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US-20260127674-A1 - SYSTEMS AND METHODS FOR MEASURING RELATIONSHIPS BETWEEN INVESTMENTS AND OTHER VARIABLES

US20260127674A1US 20260127674 A1US20260127674 A1US 20260127674A1US-20260127674-A1

Abstract

The systems and methods described herein can identify meaningful relationships between variables, such as particular investments or general asset classes. Unlike conventional correlation analysis, these systems and methods provide an improved technique of co-movement analysis that implements a threshold to eliminate data “noise” and then discretizes the remaining observations to normalize any outliers. Such co-movement analysis has numerous advantages over known techniques for characterizing relationships between variables.

Inventors

  • Sander Gerber

Assignees

  • Sander Gerber

Dates

Publication Date
20260507
Application Date
20260106

Claims (20)

  1. 1 . A method comprising: retrieving, by at least one processor, performance data for a plurality of data records within an observation period; retrieving, by the at least one processor, a first threshold pair corresponding to a first data record of the plurality of data records and a second threshold pair corresponding to a second data record of the plurality of data records, wherein the first threshold pair comprises a first ascending threshold and a first descending threshold, and the second threshold pair comprises a second ascending threshold and a second descending threshold; determining, by the at least one processor, whether the first data record and the second data record represent a positive unity or a negative unity for at least one time period within the observation period; determining, by the at least one processor, an efficient frontier value of the plurality of data records for the performance data based at least on the first threshold pair or the second threshold pair; and presenting, by the at least one processor on a graphical interface, a graphical indication of the efficient frontier value, wherein the graphical interface comprises: a first graphical eleme nt representing a max sharpe ratio of the efficient frontier value, a second graphical element representing one or more of the plurality of data records, a first visual attribute associated with data records with a positive annualized return over the observation period, and a second visual attribute associated with data records with a negative annualized return over the observation period, wherein at least two data records within the plurality of data records are indicated as having a positive unity or a negative unity.
  2. 2 . The method of claim 1 , further comprising: presenting, by the at least one processor on the graphical interface, the performance data for the first data record and the performance data for the second data record, wherein the performance data of the first data record and the performance data of the second data record is displayed corresponding to a time axis and a valuation axis.
  3. 3 . The method of claim 1 , further comprising: determining, by the at least one processor, a first performance indicator for a predetermined distribution of the plurality of data records; determining, by the at least one processor, a redistribution of the plurality of data records, wherein the redistribution of the plurality of data records is based at least on the max sharpe ratio associated with the first threshold pair; determining, by the at least one processor, a second performance indicator associated with the redistribution of the plurality of data records; and presenting, by the at least one processor, the redistribution of the plurality of data records on the graphical interface.
  4. 4 . The method of claim 1 , further comprising: determining, by the at least one processor, a Gerber Statistic associated with the first data record and the second data record; and presenting, by the at least one processor, the Gerber Statistic associated with the first data record and the second data record on the graphical interface.
  5. 5 . The method of claim 1 , further comprising: retrieving, by the at least one processor, the first threshold pair and the second threshold pair from an electronic device presenting the graphical interface.
  6. 6 . The method of claim 1 , further comprising: determining, by the at least one processor, a first performance indicator for a predetermined distribution of the plurality of data records; determining, by the at least one processor, a redistribution of the plurality of data records, wherein the redistribution of the plurality of data records is based at least on a max sharpe ratio associated with the first threshold pair; determining, by the at least one processor, a second performance indicator associated with the redistribution of the plurality of data records; and transmitting, by the at least one processor, instructions to present the redistribution of the plurality of data records on an electronic device.
  7. 7 . The method of claim 1 , wherein the first threshold pair and the second threshold pair are a first Gerber Statistic sensitivity threshold and a second Gerber Statistic sensitivity threshold.
  8. 8 . A system comprising a non-transitory computer-readable medium containing instructions that when executed by at least one processor, cause the at least one processor to perform operations comprising: retrieve performance data for a plurality of data records within an observation period; retrieve a first threshold pair corresponding to a first data record of the plurality of data records and a second threshold pair corresponding to a second data record of the plurality of data records, wherein the first threshold pair comprises a first ascending threshold and a first descending threshold, and the second threshold pair comprises a second ascending threshold and a second descending threshold; determine whether the first data record and the second data record represent a positive unity or a negative unity for at least one time period within the observation period; determine an efficient frontier value of the plurality of data records for the performance data based at least on the first threshold pair or the second threshold pair; and present, on a graphical interface, a graphical indication of the efficient frontier value, wherein the graphical interface comprises: a first graphical element representing a max sharpe ratio of the efficient frontier value, a second graphical element representing one or more of the plurality of data records, a first visual attribute associated with data records with a positive annualized return over the observation period, and a second visual attribute associated with data records with a negative annualized return over the observation period, wherein at least two data records within the plurality of data records are indicated as having a positive unity or a negative unity.
