| 摘要 |
The methods and systems described herein can identify meaningful relationships between actual positions within a portfolio of investments, as well as relationships to externalities. Based on the understanding that relationships between positions are not fixed over periods of time but can vary depending on recent external events, the methods and systems described herein can achieve a portfolio of investments that are least related to other investments within the portfolio (e.g., a diverse portfolio) and, if desired, least related to the overall market (e.g., a market neutral portfolio). The methods and systems described herein can filter performance data to evaluate and manage risk across a dynamic portfolio that includes numerous primary instruments and hedge instruments. The methods and systems described herein can also provide a diagnostic tool to monitor both risk and diversification (including relationships) by determining the actual amount of profit and loss and a diversity score for each investment. |
