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SYSTEMS, METHODS AND COMPUTER PROGRAM PRODUCTS FOR CREATING A TURNOVER EFFICIENT FRONTIER FOR AN INVESTMENT PORTFOLIO
SYSTEMS, METHODS AND COMPUTER PROGRAM PRODUCTS FOR CREATING A TURNOVER EFFICIENT FRONTIER FOR AN INVESTMENT PORTFOLIO
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机译:用于创建投资组合周转有效前沿的系统,方法和计算机程序产品
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摘要
A method, system and computer program product for optimizing return of an investment fund, based on a correlation between AUM and turnover, include steps of generating a turnover efficient frontier for an investment fund that models fund return versus fund turnover for one or more fund sizes; determining a current fund return and fund turnover of the fund; determined a current position of the fund on the turnover efficient frontier based on the current fund return and fund turnover; and determining whether an increase or a decrease in one of fund size or turnover will move the fund to an optimal point on the turnover efficient frontier.
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