Methods for post-trade allocation

Abstract

A computer-implemented method for providing an allocation of a filled order made at a particular time, that involves receiving at least a price of a filled order made at a later time; generating a starting allocation across multiple managed accounts based at least in part on allocation factors of each of the multiple managed accounts; generating at least one additional allocation based at least in part on the starting allocation; determining a closest-fitting allocation according to a metric from amongst the starting allocation and the at least one additional allocation, the metric being based at least in part on the price of the filled order made at the later time and on a price of the filled order made at the particular time; and outputting the closest-fitting allocation.

What is claimed is: 
     
         1 . A method comprising:
 determining, by a processor, an allocation of one or more contracts associated with a transaction across a plurality of separate accounts based on a cumulative profit and loss value for the plurality of separate accounts for a pre-determined period of time, wherein the transaction includes a buy or a sell; and   determining one or more candidate allocations by modifying the allocation, wherein the modifying of the allocation includes adjusting one or more allocated values of the one or more contracts for the plurality of separate accounts,   wherein in one or more candidate allocations results in different returns across various account in which each of the allocations cannot result in multiple returns across multiple accounts, and of these candidates, the one candidate allocation that results in the fairest or evenly distributed returns across different separate accounts is chosen.   
     
     
         2 . A method of  claim 1 , wherein the allocation is determined by dividing the cumulative profit and loss value based on one or more allocation factors to fairly distribute the one or more returns across the plurality of separate accounts, wherein each of the allocation factors represents a portion of a totality of the accounts attributable to a corresponding one of the plurality of separate accounts. 
     
     
         3 . A method of  claim 1 , wherein a history of returns-to-date in the optimization procedure is stored, the returns-to-date being constructed using a fixed, rolling, or weighted time-window of different lengths, the most natural time-window for most applications being a user-selected time-window that coincides with the redemption/subscription period of the fund. 
     
     
         4 . A method of  claim 1 , wherein the allocation procedure minimizes an objective function that has a global minimum when returns are evenly and identically distributed among all pari-passu managed accounts, the objective function being one among a plurality of objective functions including the following class: 
       
         
           
             
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         5 . A method of  claim 1 , A method of claim  25 , wherein for any integer M, and allocation factors α i  where all are positive and sum to one, the initial allocation being f i =α i ×M such that the sum of the initial allocation is M. 
     
     
         6 . A method of  claim 1 , wherein in case of post trade allocation is done at the end of trading day, the filled orders being first sorted based on price levels, the sorting being ascending or descending and being performed on all transactions or done separately for sell-fills and buy-fills. 
     
     
         7 . A method of  claim 1 , wherein in case of post trade allocation is done at the end of trading day, filled orders can be treated in a plurality of different ways including either the filled order as is, or breaking down filled orders to a single filled orders, or contracting filled orders with the same price, and then allocate. 
     
     
         8 . A method of  claim 1 , wherein in case of post trade allocation is done at the end of trading day, the filled orders being sorted based on price levels as opposed to the time of the filled orders and then allocate. 
     
     
         9 . A method of  claim 1 , wherein the one or more candidate allocations are determined based on one or more perturbation vectors that include one or more doublets, one or more triplets, or one or more quadruplets, one or more quintuplets, one or more sextuplets. 
     
     
         10 . A method of  claim 1 , wherein the one or more candidate allocations are determined based on one or more perturbation vectors can be done sequentially or parallel.