Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2007-07-24
2007-07-24
Nguyen, Nga (Department: 3692)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S035000, C705S037000, C705S038000, C705S039000
Reexamination Certificate
active
09848741
ABSTRACT:
A method for arithmetic performance attribution which accurately links single-period attribution effects over multiple periods. In preferred embodiments, the method determines portfolio relative performance over multiple time periods (t=1, 2, . . . , T) as a sum of terms of formR-R_=∑it⌊c1ait+c2ait2⌋,where aitis a component of active return for period t, the summation over index i is a summation over all components aitfor period t,RisR=[∏t=1T(1+Rt)]-1,R_isR_=[∏t=1T(1+R_t)]-1,Rtis a portfolio return for period t,Rtis a benchmark return for period t, and the coefficients c1and c2are c1=A, andc2=[R-R_-A∑jtajt∑jtajt2].More generally, the invention is an arithmetic method for determining portfolio relative performance over multiple time periods (t=1, 2, . . . , T) as a sum of terms of form:R-R_=∑it∑k=1∞ckaitk,where aitis a component of active return for period t. In preferred quadratic implementations (in which the only nonzero coefficients ckare those for which k=1 or k=2), the coefficients c1and c2are defined as in the above-mentioned preferred embodiments. In all embodiments, the method of the invention is metric preserving at the component portfolio level. Other aspects of the invention are a computer system programmed to perform any embodiment of the inventive method, and a computer readable medium which stores code for implementing any embodiment of the inventive method.
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Girard & Equitz LLP
Nguyen Nga
Vestek Systems, Inc.
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