Allan Weiss
Encyclopedia
Allan Neil Weiss has spent his career as an innovator in the areas of asset pricing, asset allocation and risk management. In 1991 he co-founded Case Shiller Weiss, Inc. and served as its CEO from inception to its sale to Fiserv
in 2002. CSW is the creator of the Standard & Poor Case-Shiller Index
. Weiss co-founded MacroSecurities in 1999. In 2006 he founded Market Shield Capital, LLC and serves as its CEO.
in 1981, and his MBA from Yale University
in 1989. He co-founded Case Shiller Weiss in 1991 to fill a gap in market awareness of ongoing price changes in residential real estate. He accomplished this by translating a highly regarded academic paper on a new indexing technique into a nationally recognized home price indexing standard, now known as the S&P Case-Shiller Index
.
Following the establishment of the indexes, Weiss lead CSW’s development of forecasts of the Case-Shiller Indexes which were published in The Wall Street Journal for over five years. CSW also licensed the indexes and forecasts to mortgage investors used to price transactions involving over $50 billion of residential mortgages.
In 1993 he co-authored a paper with Karl Case
and Robert Shiller “Index-Based Futures and Options Markets in Real Estate”, published in the Journal of Portfolio Management. The paper defines and analyzes a method to hedge and invest in home prices. In 2004 this proposal became a reality when the Chicago Mercantile Exchange
launched home price futures based on the Case-Shiller Indexes.
In 1995 Weiss conceived of a novel approach to automated real asset valuation and lead the CSW team to develop the CASA automated home valuation service.
In 1997, Weiss conceived of a new financial structure enabling equity market investors to hedge or invest in home prices and other economic indexes. Weiss named the structure the Proxy Asset Data Processor and along with Shiller received two US patents, 5987435 and 6513020, for these inventions. Weiss along with Robert Shiller founded Macro Securities to commercialize this invention. Securities under these patents have traded on the American Stock Exchange (UOY and DOY) and the New York Stock Exchange (UMM and DMM).
Weiss also identified a major uninsured home-ownership risk: loss of home value due to market declines. In 1999 in collaboration with Robert Shiller, he published "Home Equity Insurance" in the Journal of Real Estate Finance and Economics.
The sale of Case Shiller Weiss, Inc. to Fiserv caused Weiss to observe the extent to which smaller assets are worth less, for each dollar they earn, than larger more liquid assets; therefore liquid assets
generate lower income per dollar invested. Seeing how much the owners of the smaller assets could benefit from higher prices if some of their cash flows were aggregated into a larger more liquid fund, Weiss patented Common Index Securities – US patents 7155468 and 7716106 – that allows for the creation of financing structures that generate liquid and therefore value enhanced investments by aggregating cash flow
s from these smaller assets. This solution applies to any asset class whose value or earnings can be reliably indexed.
In 2007 Weiss formed Market Shield Capital to commercialize his Common Index Securities patent portfolio. Thus far Weiss has lead Market Shield to create Multifamily Indexed Equityl (MFIQ) and Residential Indexed Equity Fund (ResIQ), each of which provide new structures for investment in their respective asset classes. These structures enable asset owners to retain all of the asset specific upside while reducing some of the market level risk, since payments to investors decline alongside a decline in a defined index for the overall health of the market. Investors receive higher returns when the defined market index improves. In addition investors are not subject to asset specific volatility beyond outright bankruptcy.
Following the financial crisis
of 2007-2010, and the massive deflationary pressures and equally massive governmental monetary and fiscal interventions
, Weiss saw the need for an effective hedge against both inflation and deflation. Early in 2010, he created a solution, the CPIQ Fund, which invests in liquid securities by employing an econometric model he developed. The CPIQ fund is designed to generate a return that is a multiple of inflation/deflation with low relative volatility.
