Global risk demand index
View Patent ↗Methods for generating risk demand indices are provided. In various embodiments, the methods may include selecting a plurality of sub-index modules, wherein generation of each sub-index module involves comparing at least one financial index representative of at least one risky asset to at least one other financial index representative of at least one non-risky asset. The methods may further include combining the selected sub-index modules to calculate the risk demand indices.
1. A computer-implemented method for calculating risk demand index values over a plurality of time periods, wherein the risk demand index values are indicative of market demand for risky assets, the method comprising:
calculating, by a computer system, sub-index values over the plurality of time periods for each of a plurality of sub-indices, wherein the sub-indices comprise at least four of the following sub-indices:
(i) a bond sub-index, wherein calculating the bond sub-index comprises calculating, by the computer system, a bond sub-index value based on a difference between a data value associated with an emerging market bond index and a data value associated with a government bond index;
(ii) a commodity sub-index, wherein calculating the commodity sub-index comprises calculating, by the computer system, a commodity sub-index value based on a difference between a data value associated with a base metal index and a data value associated with a precious metals index;
(iii) a bond/equity sub-index, wherein calculating the bond/equity sub-index comprises calculating, by the computer system, a bond/equity sub-index value that is based on a difference between a data value associated with a government bond index and a data value associated with an equity index;
(iv) an equity sub-index, wherein calculating the equity sub-index comprises calculating, by the computer system, an equity sub-index value based on a difference between a data value associated with a cyclical stock index and a data value associated with a non-cyclical stock index;
(v) a first credit sub-index, wherein calculating the first credit sub-index comprises calculating, by the computer system, a first credit sub-index value based on a difference between a data value associated with for a high yield debt instrument index and a data value associated with a high grade debt instrument index;
(vi) a second credit sub-index, wherein calculating the second credit sub-index comprises calculating, by the computer system, a second credit sub-index value based on a difference between a data value associated with a government bond index and a data value associated with a high grade debt instrument index; and
calculating, by the computer system, for each of the plurality of time periods, a risk demand index value based on the at least four sub-index values; and
outputting, by the computer system, the risk demand index values,
wherein the computer system comprises a processor and a computer readable medium that stores instructions for execution by the processor.
2. The method of claim 1 , wherein calculating the risk demand index value based on the at least four sub-index values includes calculating the risk demand index value based on an average value of the at least four sub-index values.
3. The method of claim 2 , wherein calculating the risk demand index value based on the average value of the at least four sub-index values includes calculating the risk demand index value based on a geometric average value of the at least four sub-index values.
4. The method of claim 1 , further comprising standardizing, by the computer system, the calculated risk demand index value to conform to a mean value.
5. The method of claim 4 , further comprising adjusting an investment portfolio in accordance with the standardized risk demand index value.
6. The method of claim 5 , wherein adjusting the investment portfolio includes converting at least one long position to at least one short position.
7. The method of claim 5 , wherein adjusting the investment portfolio includes converting at least one short position to at least one long position.
8. The method of claim 1 , further comprising calculating, by the computer system, a dispersion index value based on a standard deviation of the at least four sub-index values.
9. The method of claim 8 , further comprising scaling, by the computer system, the risk demand index value using the calculated dispersion index value.
10. The method of claim 1 , further comprising generating, by the computer system, a graphical representation of risk demand index value for the plurality of time periods.
11. The method of claim 1 , further comprising adjusting an investment portfolio in accordance with the calculated risk demand index.
12. The method of claim 11 , wherein adjusting the investment portfolio includes converting at least one long position to at least one short position.
13. The method of claim 11 , wherein adjusting the investment portfolio includes converting at least one short position to at least one long position.
14. The method of claim 11 , wherein the investment portfolio includes a basket of investments.
15. The method of claim 1 , wherein:
calculating the sub-index values over the plurality of time periods comprises calculating the sub-index values for each of a plurality of consecutive trading days; and
calculating for each of the plurality of time periods, the risk demand index value comprises calculating the risk demand index value for each of a plurality of consecutive trading days.
