Robert A Stubbs

US Patent:

7698202, Apr 13, 2010

Filed:

Jan 29, 2007

Appl. No.:

11/668294

Inventors:

Robert A. Stubbs - Roswell GA, US
Stefan Hans Schmieta - Marietta GA, US

Assignee:

Axioma, Inc. - New York NY

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 37, 705 35

Abstract:

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. The risk associated with modeling error in a factor risk model relative to a particular portfolio is identified and quantified. Knowledge of this 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 and procedures that make use of factor risk models.

US Patent:

8315936, Nov 20, 2012

Filed:

Feb 24, 2010

Appl. No.:

12/711554

Inventors:

Robert A. Stubbs - Roswell GA, US
Stefan Hans Schmieta - Marietta GA, US

Assignee:

Axioma, Inc. - New York NY

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 37, 705 35

Abstract:

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. The risk associated with modeling error in a factor risk model relative to a particular portfolio is identified and quantified. Knowledge of this 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 and procedures that make use of factor risk models.

US Patent:

20130041848, Feb 14, 2013

Filed:

Oct 18, 2012

Appl. No.:

13/654797

Inventors:

Robert A. Stubbs - Roswell GA, US
Stefan Hans Schmieta - Marietta GA, US

Assignee:

AXIOMA, INC. - New York NY

International Classification:

G06Q 40/06

US Classification:

705 36 R

Abstract:

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.

US Patent:

20200231527, Jul 23, 2020

Filed:

Jan 17, 2020

Appl. No.:

16/746124

Inventors:

- Greenville SC, US
Robert Trent Stubbs - Roswell GA, US

International Classification:

C07C 51/373

Abstract:

Methods for syntheses of organic acids from α-keto acids, including methods for syntheses of isotopically encriched organic acids from α-keto acids are disclosed. The isotopically enriched organic acids are useful, for example, in metabolic flux analyses.

US Patent:

20180122012, May 3, 2018

Filed:

Mar 31, 2017

Appl. No.:

15/475523

Inventors:

- New York NY, US
Robert A. Stubbs - Roswell GA, US

International Classification:

G06Q 40/06

Abstract:

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.