2010 “Common Index Securities”, U.S. Patent#7,716,106, 2010
2006 “Common Index Securities”, U.S. Patent #7,155,468, 2006
2003 “Proxy Asset Data Processor” (with Robert Shiller), U.S. Patent #6,513,020, 2003
1999 “Proxy Asset Data Processor” (with Robert Shiller), U.S. Patent #5,987,435,1999
"Evaluating Real Estate Valuation Systems" Journal of Real Estate Finance and Economics, (1999) 18(2):147-61. [CFP 983]
"Home Equity Insurance" Journal of Real Estate Finance and Economics, 19:1, 21-47, 1999. [see CFDP 1074, CFP 1007]
“Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate” 1995, NBER Working Papers 5078, National Bureau of Economic Research, Inc.
"Index-Based Futures and Options Markets in Real Estate" Journal of Portfolio Management (Winter 1993). [CFDP 1006]
Fiserv
Fiserv, Inc. provides information management systems and services to the financial and insurance industries. Leading services include transaction processing, outsourcing, business process outsourcing , software and systems solutions. The company serves more than 16,000 clients worldwide...
in 2002. CSW is the creator of the Standard & Poor Case-Shiller Index
Case-Shiller index
The Standard & Poor's Case–Shiller Home Price Indices are constant-quality house price indices for the United States. There are multiple Case–Shiller home price indices: A national home price index, a 20-city composite index, a 10-city composite index, and twenty individual metro area...
. Weiss co-founded MacroSecurities in 1999. In 2006 he founded Market Shield Capital, LLC and serves as its CEO.
Career
Weiss received his B.S. in Computer Science and Physics from Brandeis UniversityBrandeis University
Brandeis University is an American private research university with a liberal arts focus. It is located in the southwestern corner of Waltham, Massachusetts, nine miles west of Boston. The University has an enrollment of approximately 3,200 undergraduate and 2,100 graduate students. In 2011, it...
in 1981, and his MBA from Yale University
Yale University
Yale University is a private, Ivy League university located in New Haven, Connecticut, United States. Founded in 1701 in the Colony of Connecticut, the university is the third-oldest institution of higher education in the United States...
in 1989. He co-founded Case Shiller Weiss in 1991 to fill a gap in market awareness of ongoing price changes in residential real estate. He accomplished this by translating a highly regarded academic paper on a new indexing technique into a nationally recognized home price indexing standard, now known as the S&P Case-Shiller Index
Case-Shiller index
The Standard & Poor's Case–Shiller Home Price Indices are constant-quality house price indices for the United States. There are multiple Case–Shiller home price indices: A national home price index, a 20-city composite index, a 10-city composite index, and twenty individual metro area...
.
Following the establishment of the indexes, Weiss lead CSW’s development of forecasts of the Case-Shiller Indexes which were published in The Wall Street Journal for over five years. CSW also licensed the indexes and forecasts to mortgage investors used to price transactions involving over $50 billion of residential mortgages.
In 1993 he co-authored a paper with Karl Case
Karl E. Case
Karl Case is Professor of Economics Emeritus at Wellesley College where he held the Coman and Hepburn Chair in Economics and taught for 34 years. He is a currently a Senior Fellow at the Joint Center for Housing Studies at Harvard University and was recently elected President of the Boston...
and Robert Shiller “Index-Based Futures and Options Markets in Real Estate”, published in the Journal of Portfolio Management. The paper defines and analyzes a method to hedge and invest in home prices. In 2004 this proposal became a reality when the Chicago Mercantile Exchange
Chicago Mercantile Exchange
The Chicago Mercantile Exchange is an American financial and commodity derivative exchange based in Chicago. The CME was founded in 1898 as the Chicago Butter and Egg Board. Originally, the exchange was a non-profit organization...
launched home price futures based on the Case-Shiller Indexes.
In 1995 Weiss conceived of a novel approach to automated real asset valuation and lead the CSW team to develop the CASA automated home valuation service.
