Hypothetical-portfolio-return determination

#The present application is related to two commonly assigned copending U.S. patent applications that were filed on the same day as this one by Harold J. A. Haig and are hereby incorporated by reference. One is entitled Portfolio-Performance Assessment, and the other is entitled Determining Portfolio Performance Measures by Weight-Based Action Detection.

#1. Field of the Invention

#The present invention is directed to investment-portfolio assessment.

#FIG. 1 is a block diagram of one type of computer system on which the present invention's teachings can be implemented.

#FIG. 2 is a flow chart of a routine used by the illustrated embodiment to compute a bias measure.

#FIG. 3 is a flow chart of a routine for presenting an output indicative of a bias's impact.

#Although the present invention can be practiced in virtually any type of computer system, and although data employed by the system will probably be supplied in many cases from separate, often remote, server systems, it can in principle be implemented in a simple personal computer such as the one that FIG. 1 depicts. That computer 10 includes among its usual components a microprocessor 12, a RAM 14, and persistent storage, such as a local disk drive 16, interconnected by a bus 18. For the sake of simplicity we will assume that the disk drive not only contains program code that configures the computer system to perform the analyses described below but also stores investment data that describe one or more portfolios and include relevant market information. Such program code may have been loaded onto the disk from a removable storage device or through a communications interface 20 from some remote source. The data may have been obtained similarly.

#Possibly in response to commands entered from, for example, a keyboard 22, the system would perform a selected analysis, and it would produce an output indicative of the result, possibly sending it out through the communications interface 20 or presenting it in human-readable form on a display 24 or other output device.

#The software configures the computer system as an analysis tool that analyzes investment tactics by operations that in many cases include identifying and offsetting portfolio actions such as the sales and purchases of assets. The purposes for such operations may include detecting tactical biases, assessing their statistical significance, measuring their impacts, and determining how effectively proposed tactical modifications would be in reducing those impacts or otherwise improving tactical performance. Such an analysis can be applied to portfolios of any asset type, examples of which include stocks, bonds, options, asset-backed securities, real property, commodities, mutual funds, Exchange Traded Funds (ETFs), cash or cash-equivalents, and individual portfolios in a group of portfolios and/or other assets. It can be used to evaluate any form of economic interest in financial assets, such as direct ownership, indirect ownership, loans, mortgages, options, short-selling, short-covering, etc. And it is applicable to any portfolio structure, such as a mutual fund, a hedge fund, a private portfolio, a partnership, a bank, an insurance company, a pension fund, etc.