Computerized method and system for managing a financial portfolio relative to market volatility

Abstract

The system and method for managing a financial portfolio relative to market stability includes determining a first allocation of assets in the portfolio and a level of equity exposure, the portfolio including a plurality of funds; monitoring a quantitative risk indicator for market signals, determining whether the quantitative risk indicator meets a predetermined risk threshold value and if the risk indicator meets the risk threshold value, adjusting the level of equity exposure by selling a first position on a first set of options associated with a first fund and purchasing a second position on a second set of options associated with a second fund.

What is claimed is: 
     
         1 . A computerized method for managing a financial portfolio relative to market stability, the method comprising:
 determining a first allocation of assets in the portfolio and a level of equity exposure, the portfolio including a plurality of funds;   monitoring a quantitative risk indicator for market signals, the market signals including data transmissions to a computer;   the computer determining whether the quantitative risk indicator meets a predetermined risk threshold value by comparing data transmission values on the computer readable medium associated with the computer with data representing the predetermined risk threshold value; and   if the risk indicator meets the risk threshold value, the computer automatically adjusting the level of equity exposure by changing a position on a derivative instrument which is based on one or more equities held in the portfolio.   
     
     
         2 . The method of  claim 1 , wherein the step of monitoring the quantitative risk indicator for market signals includes monitoring a volatility indicator that indicates volatility in a financial marketplace. 
     
     
         3 . The method of  claim 2 , wherein monitoring the volatility indicator includes monitoring a momentum factor associated with an index based equity investment. 
     
     
         4 . The method of  claim 1 , wherein adjusting the allocation of assets includes recalculating the allocation of assets relative to a predetermined percentage of the associated level of equity exposure. 
     
     
         5 . The method of  claim 1 , wherein the step of changing includes selling a position on a first futures contract. 
     
     
         6 . The method of  claim 5 , wherein the step of changing further includes purchasing a short position on a second futures contract. 
     
     
         7 . The method of  claim 5 , wherein the step of changing includes selling a short position on the first futures contract. 
     
     
         8 . The method of  claim 1 , further comprising:
 assigning a risk indicator trigger value;   determining a volatility mode on the basis of a current risk indicator value relative to a risk indicator trigger value;   determining a momentum mode on the basis of a current momentum indicator value relative to a momentum trigger value;   implementing an equity exposure strategy based on the volatility mode and momentum mode.   
     
     
         9 . The method of  claim 8 , wherein the step of implementing an equity exposure strategy based on the volatility mode and momentum mode, further comprises:
 decreasing assets allocated in a first fund;   increasing assets allocated to a second fund; and   maintaining a minimum level of liquidity in at least one or more funds.   
     
     
         10 . A computer implemented method for managing a financial portfolio relative to market stability, the method comprising:
 storing, on a computer readable medium, a representation of a first allocation of assets in the portfolio and a level of equity exposure, the portfolio including a plurality of funds;   monitoring a quantitative risk indicator for market signals;   determining whether the quantitative risk indicator meets a predetermined risk threshold value;   if the risk indicator meets the risk threshold value, adjusting the level of equity exposure by changing a position on a derivative instrument which is based on one or more equities held in the financial portfolio; and   storing, on the computer readable medium, an adjusted representation of the level of equity.   
     
     
         11 . A computerized method for managing a financial portfolio relative to market volatility, the method comprising:
 pooling one or more contributions associated with one or more financial contracts into an account;   associating the contributions in the account with one or more funds to create a portfolio of securities;   monitoring a quantitative risk indicator for market signals relating to the portfolio of securities, the market signals including data transmissions to a computer;   determining whether the quantitative risk indicator meets a predetermined risk threshold value by comparing data transmission values on a computer readable medium associated with the computer with data representing the predetermined risk threshold value; and   if the risk indicator meets the risk threshold value, adjusting the level of equity exposure for the portfolio by changing a position in a given fund.   
     
     
         12 . The method of  claim 11  wherein the step of associating the contributions in the account with one or more funds includes an matched fund, a tactical manager fund and an index fund. 
     
     
         13 . The method of  claim 12  wherein the matched fund comprises a fund investing in the underlying securities in the portfolio of securities. 
     
     
         14 . The method of  claim 12  wherein the tactical manager fund comprises a set of futures and options contracts relating to the portfolio of securities. 
     
     
         15 . The method of  claim 12  wherein the index fund comprises an index fund relating to the portfolio of securities. 
     
     
         16 . The method of  claim 12  wherein the step of adjusting the level of equity exposure for the portfolio by changing a position in a given fund includes changing a position in the tactical manager hedge fund. 
     
     
         17 . The method of  claim 12  wherein the step of adjusting the level of equity exposure for the portfolio by changing a position in a given fund includes changing a position in the tactical manager fund and the index fund. 
     
     
         18 . The method of  claim 12  wherein the step of adjusting the level of equity exposure for the portfolio by changing a position in a given fund includes:
 changing a position in the tactical manager hedge fund and the index fund; and 
 maintaining a position in the matched fund. 
 
     
     
         19 . The method of  claim 11  wherein the one or more financial contracts comprise one or more annuity contracts. 
     
     
         20 . The method of  claim 19  further including:
 distributing a set of guaranteed payments to one or more annuitants based on a contribution amount and an annuity type.