Algorithmics, the world's leading provider of enterprise risk solutions, has been issued a patent for its "System and Method for Trading Off Put and Call Values of a Portfolio" methodology.
This forward-looking methodology provides investors with an innovative framework for ranking investment funds on a risk-adjusted basis and is indicative of the value of Algorithmics' ongoing investment in risk research.
"The patent encompasses risk/reward measures that are based on the positive and negative deviations of a portfolio's performance relative to a benchmark. Such measures can effectively exploit and summarize the wealth of information provided by a scenario-based risk framework," said Ben De Prisco, Algorithmics' Vice President of Research and Financial Engineering. "In particular, trading off a portfolio's under- and over-performance of a benchmark, known respectively as Put and Call values, extends the classic mean-variance analysis of Harry Markowitz to the increasingly complex financial environment of today."
"This methodology is particularly relevant to the investment industry as it provides a generalized and consistent framework for the ranking of portfolios independent of investment strategy or return distributions. In fact, increasingly popular performance measures such as the omega ratio are, in reality, just a constrained case of this general method." said Andrew Aziz, Managing Director of Risk Solutions at Algorithmics. "Cutting-edge research such as this is just one of the many reasons that Algorithmics' buy-side client base has grown dramatically in the last few years."
"This latest patent underscores Algorithmics' commitment to advanced research and innovative technology development," said Michael Zerbs, Algorithmics' President and Chief Operating Officer. "Our previous three patents were also awarded for risk-related innovations, and we will continue to invest in this very important field to enhance our ability to provide outstanding solutions to the financial services industry."