Patents by Inventor Robert Stubbs
Robert Stubbs 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).
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Patent number: 10915962Abstract: Techniques for using factor risk models to more accurately estimate the risk or active risk of an investment portfolio are disclosed. Inherent “modeling error” in factor risk models is identified and compensated for. One or more factors are added to compensate for factors that are unspecified or unattributed in the original factor risk model and which lead to modeling error. The approach can be used with a variety of different factor risk models, and for a variety of securities. Knowledge of the risk associated with modeling error can be utilized when estimating risk or active risk using factor risk models or when constructing optimal portfolios by mean-variance optimization or other portfolio construction strategies using factor risk models.Type: GrantFiled: June 15, 2018Date of Patent: February 9, 2021Assignee: AXIOMA, INC.Inventors: Robert A. Stubbs, Stefan Hans Schmieta
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Publication number: 20190347736Abstract: Performance attribution results of investment portfolios are often misleading due to correlation between the factor and specific contributions. This correlation is not correctly accounted for in standard factor-based attribution thus leading to potentially erroneous results. The present invention produces an adjusted factor-based performance attribution methodology that moves a portion of the specific return that is correlated with the factor contributions into the factor portion. This methodology adjusts the contribution to a subset of factors and to the specific contributions such that the resulting factor and specific contributions have small correlation.Type: ApplicationFiled: July 25, 2019Publication date: November 14, 2019Inventors: Robert A. Stubbs, Vishv Jeet
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Publication number: 20180300813Abstract: Techniques for using factor risk models to more accurately estimate the risk or active risk of an investment portfolio are disclosed. Inherent “modeling error” in factor risk models is identified and compensated for. One or more factors are added to compensate for factors that are unspecified or unattributed in the original factor risk model and which lead to modeling error. The approach can be used with a variety of different factor risk models, and for a variety of securities. Knowledge of the risk associated with modeling error can be utilized when estimating risk or active risk using factor risk models or when constructing optimal portfolios by mean-variance optimization or other portfolio construction strategies using factor risk models.Type: ApplicationFiled: June 15, 2018Publication date: October 18, 2018Inventors: Robert A. Stubbs, Stefan Hans Schmieta
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Publication number: 20180122012Abstract: A machine for displaying factor-based performance attribution (PA) results for a set of historical portfolios using a framework that computes the attribution using a set of factor mimicking portfolios (FMPs). By considering different constraints, universes, and rebalance frequencies for the FMPs, different PA results may be obtained. The quality of each PA may be evaluated to identify advantageous PAs for portfolio managers to use. The machine enables portfolio managers to obtain actionable information concerning the sources of investment returns.Type: ApplicationFiled: March 31, 2017Publication date: May 3, 2018Inventors: Dieter Vandenbussche, Robert A. Stubbs
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Publication number: 20150081592Abstract: Performance attribution results of investment portfolios are often misleading due to correlation between the factor and specific contributions. This correlation is not correctly accounted for in standard factor-based attribution thus leading to potentially erroneous results. The present invention produces an adjusted factor-based performance attribution methodology that moves a portion of the specific return that is correlated with the factor contributions into the factor portion. This methodology adjusts the contribution to a subset of factors and to the specific contributions such that the resulting factor and specific contributions have small correlation.Type: ApplicationFiled: July 21, 2014Publication date: March 19, 2015Applicant: Axioma, Inc.Inventors: Robert A. Stubbs, Vishv Jeet
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Publication number: 20130041848Abstract: Techniques for using factor risk models to more accurately estimate the risk or active risk of an investment portfolio are disclosed. Inherent “modeling error” in factor risk models is identified and compensated for. One or more factors are added to compensate for factors that are unspecified or unattributed in the original factor risk model and which lead to modeling error. The approach can be used with a variety of different factor risk models, and for a variety of securities. Knowledge of the risk associated with modeling error can be utilized when estimating risk or active risk using factor risk models or when constructing optimal portfolios by mean-variance optimization or other portfolio construction strategies using factor risk models.Type: ApplicationFiled: October 18, 2012Publication date: February 14, 2013Applicant: AXIOMA, INC.Inventors: Robert A. Stubbs, Stefan Hans Schmieta