  9. 9 . The system of claim 8 , wherein the instructions further cause the at least one processor to: present, on the graphical interface, the performance data for the first data record and the performance data for the second data record, wherein the performance data of the first data record and the performance data of the second data record is displayed corresponding to a time axis and a valuation axis.
  10. 10 . The system of claim 8 , wherein the instructions further cause the at least one processor to: determine a first performance indicator for a predetermined distribution of the plurality of data records; determine a redistribution of the plurality of data records, wherein the redistribution of the plurality of data records is based at least on the max sharpe ratio associated with the first threshold pair; determine a second performance indicator associated with the redistribution of the plurality of data records; and present the redistribution of the plurality of data records on the graphical interface.
  11. 11 . The system of claim 8 , wherein the instructions further cause the at least one processor to: determine a Gerber Statistic associated with the first data record and the second data record; and present the Gerber Statistic associated with the first data record and the second data record on the graphical interface.
  12. 12 . The system of claim 8 , wherein the instructions further cause the at least one processor to: retrieve the first threshold pair and the second threshold pair from an electronic device presenting the graphical interface.
  13. 13 . The system of claim 8 , wherein the instructions further cause the at least one processor to: determine a first performance indicator for a predetermined distribution of the plurality of data records; determine a redistribution of the plurality of data records, wherein the redistribution of the plurality of data records is based at least on a max sharpe ratio associated with the first threshold pair; determine a second performance indicator associated with the redistribution of the plurality of data records; and transmit instructions to present the redistribution of the plurality of data records on an electronic device.
  14. 14 . The system of claim 8 , wherein the first threshold pair and the second threshold pair are a first Gerber Statistic sensitivity threshold and a second Gerber Statistic sensitivity threshold.
  15. 15 . A system comprising: a display configured to present a graphical interface; and at least one processor in communication with the display, the at least one processor configured to: retrieve performance data for a plurality of data records within an observation period; retrieve a first threshold pair corresponding to a first data record of the plurality of data records and a second threshold pair corresponding to a second data record of the plurality of data records, wherein the first threshold pair comprises a first ascending threshold and a first descending threshold, and the second threshold pair comprises a second ascending threshold and a second descending threshold; determine whether the first data record and the second data record represent a positive unity or a negative unity for at least one time period within the observation period; determine an efficient frontier value of the plurality of data records for the performance data based at least on the first threshold pair or the second threshold pair; and present, on the graphical interface of the display, a graphical indication of the efficient frontier value, wherein the graphical interface comprises: a first graphical element representing a max sharpe ratio of the efficient frontier value, a second graphical element representing one or more of the plurality of data records, a first visual attribute associated with data records with a positive annualized return over the observation period, and a second visual attribute associated with data records with a negative annualized return over the observation period, wherein at least two data records within the plurality of data records are indicated as having a positive unity or a negative unity.
  16. 16 . The system of claim 15 , wherein the at least one processor configured to: present, on the graphical interface, the performance data for the first data record and the performance data for the second data record, wherein the performance data of the first data record and the performance data of the second data record is displayed corresponding to a time axis and a valuation axis.
  17. 17 . The system of claim 15 , wherein the at least one processor configured to: determine a first performance indicator for a predetermined distribution of the plurality of data records; determine a redistribution of the plurality of data records, wherein the redistribution of the plurality of data records is based at least on the max sharpe ratio associated with the first threshold pair; determine a second performance indicator associated with the redistribution of the plurality of data records; and present the redistribution of the plurality of data records on the graphical interface.
  18. 18 . The system of claim 15 , wherein the at least one processor configured to: determine a Gerber Statistic associated with the first data record and the second data record; and present the Gerber Statistic associated with the first data record and the second data record on the graphical interface.
  19. 19 . The system of claim 15 , wherein the at least one processor configured to: retrieve the first threshold pair and the second threshold pair from an electronic device presenting the graphical interface.
  20. 20 . The system of claim 15 , wherein the at least one processor configured to: determine a first performance indicator for a predetermined distribution of the plurality of data records; determine a redistribution of the plurality of data records, wherein the redistribution of the plurality of data records is based at least on a max sharpe ratio associated with the first threshold pair; determine a second performance indicator associated with the redistribution of the plurality of data records; and transmit instructions to present the redistribution of the plurality of data records on an electronic device.

