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US 2006/0224488 A1Published application
Method for calculating portfolio scaled IRR
OwnerAustin Long, Craig Nickelsinventors
Life of this patent
Estimating the term…
Abstract
Process and system for simultaneously evaluating performance attribution for each of multiple aggregates in a private portfolio through use of a multiply neutrally-weighted portfolio created with one or more neutrally-weighted portfolio dummies.
Claims7
A process for evaluating the individual contribution to portfolio IRR of each of three or more aggregates comprising:
- (a) determining a multiply neutrally-weighted internal rate of return for the portfolio;
- (b) determining an internal rate of return for the portfolio with actual weights for a first attribute and neutrally-weighted second and third attributes;
- and
- (c) subtracting the IRR determined in (a) from the IRR determined in (b) to obtain the contribution of the first attribute to the IRR of the portfolio;
- (d) determining an internal rate of return for a portfolio with actual weights for the first and second attributes and neutrally-weighted third attribute;
- and
- (e) subtracting the IRR determined in (b) from the IRR determined in (d) to obtain the contribution of the second attribute to the IRR of the portfolio;
- (f) determining an actual internal rate of return for the portfolio with actual weights for all aggregates;
- and
- (g) subtracting the IRR determined in (d) from the IRR determined in (f) to obtain the contribution of the third attribute to the IRR of the portfolio.
7 more elements
A process for producing a multiply neutrally-weighted portfolio from a private investment portfolio comprising:
- (a) scaling the investments of an instance of an aggregate within the private investment portfolio to an arbitrary constant;
- (b) cross-footing the scaled investments obtained in (a) to obtain an unscaled dummy;
- (c) scaling the unscaled dummy to the same constant used to scale the investments in (a) to obtain a scaled dummy;
- and
- (d) using as many scaled dummies as are required to achieve the same number of investments within all instances and the same number of instances within all aggregates of interest in the portfolio.
2 more elements
Dependencies are inferred from the claim text.