A SYSTEM AND METHOD OF MANAGING CASH AND SUGGESTING TRANSACTIONS IN A MULTI-STRATEGY PORTFOLIO

摘要

The present invention relates to a method and system for computing a cash allocation and providing a suggested transaction in an investment portfolio that is associated with at least two investment strategies. According to the present invention, each of the strategies associated with the portfolio may provide recommended cash and non-cash positions. According to some aspects of the invention, at least one of the strategies may provide a change in respect of a non-cash position by explicitly or implicitly specifying a recommended relative weight for the non-cash position. According to some embodiments of the invention, upon detecting a strategy change that is consistent with a recommendation to buy a non-cash position, an allocation of cash for a cash position provided explicitly or implicitly by the changed strategy may be calculated. The cash allocation for the cash position may be calculated at least based upon a relative weight of the cash position as provided explicitly or implicitly by the changed investment strategy; a relative weight of at least one other cash position provided explicitly or implicitly by at least one other strategy; and a specified proportion between the two or more investment strategies associated with the portfolio. According to the invention, a suggested transaction may also be computed. According to some embodiments of the invention, the suggested transaction may be calculated based upon the explicit or implicit relative weight of the non-cash position associated with the strategy change; the calculated allocation of cash for the cash position provided explicitly or implicitly by the changed strategy, and further based upon a specified proportion between the two or more investment strategies associated with the portfolio.