Title:
金融ベンチマークを生成および維持するコンピュータシステムと方法
Document Type and Number:
Japanese Patent JP5883223
Kind Code:
B2
Abstract:
A method for generating and maintaining a benchmark using a long/short investment strategy is disclosed herein. The method for generating and maintaining a benchmark using a long/short investment strategy may involve generating a benchmark by selecting a group of securities from a broad-base index; evaluating the securities included in a benchmark; and monthly rebalancing the benchmark using a long/short investment strategy. The method may also include determining the value of the index and publishing the value of the index as a benchmark for long/short investment portfolios. The value of the index may be determined periodically, daily, dynamically, or every 15 seconds. The securities included in the broad-base index may form a universe of eligible securities and be ranked monthly using the 10 Credit Suisse factors. Also disclosed herein are a method for generating and managing a passive long/short investment portfolio that closely correlates with a passive long/short benchmark, and a method of using a passive long/short benchmark to rebalance a portfolio. Also, a computer system for generating or maintaining a passive long/short benchmark, a computer program for generating or maintaining a passive long/short benchmark, a computer-readable medium storing a program configured to generate or maintain a passive long/short benchmark, and methods of using the same are disclosed herein.
Inventors:
Andrew W. Law
Pancaji N Patel
Pancaji N Patel
Application Number:
JP2010536230A
Publication Date:
March 09, 2016
Filing Date:
December 01, 2008
Export Citation:
Assignee:
Credit Suisse Securities (USA) LRC
International Classes:
G06Q40/06
Domestic Patent References:
| JP2009520300A | ||||
| JP2005148806A | ||||
| JP2005216184A |
Foreign References:
| WO2007078399A2 |
Other References:
長島亮、米国で新たな株式運用戦略として注目を集める「130/30戦略」、資本市場クォータリー、(株)野村資本市場研究所、2007年5月1日、p.122-130
Attorney, Agent or Firm:
Ryosuke Fujimoto