Marco Santa Santamaria

US Patent:

20030004849, Jan 2, 2003

Filed:

Sep 5, 2001

Appl. No.:

09/948109

Inventors:

Deborah Velez - NEW YORK NY, US
MARCO SANTAMARIA - LARCHMONT NY, US
GAWAINE LEWIS - ISLINGTON LONDON, GB

International Classification:

G06F017/60

US Classification:

705/036000

Abstract:

In the present invention, a system and method is described for allocating portfolio assets in an emerging market, where the portfolio initially includes substantially all fixed income securities or substantially all equities. Specifically, a yield spread is periodically determining between a first fixed income instrument and a second fixed income instrument. A mean spread is determined based on the determined yield spread over a selected period of time. A band above and below the mean spread is defined over the selected period of time, where the band has an upper limit above the mean spread and a lower limit below the mean spread. Fixed income securities, in the investment portfolio, are switched for equities when a current determined yield spread exceeds the upper limit of the band. Similarly, equities, in the portfolio, are switched for fixed income securities when the current determined yield spread falls below the lower limit of the band.