Systems and Methods for Multi-Style Portfolio (MSP) Cash Flow Enhancement

Abstract

Systems and methods are provided for multi-style portfolio cash flow enhancement. The systems and methods include identifying a first set of one or more investment sleeves within an investment account as underweighted relative to a desired target and identifying a second set of one or more investment sleeves within the investment account as overweighted relative to the desired target, where the investment account includes a plurality of investment sleeves and where each investment sleeve includes at least one asset. The systems and methods further include generating one or more sell orders in the second set to rebalance at least one overweighted investment sleeve of the second set to the desired target, associating one or more cash flows with each sell order, where each of the one or more cash flows is further associated with one of the underweighted sleeves of the first set, and performing at least one of the one or more cash flows to flow cash to one or more of the underweighted sleeves if the corresponding sell order is successfully executed.

1 - 43 . (canceled) 
     
     
         44 . An asset management system, comprising:
 at least one processor; and   at least one memory storing computer-executable instructions, wherein the at least one processor is configured to access the at least one memory and execute the computer-executable instructions to:   identify a first set of one or more underweighted investment sleeves and a second set of one or more overweighted investment sleeves within an investment account comprising a plurality of investment sleeves, wherein each investment sleeve in the first set or the second set is identified as underweighted or overweighted based at least in part on a respective target monetary total associated with the investment sleeve, and wherein each investment sleeve in the plurality of investment sleeves includes a respective at least one asset comprising at least one non-cash asset and is associated with a respective investment strategy for managing the at least one asset;   generate one or more sell orders associated with a first overweighted investment sleeve in the second set to rebalance the first overweighted investment sleeve to the respective target value associated with the first overweighted investment sleeve, wherein the one or more sell orders comprise a first sell order for a first asset in the first overweighted sleeve;
 determine an overweighted sleeve percentage associated with the first overweighted sleeve based at least in part upon a ratio of (i) an overweighted drift amount for the first overweighted investment sleeve to (ii) an aggregate overweighted drift total attributable to the second set; 
   determine a sell order percentage based at least in part upon a ratio of (i) a market valuation of the first sell order to (ii) an aggregate market valuation of the one or more sell orders for the first overweighted investment sleeve;
 determine an amount of a cash inflow to a respective underweighted sleeve in the first set based at least in part on i) one or more current market prices for one or more assets in the respective underweighted sleeve or ii) one or more actual trading prices for the one or more assets in the respective underweighted sleeve; 
 determine an amount of a cash outflow associated with the first sell order based at least in part on a combination of (i) the amount of the cash inflow (ii) the sleeve overweighted percentage, and (iii) the sell order percentage, wherein the cash outflow corresponds to the cash inflow; 
   associate a tag with the cash outflow, wherein the tag identifies the respective underweighted sleeve to receive the cash outflow as the cash inflow; and   perform the cash outflow to flow cash to the respective underweighted sleeve responsive to execution of the first sell order.   
     
     
         45 . The asset management system of  claim 44 , wherein the amount of the cash inflow is determined based at least in part on the one or more current market prices for the one or more assets in the respective underweighted sleeve and one or more current market prices for one or more assets in the first overweighted sleeve, the one or more assets in the first overweighted sleeve comprising the first asset. 
     
     
         46 . The asset management system of  claim 44 , wherein the at least one processor is configured to determine the amount of the cash outflow by executing the computer-executable instructions to multiply the amount of the cash inflow by the sleeve overweighted percentage and the sell order percentage. 
     
