Process for the selection and evaluation of investment portfolio asset allocation strategies

A method of selection and evaluation of investment portfolio asset allocation strategies, comprising the steps of:

• acquiring performance data for a population of similar investments;
• calculating the average of these periodic returns and a measurement of the variance of the periodic returns around this average for each investment;
• grouping the investments into categories of investments having uniquely similar levels and patterns of investment risk, known as asset classes;
• calculating a series of average of the periodic returns for the population of securities within each asset class;
• constructing a set of all possible asset allocation strategies from the combination of all multiples of the minimum allocation percentage increment from each asset class;
• calculating a series of periodic returns generated by each allocation alternative by multiplying the asset-class average periodic return by the percent of portfolio assets allocated to that asset class for each allocation alternative;
• calculating the performance statistics for each allocation alternative for each analysis-period;
• calculating population-comparison statistics for each analysis-period;
• generating categories of allocation alternatives within each analysis-period population based on similar population-comparison statistics;
• and
• standardizing population-comparison statistics by recalculating the statistics to a standard scale in terms of deviation of the measure from a population average and comparing the statistics across a time-series of analysis-period populations.