System implementing smart beta factor deposition based on assets in existing portfolio

摘要

Disclosed is a system implementing smart beta factor deposition based on assets in an existing portfolio. The system typically includes a processor, a memory, and a module stored in the memory. The module is typically configured to: retrieve factor data for one or more securities associated with an existing portfolio; determine a score for beta factor models for the securities; receive threshold conditions associated with the existing portfolio; defining a plurality of factor sleeves for an investment portfolio; for each factor sleeve's beta factor model, determine a score of each of a plurality of securities; select one or more securities based on the score of each security according to the factor sleeve's beta factor model and the score of each of the securities in the existing portfolio until the factor sleeve's size has been reached; and combine the positions of each factor sleeve to create the investment portfolio.