16. The method of claim 1 , further comprising calculating, by the computer system, at least one volatility sub-index value over the plurality of time periods, and wherein calculating the risk demand index value over the plurality of time periods comprises calculating the risk demand index value over the plurality of time periods based on the at least four sub-index values and the at least one volatility sub-index value.
17. The method of claim 16 , wherein the at least one volatility sub-index value comprises a volatility sub-index value for at least one of the following volatility sub-indices:
an equity market volatility sub-index;
a bond market volatility sub-index; and
a currency exchange (FX) sub-index.
18. The method of claim 1 , further comprising calculating, by the computer system, a swap spread sub-index value over the plurality of time periods, and wherein calculating the risk demand index value over the plurality of time periods comprises calculating the risk demand index value over the plurality of time periods based on the at least four sub-index values and the swap spread sub-index value.
19. The method of claim 16 , further comprising calculating, by the computer system, a swap spread sub-index value over the plurality of time periods, and wherein calculating the risk demand index value over the plurality of time periods comprises calculating the risk demand index value over the plurality of time periods based on the at least four sub-index values, the at least one volatility sub-index value, and the swap spread sub-index value.
20. The method of claim 1 , wherein:
the at least four sub-indices comprises the bond sub-index; and
the bond sub-index value for a current time period is calculated based on a difference between (i) a percent change of the emerging market bond index between a prior time period and the current time period, and (ii) a percent change of the government bond index between the prior time period and the current time period.
21. The method of claim 20 , wherein:
the at least four sub-indices comprises the commodities sub-index; and
the commodities sub-index value for the current time period is calculated based on a difference between (i) a percent change of the base metal index between the prior time period and the current time period, and (ii) a percent change of the precious metals index between the prior time period and the current time period.
22. The method of claim 1 , wherein at least one of the four sub-index values for a current time period is calculated based on a difference between (i) a percent change of a first index between a prior time period and the current time period, and (ii) a percent change of a second index between the prior time period and the current time period.
23. The method of claim 1 , wherein the at least four sub-indices comprise the bond sub-index, the commodities sub-index, and the equity sub-index.
24. A non-transitory computer-readable medium including instructions for causing a computer to execute a method for calculating risk demand index values over a plurality of time periods that are indicative of market demand for risky assets, the medium comprising instructions for:
calculating sub-index values for the plurality of time periods for each of a plurality of sub-indices that comprises at least four of the following sub-indices:
(i) a bond sub-index, wherein the bond sub-index value is calculated based on a difference between a data value associated with an emerging markets index and a data value associated with a government bond index;
(ii) a commodity sub-index, wherein the commodity sub-index value is calculated based on a difference between a data value associated with a base metal index and a data value associated with a precious metals index;
(iii) a bond/equity sub-index, wherein the bond/equity sub-index value is calculated based on a difference between a data value associated with a government bond index and a data value associated with an equity index;
(iv) an equity sub-index, wherein the equity sub-index value is calculated based on a difference between a data value associated with a cyclical stock index and a data value associated with a non-cyclical stock index;
(v) a first credit sub-index, wherein the first credit sub-index value is calculated based on a difference between a data value associated with a high yield debt instrument index and a data value associated with a high grade debt instrument index;
(vi) a second credit sub-index, wherein the second credit sub-index value is calculated based on a difference between a data value associated with a government bond index and a data value associated with a high grade debt instrument index; and
calculating for each of the plurality of time periods a risk demand index value based on the at least four sub-index values.
