SYSTEM AND METHOD OF REBALANCING A PORTFOLIO OF SEPARATELY MANAGED ACCOUNTS

摘要

A system and method for rebalancing separately managed accounts utilizing sub-models.Sub-models can be generated automatically by analyzing the restrictions thatexist on the individual accounts, or created manually by identifying particularstocks that might fall within a particular industry, sector or other arbitraryclassification. An account can be classified as belonging to one or more sub-models.These sub-models allow for a more efficient rebalancing process by allowingtransaction decisions to be made according to a particular sub-model ratherthan at the level of each individual account. These sub-models also allow formore efficient monitoring of large numbers of accounts by allowing analysisof account drift according to both restrictions associated with the accountas well as the account's master model portfolio, rather than solely relativeto the account's master model portfolio without incorporating the account'srestrictions.