In 1997, Weiss conceived of a new financial structure enabling equity market investors to hedge or invest in home prices and other economic indexes. Weiss named the structure the Proxy Asset Data Processor and along with Shiller received two US patents, 5987435 and 6513020, for these inventions. Weiss along with Robert Shiller founded Macro Securities to commercialize this invention. Securities under these patents have traded on the American Stock Exchange (UOY and DOY) and the New York Stock Exchange (UMM and DMM).
Weiss also identified a major uninsured home-ownership risk: loss of home value due to market declines. In 1999 in collaboration with Robert Shiller, he published "Home Equity Insurance" in the Journal of Real Estate Finance and Economics.
The sale of Case Shiller Weiss, Inc. to Fiserv caused Weiss to observe the extent to which smaller assets are worth less, for each dollar they earn, than larger more liquid assets; therefore liquid assets
Market liquidity
In business, economics or investment, market liquidity is an asset's ability to be sold without causing a significant movement in the price and with minimum loss of value...
generate lower income per dollar invested. Seeing how much the owners of the smaller assets could benefit from higher prices if some of their cash flows were aggregated into a larger more liquid fund, Weiss patented Common Index Securities – US patents 7155468 and 7716106 – that allows for the creation of financing structures that generate liquid and therefore value enhanced investments by aggregating cash flow
Cash flow
Cash flow is the movement of money into or out of a business, project, or financial product. It is usually measured during a specified, finite period of time. Measurement of cash flow can be used for calculating other parameters that give information on a company's value and situation.Cash flow...
s from these smaller assets. This solution applies to any asset class whose value or earnings can be reliably indexed.
In 2007 Weiss formed Market Shield Capital to commercialize his Common Index Securities patent portfolio. Thus far Weiss has lead Market Shield to create Multifamily Indexed Equityl (MFIQ) and Residential Indexed Equity Fund (ResIQ), each of which provide new structures for investment in their respective asset classes. These structures enable asset owners to retain all of the asset specific upside while reducing some of the market level risk, since payments to investors decline alongside a decline in a defined index for the overall health of the market. Investors receive higher returns when the defined market index improves. In addition investors are not subject to asset specific volatility beyond outright bankruptcy.
Following the financial crisis
Late-2000s financial crisis
The late-2000s financial crisis is considered by many economists to be the worst financial crisis since the Great Depression of the 1930s...
of 2007-2010, and the massive deflationary pressures and equally massive governmental monetary and fiscal interventions
Quantitative easing
Quantitative easing is an unconventional monetary policy used by central banks to stimulate the national economy when conventional monetary policy has become ineffective. A central bank buys financial assets to inject a pre-determined quantity of money into the economy...
, Weiss saw the need for an effective hedge against both inflation and deflation. Early in 2010, he created a solution, the CPIQ Fund, which invests in liquid securities by employing an econometric model he developed. The CPIQ fund is designed to generate a return that is a multiple of inflation/deflation with low relative volatility.
Patents
2010 “Computer-Implemented Method for Providing Inflation-Based Equities”, Patent Pending2010 “Common Index Securities”, U.S. Patent#7,716,106, 2010
2006 “Common Index Securities”, U.S. Patent #7,155,468, 2006
2003 “Proxy Asset Data Processor” (with Robert Shiller), U.S. Patent #6,513,020, 2003
1999 “Proxy Asset Data Processor” (with Robert Shiller), U.S. Patent #5,987,435,1999
Coauthored Papers
“Moral Hazard and Home Equity Conversion" Real Estate Economics, Vol. 28, No. 1, 2000.[see CFDP 1177, CFP 1015]"Evaluating Real Estate Valuation Systems" Journal of Real Estate Finance and Economics, (1999) 18(2):147-61. [CFP 983]
"Home Equity Insurance" Journal of Real Estate Finance and Economics, 19:1, 21-47, 1999. [see CFDP 1074, CFP 1007]
“Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate” 1995, NBER Working Papers 5078, National Bureau of Economic Research, Inc.
"Index-Based Futures and Options Markets in Real Estate" Journal of Portfolio Management (Winter 1993). [CFDP 1006]