Patents by Inventor Jose Menchero

Jose Menchero 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).

  • Computer-implemented systems and methods for modeling risk of an investment portfolio
    Patent number: 8756140
    Abstract: Computer-based systems and methods are disclosed that generally relate to risk modeling for investment portfolios, such as equity investment portfolios. For example, a factor covariance matrix for a particular investment portfolio can be adjusted for known biases, including non-stationarity bias and optimization bias. In addition, new techniques for computing specific volatilities and relative specific volatilities for assets in a particular investment portfolio are disclosed.
    Type: Grant
    Filed: November 17, 2011
    Date of Patent: June 17, 2014
    Assignee: MSCI Inc.
    Inventors: Jose Menchero, Doyle J. Orr
  • 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