在每个这样的证券中保持的位置的动态重新加权来自动修改具有预定义的证券范围的金融投资组合的装置和方法，例如索引基金跟踪给定的资本化加权指数。具体来说，在计算机系统（50,60）中，与投资组合中的其他证券相对应的每个此类证券的目标权重与指数中证券的当前资本化权重的不变函数成比例。一旦确定了这些目标权重，则响应于每个此类证券的目标权重和实际权重，作为目前持有该证券的投资组合的比例，系统将按顺序产生交易在预定范围内符合目标重量的实际重量，以重新平衡投资组合中的持有量。该制度可以选择性地以两种模式之一进行操作：用于计算新目标权重和发行适当交易的动态再平衡模式，或用于发行一个或多个交易以消费投资组合中的超额现金的现金投资模式。

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