     
         47 . The asset management system of  claim 44 , wherein the at least one processor is configured to identify the first set of one or more underweighted investment sleeves or the second set of one or more overweighted investment sleeves by executing the computer-executable instructions to:
 determine, based at least in part on an overlay model, a target sleeve percentage for a particular investment sleeve of the plurality of investment sleeves;   determine the respective target monetary total for the particular investment sleeve by multiplying the target sleeve percentage by a total market value of the plurality of investment sleeves;   determine an actual sleeve percentage for the particular investment sleeve by dividing an actual monetary total of the particular investment sleeve by the total market value;   determine a difference between the target sleeve percentage and the actual sleeve percentage;   determine whether the difference between the target sleeve percentage and the actual sleeve percentage is greater than or less than zero; and   designate the particular investment sleeve as underweighted responsive to determining that the difference between the target sleeve percentage and the actual sleeve percentage is less than zero or designate the particular investment sleeve as overweighted responsive to determining that the difference between the target sleeve percentage and the actual sleeve percentage is less than zero.   
     
     
         48 . The asset management system of  claim 47 , wherein the at least one processor is further configured to execute the computer-executable instructions to:
 determine a drift monetary total for the particular investment sleeve by calculating a difference between the actual monetary total and the target monetary total.   
     
     
         49 . The asset management system of  claim 48 , wherein the set of one or more underweighted sleeves comprises a plurality of underweighted sleeves, wherein the particular investment sleeve is designated as underweighted, and wherein the at least one processor is further configured to execute the computer-executable instructions to:
 determine a respective additional drift monetary total for each of the plurality of underweighted sleeves other than the particular investment sleeve; and   sum the drift monetary total for the particular investment sleeve and each respective additional drift monetary total to generate a drift monetary total for the plurality of underweighted sleeves.   
     
     
         50 . The asset management system of  claim 44 , wherein the first sell order is for a quantity of units of the first asset, and wherein at least one processor is further configured to execute the computer-executable instructions to:
 determine the quantity of units as a function of a drift amount for the first asset and a current market unit price of the first asset.   
     
     
         51 . The asset management system of  claim 50 , wherein the at least one processor is further configured to execute the computer-executable instructions to:
 determine the drift amount for the first asset as a difference between an actual monetary value of the first asset and a respective target monetary value for the first asset.   
     
     
         52 . The asset management system of  claim 50 , wherein the quantity of units of the first asset is determined by rounding a ratio of the drift amount for the first asset and the current market unit price of the first asset according to a rounding method. 
     
     
         53 . The asset management system of  claim 44 , wherein the one or more sell orders is a plurality of sell orders further comprising a second sell order for a second asset in the first overweighted sleeve, and wherein the at least one processor is further configured to execute the computer-executable instructions to:
 detect a violation, wherein the violation comprises one of: i) a wash sale violation or ii) a restriction violation; and   prevent the second sell order from being executed responsive to detection of the violation.   
     
     
         54 . A computer-implemented method, comprising:
 identifying, by a computerized asset management system comprising one or more computers, a first set of one or more underweighted investment sleeves and a second set of one or more overweighted investment sleeves within an investment account comprising a plurality of investment sleeves, wherein each investment sleeve in the first set or the second set is identified as underweighted or overweighted based at least in part on a respective target monetary total associated with the investment sleeve, and wherein each investment sleeve in the plurality of investment sleeves includes a respective at least one asset comprising at least one non-cash asset and is associated with a respective investment strategy for managing the at least one asset;   generating, by the computerized asset management system, one or more sell orders associated with a first overweighted investment sleeve in the second set to rebalance the first overweighted investment sleeve to the respective target value associated with the first overweighted investment sleeve, wherein the one or more sell orders comprise a first sell order for a first asset in the first overweighted sleeve;
 determining, by the computerized asset management system, an overweighted sleeve percentage associated with the first overweighted sleeve based at least in part upon a ratio of (i) an overweighted drift amount for the first overweighted investment sleeve to (ii) an aggregate overweighted drift total attributable to the second set; 
   determining, by the computerized asset management system, a sell order percentage based at least in part upon a ratio of (i) a market valuation of the first sell order to (ii) an aggregate market valuation of the one or more sell orders for the first overweighted investment sleeve;
 determining, by the computerized asset management system, an amount of a cash inflow to a respective underweighted sleeve in the first set based at least in part on i) one or more current market prices for one or more assets in the respective underweighted sleeve or ii) one or more actual trading prices for the one or more assets in the respective underweighted sleeve; 
   determining, by the computerized asset management system, an amount of a cash outflow associated with the first sell order based at least in part on a combination of (i) the amount of the cash inflow (ii) the sleeve overweighted percentage, and (iii) the sell order percentage, wherein the cash outflow corresponds to the cash inflow;   associating, by the computerized asset management system, a tag with the cash outflow, wherein the tag identifies the respective underweighted sleeve to receive the cash outflow as the cash inflow; and   performing, by the computerized asset management system, the cash outflow to flow cash to the respective underweighted sleeve responsive to execution of the first sell order.   
     
