Systems and methods for customizing a portfolio using visualization and control of factor exposure

US10706473B2 · kind B2 · utility

Assignee

• Optimal Asset Management, Inc. · US

Inventors

• Vijay Vaidyanathan · Los Altos Hills, US
• Himanshu Monty Joshi · Los Altos, US
• Daniel Mantilla Garcia · Los Altos, US
• Andrew Ang · Los Altos, US
• Helmut Hissen · Palo Alto, US

Key dates

• Filing date: May 18, 2015
• Grant date: Jul 7, 2020
• Expiry date: May 8, 2036

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

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.