The Toronto-Dominion Bank
SYSTEM AND METHOD FOR AUTOMATICALLY OPTIMIZING A PORTFOLIO

Abstract:

There is provided a computing device, systems and methods for automatic generation of a portfolio. The computing device receives an index comprising index holdings and characteristics. The device then automatically projects the index to a target index providing a proforma benchmark characterizing a future state of the index holdings. The target index is based on expected future events impacting the index and includes a list of projected constituents, characteristics defining each of the constituents. The computing device predicts, using a machine learning model, a liquidity score associated with each of the constituents, the liquidity score for a particular constituent based on prior liquidity scores for other constituents in a past time period with one or more similar characteristics to the characteristics of the particular constituent. In response, an optimized portfolio is generated providing an optimized set of constituents with associated weighting tracking the target index.