     
         55 . There method of  claim 54 , wherein the amount of the cash inflow is determined based at least in part on the one or more current market prices for the one or more assets in the respective underweighted sleeve and one or more current market prices for one or more assets in the first overweighted sleeve, the one or more assets in the first overweighted sleeve comprising the first asset. 
     
     
         56 . The method of  claim 54 , wherein determining the amount of the cash outflow comprises multiplying the amount of the cash inflow by the sleeve overweighted percentage and the sell order percentage. 
     
     
         57 . The method of  claim 54 , wherein identifying the first set of one or more underweighted investment sleeves or identifying the second set of one or more overweighted investment sleeves comprises:
 determining, based at least in part on an overlay model, a target sleeve percentage for a particular investment sleeve of the plurality of investment sleeves;   determining the respective target monetary total for the particular investment sleeve by multiplying the target sleeve percentage by a total market value of the plurality of investment sleeves;   determining an actual sleeve percentage for the particular investment sleeve by dividing an actual monetary total of the particular investment sleeve by the total market value;   determining a difference between the target sleeve percentage and the actual sleeve percentage;   determining whether the difference between the target sleeve percentage and the actual sleeve percentage is greater than or less than zero; and   designating the particular investment sleeve as underweighted responsive to determining that the difference between the target sleeve percentage and the actual sleeve percentage is less than zero or designating the particular investment sleeve as overweighted responsive to determining that the difference between the target sleeve percentage and the actual sleeve percentage is less than zero.   
     
     
         58 . The method of  claim 57 , further comprising:
 determining, by the computerized asset management system, a drift monetary total for the particular investment sleeve by calculating a difference between the actual monetary total and the target monetary total.   
     
     
         59 . The method of  claim 58 , wherein the set of one or more underweighted sleeves comprises a plurality of underweighted sleeves, and wherein the particular investment sleeve is designated as underweighted, the method further comprising:
 determining, by the computerized asset management system, a respective additional drift monetary total for each of the plurality of underweighted sleeves other than the particular investment sleeve; and   summing, by the computerized asset management system, the drift monetary total for the particular investment sleeve and each respective additional drift monetary total to generate a drift monetary total for the plurality of underweighted sleeves.   
     
     
         60 . The method of  claim 54 , wherein the first sell order is for a quantity of units of the first asset, the method further comprising:
 determining the quantity of units as a function of a drift amount for the first asset and a current market unit price of the first asset.   
     
     
         61 . The method of  claim 60 , further comprising:
 determining the drift amount for the first asset as a difference between an actual monetary value of the first asset and a respective target monetary value for the first asset.   
     
     
         62 . The method of  claim 60 , wherein the quantity of units of the first asset is determined by rounding a ratio of the drift amount for the first asset and the current market unit price of the first asset according to a rounding method. 
     
     
         63 . The method of  claim 54 , wherein the one or more sell orders is a plurality of sell orders further comprising a second sell order for a second asset in the first overweighted sleeve, the method further comprising:
 detecting, by the computerized asset management system, a violation, wherein the violation comprises one of: i) a wash sale violation or ii) a restriction violation; and   preventing the second sell order from being executed responsive to detecting the violation.