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Patent number: 8315936Abstract: Techniques for more accurately estimating the risk, or active risk, of an investment portfolio when using factor risk models are disclosed. This improved accuracy is achieved by identifying and compensating for the inherent “modeling error” present when risk is represented using a factor risk model. The approach adds one or more factors that depend on the investment portfolio and that explicitly compensate for factors that are unspecified or unattributed in the original factor risk model. These unspecified factors of the original factor risk model lead to modeling error in the original factor risk model. The approach can be used with a variety of different factor risk models, such as, fundamental, statistical and macro risk models, for example, and for a variety of securities, such as equities, international equities, composites, exchange traded funds (ETFs), or the like, currencies, and fixed-income, for example.Type: GrantFiled: February 24, 2010Date of Patent: November 20, 2012Assignee: Axioma, Inc.Inventors: Robert A. Stubbs, Stefan Hans Schmieta
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Patent number: 7925284Abstract: A charged particle beam device (10) is provided, including a computer operable in response to commands entered by a user of the device to control the device, wherein the device further includes an interface (24) operable to cause data from the computer in the form of short message service (SMS) and/or multimedia message service (MMS) messages to be transmitted to a mobile device (16, 18, 20) via a mobile telephone network (14). The charged particle beam device (10) is operable to receive commands in the form of SMS and/or MMS messages from the mobile telephone (14), and to cause the computer to execute the commands.Type: GrantFiled: January 11, 2007Date of Patent: April 12, 2011Assignee: Carl Zeiss SMT LimitedInventor: Tim Robert Stubbs
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Publication number: 20100153307Abstract: Techniques for more accurately estimating the risk, or active risk, of an investment portfolio when using factor risk models are disclosed. This improved accuracy is achieved by identifying and compensating for the inherent “modeling error” present when risk is represented using a factor risk model. The approach adds one or more factors that depend on the investment portfolio and that explicitly compensate for factors that are unspecified or unattributed in the original factor risk model. These unspecified factors of the original factor risk model lead to modeling error in the original factor risk model. The approach can be used with a variety of different factor risk models, such as, fundamental, statistical and macro risk models, for example, and for a variety of securities, such as equities, international equities, composites, exchange traded funds (ETFs), or the like, currencies, and fixed-income, for example.Type: ApplicationFiled: February 24, 2010Publication date: June 17, 2010Applicant: Axioma, Inc.Inventors: Robert A. Stubbs, Stefan H. Schmieta
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Patent number: 7698202Abstract: Techniques for more accurately estimating the risk, or active risk, of an investment portfolio when using factor risk models are disclosed. This improved accuracy is achieved by identifying and compensating for the inherent “modeling error” present when risk is represented using a factor risk model. The approach adds one or more factors that depend on the investment portfolio and that explicitly compensate for factors that are unspecified or unattributed in the original factor risk model. These unspecified factors of the original factor risk model lead to modeling error in the original factor risk model. The approach can be used with a variety of different factor risk models, such as, fundamental, statistical and macro risk models, for example, and for a variety of securities, such as equities, international equities, composites, exchange traded funds (ETFs), or the like, currencies, and fixed-income, for example.Type: GrantFiled: January 29, 2007Date of Patent: April 13, 2010Assignee: Axioma, Inc.Inventors: Robert A. Stubbs, Stefan Hans Schmieta
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Publication number: 20080034147Abstract: A method, system and computer program for transferring packets between devices connected to a PCI-Express bus of a computer. A selected pair of devices, such as for example a root complex device and an endpoint device or a pair of endpoint devices, connected to the PCI-Express bus, are configured to transmit/receive data with their respective maximum payload size (MPS). A packet, such as for example a read completion packet, a write memory packet or a message request packet, can then be transmitted from the source device to the destination device. If the source device MPS exceeds the destination device MPS, the packet can be divided into a plurality of sub-packets. Each of sub packets has a maxmimum payload size based on the MPS of the destination device. The sub-packets can then be transmitted to the destination device so that the packet can be delivered to the destination device.Type: ApplicationFiled: August 1, 2006Publication date: February 7, 2008Inventors: Robert Stubbs, John Kloeppner, Dennis Gates
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Publication number: 20070179908Abstract: Techniques for more accurately estimating the risk, or active risk, of an investment portfolio when using factor risk models are disclosed. This improved accuracy is achieved by identifying and compensating for the inherent “modeling error” present when risk is represented using a factor risk model. The approach adds one or more factors that depend on the investment portfolio and that explicitly compensate for factors that are unspecified or unattributed in the original factor risk model. These unspecified factors of the original factor risk model lead to modeling error in the original factor risk model. The approach can be used with a variety of different factor risk models, such as, fundamental, statistical and macro risk models, for example, and for a variety of securities, such as equities, international equities, composites, exchange traded funds (ETFs), or the like, currencies, and fixed-income, for example.Type: ApplicationFiled: January 29, 2007Publication date: August 2, 2007Applicant: Axioma, Inc.Inventors: Robert A. Stubbs, Stefan H. Schmieta