Fund of funds analysis tool

Abstract

Systems and techniques are disclosed to analyze fund of funds investments. The system is configured to provide at least one objective analytic that indicates the level of risk associated with a fund of funds investment strategy. The system provides both a quantitative and qualitative risk measurement value using actual portfolio holdings data of underlying funds that can be used to compare multi-faceted investment portfolios.

We claim: 
     
         1 . A computer-implemented method comprising:
 receiving, by a central server, an electronic signal representing a request generated via a user interface operating on a remote computing device connected to the central server over a communications network, the request relating to an entity associated with a first series of funds comprising a first fund and a second fund both associated with the entity;   identifying, by the central server, a set of glide path data and a set of volatility of return data associated with the first and second funds;   identifying, by a classification module executed on the central server, a set of asset classifications associated with one or more discrete assets comprising one or more funds from the first series of finds, each one of the set of asset classifications having a database record. comprising a set of associated asset characteristics;   determining, by a risk module executed on the central server, a historical risk profile for each of the identified set of asset classifications, each historical risk profile including historical rate of return data determined based upon a standard deviation of asset classification return values;   categorizing, by the classification module, the first and second funds into one of a set of asset classifications based on correlation of the first and second funds with sets of asset characteristics; and   transmitting a signal representing data associated with a historical risk profile for display via a user interface presented on the remote computing device.   
     
     
         2 . The method of  claim 1 , wherein the step of determining a historical risk profile comprises: weighting a first volatility of return value by a corresponding expected account balance associated with the first fund; weighting a second volatility of return value by a corresponding expected account balance associated with the second fund; and summing the weighted first and second volatility of return values. 
     
     
         3 . The method of  claim 1 , further comprising computing the set of volatility of return data based at least in part on historical rate of return values and expected rate of return values associated with asset classifications corresponding to assets underlying a glide path. 
     
     
         4 . The method of  claim 1 , further comprising: averaging a computed standard deviation of asset classification returns for each asset classification over a time interval; averaging asset classification returns for each asset classification over a time interval; and computing a volatility premium and volatility free rate for each of the first and second funds using the averaged asset classification returns, averaged standard deviation of asset classification returns, and a data regression technique. 
     
     
         5 . The method of  claim 4 , further comprising calculating a weighted average expected return along the time interval of the glide path by multiplying the calculated expected rate of return values of each asset classification by a proportion of the asset classification allocated in each fund over the time interval; and summing the multiplied amounts. 
     
     
         6 . The method of  claim 1 , further comprising displaying a plurality of computed risk scores associated with different entities on a display device graphically. 
     
     
         7 . A system comprising:
 a server including a processor and memory storing instructions that, in response to receiving a request for access to a service, cause the processor to:
 receive, by the server, an electronic signal representing a request generated via a user interface operating on a remote computing device connected to the server over a communications network, the request relating to an entity associated with a first series of funds comprising a first fund and a second fund both associated with the entity; 
 identify, by the server, a set of glide path data and a set of volatility of return data associated with the first and second funds; 
 identify, by a classification module executed on the server, a set of asset classifications associated with one or more discrete assets comprising one or more funds from the first series of funds, each one of the set of asset classifications having a database record comprising a set of associated asset characteristics; 
 determine, by a risk module executed on the server, a historical risk profile for each of the identified set of asset classifications, each historical risk profile including historical rate of return data determined based upon a standard deviation of asset classification return values; 
 categorize, by the classification module, the first and second funds into one of a set of asset classifications based on correlation of the first and second funds with sets of asset characteristics; and 
 transmit a signal representing data associated with a historical risk profile for display via a user interface presented on the remote computing device. 
   
     
     
         8 . The system of  claim 7  wherein the memory stores instructions that, in response to receiving the request, cause the processor to: weight a first volatility of return value by a corresponding expected account balance associated with the first fund; weight a second volatility of return value by a corresponding expected account balance associated with the second fund; and sum the weighted first and second volatility of return values. 
     
     
         9 . The system of  claim 7  wherein the memory stores instructions that, in response to receiving the request, cause the processor to compute first and the second volatility of return values based on historical rate of return values and expected rate of return values associated with asset classifications corresponding to assets underlying a glide path. 
     
     
         10 . The system of  claim 7  wherein the memory stores instructions that, in response to receiving the request, cause the processor to generate a historical rate of return value by computing a standard deviation of asset classification returns for each of the asset classifications over a time interval. 
     
     
         11 . The system of  claim 7  wherein the memory stores instructions that, in response to receiving the request, cause the processor to: average a computed standard deviation of asset classification returns for each asset classification over the time interval; average asset classification returns for each asset classification over the time interval; and compute a volatility premium and volatility free rate for each of the first and second funds using the averaged asset classification returns, averaged standard deviation of asset classification returns, and a data regression technique. 
     
     
         12 . The system of  claim 7  wherein the memory stores instructions that, in response to receiving the request, cause the processor to: multiply a set of calculated expected rate of return values of each asset classification by a proportion of the asset classification allocated in each fund over the time interval; and sum the multiplied amounts to compute a weighted average expected return for each time interval along a glide path. 
     
     
         13 . The system of  claim 7  wherein the memory stores instructions that, in response to receiving the request, cause the processor to classify assets underlying a glide path to determine asset classifications. 
     
     
         14 . The system of  claim 7  wherein the memory stores instructions that, in response to receiving the request, cause the processor to display a plurality of computed risk scores associated with different entities on the display device graphically. 
     
     
         15 . The system of  claim 7  further comprising a data store adapted to store asset information associated with one or more discrete assets comprising one or more funds from the first series of funds; and wherein the classification module is adapted to query the data store for asset information and to associate characteristics of the asset information with one of a plurality of pre-defined asset classification types. 
     
     
         16 . An article comprising a machine-readable medium storing machine-readable instructions that, when executed by a server, cause the server to:
 receive an electronic signal representing a request generated via a user interface operating on a remote computing device connected to the server over a communications network, the request relating to an entity associated with a first series of funds comprising a first find and a second fund both associated with the entity;   identify a set of glide path data and a set of volatility of return data associated with the first and second funds;   identify, by a classification module executed on the server, a set of asset classifications associated with one or more discrete assets comprising one or more funds from the first series of funds, each one of the set of asset classifications having a database record comprising a set of associated asset characteristics;   determine, by a risk module executed on the server, a historical risk profile for each of the identified set of asset classifications, each historical risk profile including historical rate of return data determined based upon a standard deviation of asset classification return values;   categorize, by the classification module, the first and second funds into one of a set of asset classifications based on correlation of the first and second funds with sets of asset characteristics, and   transmit a signal representing data associated with a historical risk profile for display via a user interface presented on the remote computing device.