Data processing equipment and method for determining the weights of constituents of a target portfolio.

摘要

A data processing device comprises first input means (10) for recording historical data of constituents of a defined investment universe, storage means (20) for storing the recorded historical data in a first data structure, first processing means (30) for creating several ranking lists of the constituents on the basis of several corresponding factors applied to the stored historical data, second processing means (40) for generating a plurality of second data structures, each of the second data structures comprising selected constituents of the investment universe from a corresponding ranking list, and storing the plurality of second data structures in the storage means (20),third processing means (50) for applying a first weighting scheme to each of the second data structures to generate a plurality of third data structures, each of the third data structures representing a factor portfolio based on one of the second data structures, and storing the third data structures in the memory means (20), fourth Processing means (60) for applying a second weighting scheme to the third data structures to generate a fourth data structure representing as target portfolio a weighted combination of the factor portfolios and storing the fourth data structure in the storage means (20) and output means (70) for outputting information based on the fourth data structure, the information comprising weights of constituents of the target portfolio.It has been shown that the resulting target portfolio has advantageous properties, particularly with regard to the ratio between long-term return and risk.