Abstract: Factor-based performance attribution results are often used to identify portfolio exposures or bets that either perform well or underperform. By identifying particular exposures or bets that appear to be opportune to be increased or reduced, the overall performance of the portfolio can potentially be improved. However, the factors present in standard factor risk models are often too broad to identify exposures or bets which can be easily altered. Changing exposures based on the original risk model factors can involve trading too many stocks, or can involve trading stocks that a portfolio manager may not want to trade. The present invention allows portfolio managers to split the original risk model factors into more granular factors that cover smaller sub-sets of the assets in the portfolio. The over- and under-performing exposures of split factors are often easier to alter in practice and can be used to improve the performance of the portfolio.

Abstract: The quantitative construction of investment portfolios of securities such as stocks, bonds, or the like using optimization is addressed. More specifically, during optimization constraints on non-target factor exposures are automatically converted to constraints on the exposure of the projections of the non-target factors that are orthogonal to a specified target factor. Such constraints may be utilized to produce portfolios with superior performance to those produced with traditional factor exposure constraints.

Abstract: Portfolio optimization typically involves a risk model to control the level of risk in the portfolio constructed. By creating different portfolios using different risk models (fundamental or statistical; long, medium or short horizon) corresponding to different times or dates (a current or an old risk model), one obtains a large number of low risk (volatility) portfolios. A risk model return portfolio is the difference in the any two of these portfolios, and a risk model return is the return associated with a risk model return portfolio. A number of risk model return portfolios exhibit repeatable returns that can be used to an investor's advantage. Furthermore, these returns exhibit very low correlation with the benchmark returns. As such, they are uncorrelated sources of return. Such returns are considered valuable by investors. The present invention uses risk model return portfolios and their returns to create attractive investments for investors.

Abstract: Approaches to the construction of indexes are addressed wherein a portfolio of securities such as stocks, bonds, or the like and their associated investment weights or shares is generated. Indexes can be used as investment tools in various ways. For instance, indexes comprising a plurality of securities can often be bought and sold more cheaply than buying and selling the individual constituents of the index. This pricing differential allows investment with reduced transaction costs. Alternatively, in passive and enhanced indexing, investments are made with reference to an index. Performance statistics such as return and risk are reported with respect to the reference index. Factor indexes can serve as active manager benchmarks or the underlyers for investable products such as exchange traded funds and mutual funds. Computer based systems, methods and software are addressed for constructing indexes that replicate the returns of a quantitative factor such as medium term momentum or value.

Abstract: On the basis of simulated backtests, many portfolios including so-called smart beta and other factor products often boast impressive track records. However, given the additional trading that occurs, can such advertised performance truly be realized once transaction costs are taken into account? One might expect these products to make a concerted effort to manage liquidity. However, explicit efforts to manage liquidity in existing smart beta and factor ETF and index products have been relatively modest. A new set of rules are provided that are independent of the notional value of the portfolio that can be used to better manage the liquidity of investment portfolio.

Abstract: Factor-based performance attribution results are often used to identify portfolio exposures or bets that either perform well or underperform. By identifying particular exposures or bets that appear to be opportune to be increased or reduced, the overall performance of the portfolio can potentially be improved. However, the factors present in standard factor risk models are often too broad to identify exposures or bets which can be easily altered. Changing exposures based on the original risk model factors can involve trading too many stocks, or can involve trading stocks that a portfolio manager may not want to trade. The present invention allows portfolio managers to split the original risk model factors into more granular factors that cover smaller sub-sets of the assets in the portfolio. The over- and under-performing exposures of split factors are often easier to alter in practice and can be used to improve the performance of the portfolio.

Abstract: Tools for analyzing the risk of a portfolio of financial investments such as equities, bonds, and the like, are addressed. More particularly, computer based systems, processes and software are addressed for calculating factor risk models and for predicting the risk and tracking error of portfolios. A particular approach that can be utilized to revise the factor-factor covariance estimates of a factor risk model is provided. This approach is applied to factor risk model predictions, portfolio construction using the factor risk model, and performance attribution using the factor risk model.

