| 20090063365 | System and method of managing cash and suggesting transactions in a multi-strategy portfolio - According to some embodiments of the present invention, there is provided a system for managing an investment portfolio that is associated with at least two investment strategies, at least one of the investment strategies providing a strategy change in respect of a non-cash position by explicitly or implicitly specifying a recommended change value for the non-cash position, the system comprising: a portfolio management processor, the portfolio management processor is responsive to the strategy change in respect of the non-cash position for calculating a cash allocation for a cash position of an investment strategy providing the change, wherein the cash allocation is based upon: a recommended relative weight for the cash position, the relative weight is provided explicitly or implicitly by the investment strategy providing the change, a relative weight of at least one other cash position, the relative weight is provided explicitly or implicitly by at least one other investment strategy with which the investment portfolio is associated, a specified proportion between the two or more investment strategies with which the investment portfolio is associated, and a value of a cash holding within the investment portfolio; and the portfolio management processor is further responsive to the investment strategy providing the change for calculating a suggested transaction based upon the change value specified explicitly or implicitly by the strategy providing the change in respect of the non-cash position, and based upon the cash allocation calculated for the cash position of the investment strategy providing the change. | 03-05-2009 |
