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AssigneeMorgan Stanley Capital International, Inc.
InventorsJose Menchero, Daniel Stefek, Vijay Poduri
Estimating the term…
Systems and methods for attributing return, risk, and risk-adjusted performance for an investment portfolio. Residual factors for the investment portfolio may be determined based on a matrix of custom factors. The residual factors may correspond to a matrix of factor exposures for the portfolio that may be obtained by orthogonalizing true factors for the portfolio to the matrix of custom factors. The return of the portfolio may be attributed to the custom factors, the residual factors, and idiosyncratic effects. The risk of the portfolio may be attributed to the custom factors, the residual factors, and the idiosyncratic effects. The risk-adjusted performance may be attributed to the custom factors, the residual factors, and idiosyncratic effects based on the return attributions and the risk attributions. The return attribution, risk attribution and risk-adjusted performance attribution for each of the custom factors, the residual factors, and the idiosyncratic effects may be stored.
A computer-implemented method comprising:
A computer readable medium having instruction stored thereon which, when executed by a processor, cause the processor to:
A system comprising:
A system comprising:
A computer-implemented method of attributing return, risk, and risk-adjusted performance for an investment portfolio, the method comprising:
A computer-implemented method comprising:
A system comprising:
A computer readable medium having instruction stored thereon which, when executed by a processor, cause the processor to:
Dependencies are inferred from the claim text.