Patents by Inventor Daniel Stefek

Daniel Stefek has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • System and method for attributing performance, risk and risk-adjusted performance of an investment portfolio to custom factors
    Patent number: 7890408
    Abstract: Systems and methods for attributing return, risk, and risk-adjusted performance for an investment portfolio. Residual factors for the investment portfolio may be determined based on a matrix of custom factors. The residual factors may correspond to a matrix of factor exposures for the portfolio that may be obtained by orthogonalizing true factors for the portfolio to the matrix of custom factors. The return of the portfolio may be attributed to the custom factors, the residual factors, and idiosyncratic effects. The risk of the portfolio may be attributed to the custom factors, the residual factors, and the idiosyncratic effects. The risk-adjusted performance may be attributed to the custom factors, the residual factors, and idiosyncratic effects based on the return attributions and the risk attributions. The return attribution, risk attribution and risk-adjusted performance attribution for each of the custom factors, the residual factors, and the idiosyncratic effects may be stored.
    Type: Grant
    Filed: October 11, 2007
    Date of Patent: February 15, 2011
    Assignee: Morgan Stanley Capital International, Inc.
    Inventors: Jose Menchero, Daniel Stefek, Vijay Poduri
  • System and method for attributing performance, risk and risk-adjusted performance of an investment portfolio to custom factors
    Publication number: 20090099974
    Abstract: Systems and methods for attributing return, risk, and risk-adjusted performance for an investment portfolio. Residual factors for the investment portfolio may be determined based on a matrix of custom factors. The residual factors may correspond to a matrix of factor exposures for the portfolio that may be obtained by orthogonalizing true factors for the portfolio to the matrix of custom factors. The return of the portfolio may be attributed to the custom factors, the residual factors, and idiosyncratic effects. The risk of the portfolio may be attributed to the custom factors, the residual factors, and the idiosyncratic effects. The risk-adjusted performance may be attributed to the custom factors, the residual factors, and idiosyncratic effects based on the return attributions and the risk attributions. The return attribution, risk attribution and risk-adjusted performance attribution for each of the custom factors, the residual factors, and the idiosyncratic effects may be stored.
    Type: Application
    Filed: October 11, 2007
    Publication date: April 16, 2009
    Applicant: Morgan Stanley Capital International, Inc.
    Inventors: Jose Menchero, Daniel Stefek, Vijay Poduri
  • Method and apparatus for an integrative model of multiple asset classes
    Patent number: 7024388
    Abstract: The invention provides a method and apparatus for combining two or more risk models to create a risk model with wider scope than its constituent parts. The method insures that the newly formed risk model is consistent with the component models from which it is formed.
    Type: Grant
    Filed: June 29, 2001
    Date of Patent: April 4, 2006
    Assignee: Barra Inc.
    Inventors: Daniel Stefek, Lisa Robin Goldberg, Scott Steven Scheffler, Ken Chorlam Hui, Nicolas Goodrich Torre
  • Integrative method for modeling multiple asset classes
    Publication number: 20030110016
    Abstract: The invention provides a method and apparatus for combining two or more risk models to create a risk model with wider scope than its constituent parts. The method insures that the newly formed risk model is consistent with the component models from which it is formed.
    Type: Application
    Filed: June 29, 2001
    Publication date: June 12, 2003
    Inventors: Daniel Stefek, Lisa Robin Goldberg, Scott Steven Scheffler, Ken Chorlam Hui, Nicolas Goodrich Torre