25. A system for calculating risk demand index values over a plurality of time periods that are indicative of market demand for risky assets, the system comprising:
a financial data processing system comprising at least one computer system, the at least one computer system comprising a processor and memory that stores instructions that when executed by the processor cause the at least one computer system to:
calculate sub-index values over the plurality of time periods of each of a plurality of sub-indices comprising at least four of the following sub-indices:
(i) a bond sub-index, wherein the bond sub-index value is calculated based on a difference between a data value associated with an emerging markets index and a data value associated with a government bond index;
(ii) a commodity sub-index, wherein the commodity sub-index value is calculated based on a difference between a data value associated with a base metal index and a data value associated with a precious metals index;
(iii) a bond/equity sub-index, wherein the bond/equity sub-index value is calculated based on a difference between a data value associated with a government bond index and a data value associated with an equity index;
(iv) an equity sub-index, wherein the equity sub-index value is calculated based on a difference between a data value associated with a cyclical stock index and a data value associated with a non-cyclical stock index;
(v) a first credit sub-index, wherein the first credit sub-index value is calculated based on a difference between a data value associated with a high yield debt instrument index and a data value associated with a high grade debt instrument index;
(vi) a second credit sub-index, wherein the second credit sub-index value is calculated based on a difference between a data value associated with a government bond index and a data value associated with a high grade debt instrument index; and
calculating for each of the plurality of time periods a risk demand index value based on the at least four sub-index values.
26. The system of claim 25 , further comprising an index data storage medium in communication with the at least one computer system that stores data used in computing the at least four sub-index values.
27. A computer-implemented method for calculating risk demand index values over a plurality of time periods, wherein the risk demand index values are indicative of market demand for risky assets, the method comprising:
calculating, by a computer system, sub-index values over the plurality of time periods for each of a plurality of sub-indices, wherein the plurality of sub-indices comprises at least:
(i) a commodity sub-index, wherein calculating the commodity sub-index comprises calculating, by the computer system, a commodity sub-index value based on a difference between a data value associated with a base metal index and a data value associated with a precious metals index;
(ii) an equity sub-index, wherein calculating the equity sub-index comprises calculating, by the computer system, an equity sub-index value based on a difference between a data value associated with a cyclical stock index and a data value associated with a non-cyclical stock index;
(iii) at least one volatility sub-index; and
(iv) a swap spread sub-index; and
calculating, by the computer system, for each of the plurality of time periods, a risk demand index value based on at least the sub-index values; and
outputting, by the computer system, the risk demand index values, wherein the computer system comprises a processor and a computer readable medium that stores instructions for execution by the processor.
28. The method of claim 27, wherein calculating the risk demand index value based on the sub-index values includes calculating the risk demand index value based on an average value of at least the sub-index values.
29. The method of claim 28, wherein calculating the risk demand index value based on the average value of at least the sub-index values includes calculating the risk demand index value based on a geometric average value of at least the sub-index values.
30. The method of claim 27, further comprising standardizing, by the computer system, the calculated risk demand index value to conform to a mean value.
31. The method of claim 30, further comprising adjusting an investment portfolio in accordance with the standardized risk demand index value.
32. The method of claim 27, further comprising generating, by the computer system, a graphical representation of the risk demand index value for the plurality of time periods.
33. The method of claim 27, wherein the at least one volatility sub-index comprises an equity market volatility sub-index.
34. The method of claim 27, wherein the commodities sub-index value for a current time period is calculated based on a difference between (i) a percent change of the base metal index between a prior time period and the current time period, and (ii) a percent change of the precious metals index between the prior time period and the current time period.
35. The method of claim 27, wherein at least one of the sub-index values for a current time period is calculated based on a difference between (i) a percent change of a first index between a prior time period and the current time period, and (ii) a percent change of a second index between the prior time period and the current time period.
36. The method of claim 27, further comprising adjusting an investment portfolio in accordance with the calculated risk demand index values.