Abstract: Spreadsheet-based tools for converting dimensional quantities from one set of dimensional units to another quickly and efficiently as well as correctly and automatically performing mathematical calculations using dimensional and dimensionless quantities are described. More particularly, the computer-based systems, methods and spreadsheet software perform mathematical calculations with both dimensional and dimensionless quantities, allowing extensive flexibility and customization so that both the user input and the computer output use the units that are most useful and convenient.

Abstract: The quantitative construction of investment portfolios of securities such as stocks, bonds, or the like using optimization is addressed. More specifically, during optimization, constraints on non-target factor exposures are automatically converted to constraints on the exposure of the projections of the non-target factors that are orthogonal to a specified target factor. The target factor may be the implied alpha of a reference portfolio, such as a traditional minimum risk portfolio. Such constraints may be utilized to produce portfolios with superior performance to those produced with traditional factor exposure constraints.

Abstract: The quantitative construction of investment portfolios of securities such as stocks, bonds, or the like using optimization is addressed. More specifically, during optimization constraints on non-target factor exposures are automatically converted to constraints on the exposure of the projections of the non-target factors that are orthogonal to a specified target factor. Such constraints may be utilized to produce portfolios with superior performance to those produced with traditional factor exposure constraints.

Abstract: Approaches to the construction of indexes are addressed wherein a portfolio of securities such as stocks, bonds, or the like and their associated investment weights or shares is generated. Indexes can be used as investment tools in various ways. For instance, indexes comprising a plurality of securities can often be bought and sold more cheaply than buying and selling the individual constituents of the index. This pricing differential allows investment with reduced transaction costs. Alternatively, in passive and enhanced indexing, investments are made with reference to an index. Performance statistics such as return and risk are reported with respect to the reference index. Factor indexes can serve as active manager benchmarks or the underlyers for investable products such as exchange traded funds and mutual funds. Computer based systems, methods and software are addressed for constructing indexes that replicate the returns of a quantitative factor such as medium term momentum or value.

Abstract: Construction of factor risk models that more advantageously predict the future volatility of returns of a portfolio of securities such as stocks, bonds, or the like is addressed. More specifically, factor risk models with more than one estimate of specific risk or, alternatively an original specific risk estimate together with a set of specific risk differences derived from more than one estimate of specific risk.

Abstract: Construction of indexes are addressed wherein a portfolio of securities and their associated investment weights or shares is generated. Indexes comprising a plurality of securities can often be bought and sold more cheaply than buying and selling the individual constituents of the index resulting in reduced transaction costs. In passive and enhanced indexing, investments are made with reference to an index. Factor indexes can serve as active manager benchmarks for investable products such as exchange traded funds and mutual funds. Computer based systems, methods and software are addressed for constructing indexes that replicate the returns of a quantitative factor such as medium term momentum or value with the best possible replication of the underlying factor returns. The methodology provides an approach to determine the index even when all desirable characteristics of the index are not simultaneously achievable.

Abstract: Portfolio optimization typically involves a risk model to control the level of risk in the portfolio constructed. By creating different portfolios using different risk models (fundamental or statistical; long, medium or short horizon) corresponding to different times or dates (a current or an old risk model), one obtains a large number of low risk (volatility) portfolios. A risk model return portfolio is the difference in the any two of these portfolios, and a risk model return is the return associated with a risk model return portfolio. A number of risk model return portfolios exhibit repeatable returns that can be used to an investor's advantage. Furthermore, these returns exhibit very low correlation with the benchmark returns. As such, they are uncorrelated sources of return. Such returns are considered valuable by investors. The present invention uses risk model return portfolios and their returns to create attractive investments for investors.