Description

CROSS-REFERENCE TO RELATED APPLICATIONS This application is a continuation of U.S. application Ser. No. 18/520,477, entitled “SYSTEMS AND METHODS FOR MEASURING RELATIONSHIPS BETWEEN INVESTMENTS AND OTHER VARIABLES,” filed Nov. 27, 2023, which is a continuation-in-part application of U.S. patent application Ser. No. 17/537,434, entitled “SYSTEMS AND METHODS FOR MEASURING RELATIONSHIPS BETWEEN INVESTMENTS AND OTHER VARIABLES,” filed Nov. 29, 2021, which is a continuation-in-part application of U.S. patent application Ser. No. 17/226,874, entitled “SYSTEMS AND METHODS FOR MEASURING RELATIONSHIPS BETWEEN INVESTMENTS AND OTHER VARIABLES,” filed Apr. 9, 2021, which is a continuation of U.S. patent application Ser. No. 15/948,962, entitled “SYSTEMS AND METHODS FOR MEASURING RELATIONSHIPS BETWEEN INVESTMENTS AND OTHER VARIABLES,” filed Apr. 9, 2018, which is a continuation of U.S. patent application Ser. No. 14/015,257, entitled “SYSTEMS AND METHODS FOR MEASURING RELATIONSHIPS BETWEEN INVESTMENTS AND OTHER VARIABLES,” filed Aug. 30, 2013, which claims priority to U.S. Provisional Patent Application Ser. No. 61/769,963, entitled “SYSTEMS AND METHODS FOR MEASURING RELATIONSHIPS BETWEEN INVESTMENTS AND OTHER VARIABLES,” filed Feb. 27, 2013, each of which are incorporated by reference in their entirety. U.S. patent application Ser. No. 14/015,257 is also a continuation-in-part of U.S. patent application Ser. No. 13/601,310, entitled “SYSTEMS AND METHODS FOR MANAGING INVESTMENTS,” filed Aug. 31, 2012, each of which are incorporated by reference in their entirety. U.S. patent application Ser. No. 14/015,257 is also a continuation-in-part of U.S. patent application Ser. No. 13/601,386, entitled “SYSTEMS AND METHODS FOR MANAGING INVESTMENTS,” filed Aug. 31, 2012, each of which are hereby incorporated by reference in their entirety. TECHNICAL FIELD This invention relates generally to systems and methods for measuring and visualizing investments and other variables. BACKGROUND The primary objective of the investment management industry is to maximize returns while minimizing risk. The process of assimilating various investments into a portfolio that accomplishes this objective is one of the primary challenges for the industry. With the rise of sophisticated investment strategies and products, the portfolio construction process only becomes more difficult as managers perform analysis across a wider variety of asset classes, sectors and markets and attempt to quantify increasingly complex relationships. While conceptually sound techniques for optimal portfolio construction have existed for many years, the various assumptions underlying these techniques have not evolved with financial markets. Conventional tools and statistics used in modern portfolio construction suffer from flaws in both assumptions and application. The tools incorrectly assume that a single relational model (e.g., linear, curvilinear) or even multiple relational models can define the complex and dynamic relationships between financial variables. In addition, practitioners using conventional tools often prioritize statistical significance over economic significance. In doing so, practitioners prioritize the “fit” of a model over identifying potential relationships more important to profit and loss. As a result, the financial industry has struggled to construct portfolios with optimum levels of risk and return. Moreover, conventional tools do not provide a visual representation of the assets and how they relate to each other in a manner that is easy to digest for the viewer. In high-pressure and time-sensitive environments, where financial data changes rapidly, representing portfolio analysis in a manner that can be understood easily and quickly is highly desirable. SUMMARY In an attempt to better measure relationships between asset classes, sectors and markets, the systems and methods described herein establish a framework that can provide for portfolio construction with improved levels of risk and/or return. Analysts have conventionally relied on correlation models, but these statistics often fail to identify important relationships or place too much emphasis on trivial relationships. For example, a model based on correlation may be entirely insufficient when a long-term trend undergoes a sudden or even gradual change. The systems and methods described herein enable optimal portfolio construction based on a new relationship model providing numerous improvements over conventional analysis, such as correlation. Further, the framework described herein allows for additional portfolio risk analysis based on this new relationship model. The systems and methods can identify previously hidden relationships between two or more variables, further characterize known relationships between variables or even reveal when there is no significant relationship between variables. The systems and methods described herein can also enable hedging complex derivative products and/o