37. A non-transitory computer-readable medium including instructions for causing a computer to execute a method for calculating risk demand index values over a plurality of time periods that are indicative of market demand for risky assets, the medium comprising instructions for:
calculating sub-index values for the plurality of time periods for each of a plurality of sub-indices, wherein the plurality of sub-indices comprises at least:
(i) a commodity sub-index, wherein calculating the commodity sub-index comprises calculating, by the computer system, a commodity sub-index value based on a difference between a data value associated with a base metal index and a data value associated with a precious metals index;
(ii) an equity sub-index, wherein calculating the equity sub-index comprises calculating, by the computer system, an equity sub-index value based on a difference between a data value associated with a cyclical stock index and a data value associated with a non-cyclical stock index;
(iii) at least one volatility sub-index; and
(iv) a swap spread sub-index; and
calculating for each of the plurality of time periods a risk demand index value based on at least the sub-index values.
38. The computer-readable medium of claim 37, wherein calculating the risk demand index value based on at least the sub-index values includes calculating the risk demand index value based on an average value of at least the sub-index values.
39. The computer-readable medium of claim 38, wherein calculating the risk demand index value based on the average value of at least the sub-index values includes calculating the risk demand index value based on a geometric average value of at least the sub-index values.
40. The computer-readable medium of claim 37, wherein the medium further comprises instructions for standardizing the calculated risk demand index value to conform to a mean value.
41. The computer-readable medium of claim 37, wherein the medium further comprises instructions for generating a graphical representation of the risk demand index value for the plurality of time periods.
42. The computer-readable medium of claim 37, wherein the at least one volatility sub-index comprises an equity market volatility sub-index.
43. The computer-readable medium of claim 37, wherein the commodities sub-index value for a current time period is calculated based on a difference between (i) a percent change of the base metal index between a prior time period and the current time period, and (ii) a percent change of the precious metals index between the prior time period and the current time period.
44. The computer-readable medium of claim 37, wherein at least one of the sub-index values for a current time period is calculated based on a difference between (i) a percent change of a first index between a prior time period and the current time period, and (ii) a percent change of a second index between the prior time period and the current time period.
45. A system for calculating risk demand index values over a plurality of time periods that are indicative of market demand for risky assets, the system comprising:
a financial data processing system comprising at least one computer system, the at least one computer system comprising a processor and non-transitory memory that stores instructions that when executed by the processor cause the at least one computer system to:
calculate sub-index values over the plurality of time periods of each of a plurality of sub-indices, wherein the plurality of sub-indices comprises at least:
(i) a commodity sub-index, wherein calculating the commodity sub-index comprises calculating, by the computer system, a commodity sub-index value based on a difference between a data value associated with a base metal index and a data value associated with a precious metals index;
(ii) an equity sub-index, wherein calculating the equity sub-index comprises calculating, by the computer system, an equity sub-index value based on a difference between a data value associated with a cyclical stock index and a data value associated with a non-cyclical stock index;
(iii) at least one volatility sub-index; and
(iv) a swap spread sub-index; and
calculating for each of the plurality of time periods a risk demand index value based on at least the sub-index values.
46. The system of claim 45, wherein calculating the risk demand index value based on at least the sub-index values includes calculating the risk demand index value based on an average value of at least the sub-index values.
47. The system of claim 46, wherein calculating the risk demand index value based on the average value of at least the sub-index values includes calculating the risk demand index value based on a geometric average value of at least the sub-index values.
48. The system of claim 45, wherein the memory stores instructions that further cause the at least one computer system to standardize the calculated risk demand index value to conform to a mean value.
49. The system of claim 45, wherein the memory stores instructions that further cause the at least one computer system to generate a graphical representation of risk demand index value for the plurality of time periods.
50. The system of claim 45, wherein the at least one volatility sub-index comprises an equity market volatility sub-index.
51. The system of claim 45, wherein the commodities sub-index value for a current time period is calculated based on a difference between (i) a percent change of the base metal index between a prior time period and the current time period, and (ii) a percent change of the precious metals index between the prior time period and the current time period.
52. The system of claim 45, wherein at least one of the sub-index values for a current time period is calculated based on a difference between (i) a percent change of a first index between a prior time period and the current time period, and (ii) a percent change of a second index between the prior time period and the current time period.