Abstract: The present invention relates to tools that handle and perform computations using dimensional and dimensionless values, automatically converting them appropriately within equations, outputting answers in default or user-selected output units, and indicating when inconsistencies or errors are present in the input so that these can be quickly and easily identified and immediately corrected. More particularly, it relates to improved, computer-based systems, methods and software for automatically changing between different units, correctly computing formulas using dimensional values, and outputting the results in arbitrary dimensionally consistent units. The current embodiments accomplish these objectives with as much simplicity, as flexible a syntax, as little typing, and with as little chance of human error as possible.

Abstract: A specimen processing method and cassette utilizes an open-topped, perforated collection cradle (12) and a flat, perforated embedding pedestal (10) which snap together in a male/female relationship to enclose and orient a specimen (14) during chemical processing. After chemical processing, the embedding pedestal (10) enables a specimen to be embedded in exactly the same plane as the cutting plane of a microtome during sectioning. This minimizes the number of sections required for histologic evaluation and eliminates the need for mechanical handling of the tissue specimen after its initial collection.

Abstract: An improved x-ray system/tube comprising an enclosure having oil contained therein, an oil pump, for circulating oil within the system, at least one cooling structure operatively connected to the enclosure and the oil pump, for cooling the oil, an x-ray tube, operatively positioned inside the enclosure for generating and directing x-rays toward a target, the x-ray tube comprising: a glass envelope, a cathode, operatively positioned in the glass envelope, an anode assembly including a rotor and a stator, operatively positioned relative to the rotor, a target, operatively positioned relative to the cathode and operatively connected to the anode assembly, for directing x-rays out of the system, and bearing structure having opposing surfaces and lubricant means having debris therein, operatively connected to the anode assembly, for enabling the target to rotate at a high rate and at a low resistance, the bearing structure including means for capturing the debris such that bearing performance is maintained at or n

Abstract: A noise source for an aircraft engine active noise cancellation system in which the resonant frequency of noise radiating structure is tuned to permit noise cancellation over a wide range of frequencies. The resonant frequency of the noise radiating structure is tuned by a plurality of drivers arranged to contact the noise radiating structure. Excitation of the drivers causes expansion or contraction of the drivers, thereby varying the edge loading applied to the noise radiating structure. The drivers are actuated by a controller which receives input of a feedback signal proportional to displacement of the noise radiating element and a signal corresponding to the blade passage frequency of the engine's fan. In response, the controller determines a control signal which is sent to the drivers, causing them to expand or contract. The noise radiating structure may be either the outer shroud of the engine or a ring mounted flush with an inner wall of the shroud or disposed in the interior of the shroud.

Abstract: A noise source for an aircraft engine active noise cancellation system in which the resonant frequency of a noise radiating element is tuned to permit noise cancellation over a wide range of frequencies. The resonant frequency of the noise radiating element is tuned by an expandable ring embedded in the noise radiating element. Excitation of the ring causes expansion or contraction of the ring, thereby varying the stress in the noise radiating element. The ring is actuated by a controller which receives input of a feedback signal proportional to displacement of the noise radiating element and a signal corresponding to the blade passage frequency of the engine's fan. In response, the controller determines a control signal which is sent to the ring, causing the ring to expand or contract. Instead of a single ring embedded in the noise radiating panel, a first expandable ring can be bonded to one side of the noise radiating element, and a second expandable ring can be bonded to the other side.

Abstract: A noise source for an aircraft engine active noise cancellation system in which the resonant frequency of a noise radiating element is tuned to permit noise cancellation over a wide range of frequencies. The resonant frequency is tuned by adjusting the size of a frame which encloses the noise radiating element. One or more expandable elements are disposed in the frame to produce expansion and contraction of the frame. The elements are actuated by a controller which receives input of a feedback signal proportional to displacement of the noise radiating element and a signal corresponding to the blade passage frequency of the engine's fan. In response, the controller determines a control signal which is sent to the elements and causes the frame to expand or contract.