Investment performance measurement

A computer processor implemented method for measuring investment performance of asset A, wherein the computer processor is configured to execute stored computer-readable program code to:

• determining at least one positive utility concept (PUC) describing the Asset A;
• determining at least one negative utility concept (NUC) describing the Asset A;
• normalizing the at least one negative utility concept (NUC) to an equivalent negative utility concept (GNUC) describing or deriving from a group of more than one Asset (N>1);
• and
• relating a function of the at least one positive utility concept (PUC) and a function of the at least one normalized negative utility concept (NNUC) to determine a performance measure, wherein the step of relating involves division of the function of the at least one positive utility concept by the function of the at least one normalized negative utility concept or multiplication of the function of the at least one positive utility concept by an inverse function of the function of the at least one normalized negative utility concept or equivalent, so the performance measure is higher the lower the negative utility concept and lower the higher the negative utility concept for any non-zero positive utility concept value,
• wherein the step of relating is done using the following relationship:
• performance measure=fn6PUC(fn7GNUC/fn8NUC)(fn9PUC/fn10mod PUC)
• wherein fn6-10 are functions, and wherein the value of the performance measure is not equal to either 0 or 1.

A computer processor implemented method for measuring investment performance of asset A, wherein the computer processor is configured to execute stored computer-readable program code to:

• determining at least one positive utility concept (PUC) describing the Asset A;
• determining at least one negative utility concept (NUC) describing the Asset A;
• normalizing the at least one negative utility concept (NUC) to an equivalent negative utility concept (GNUC) describing or deriving from a group of more than one Asset (N>1);
• and
• relating a function of the at least one positive utility concept (PUC) and a function of the at least one normalized negative utility concept (NNUC) to determine a performance measure, wherein the step of relating involves division of the function of the at least one positive utility concept by the function of the at least one normalized negative utility concept or multiplication of the function of the at least one positive utility concept by an inverse function of the function of the at least one normalized negative utility concept or equivalent, so the performance measure is higher the lower the negative utility concept and lower the higher the negative utility concept for any non-zero positive utility concept value,
• wherein the step of relating is done using the following relationship:
• performance measure=fn11[PUC(fn12GNUC/fn12NUC)((C3+1)fnPUC/fn mod PUC)−C4],
• and wherein the value of the performance measure is not equal to either 0 or 1.

An apparatus comprising:

• a memory for storing at least one positive utility concept (PUC) describing Asset A and at least one negative utility concept (NUC) describing Asset A;
• and
• a computer processor communicably coupled to the memory and configured to use the at least one positive utility concept (PUC) and at least one negative utility concept to:
• normalize the at least one negative utility concept (NUC) to an equivalent negative utility concept (GNUC) describing or deriving from a group of more than one Asset (N>1);
• and
• relate, using the computer processor, a function of the at least one positive utility concept (PUC) and a function of the at least one normalized negative utility concept (NNUC) to determine a performance measure, wherein the step of relating involves division of the function of the at least one positive utility concept by the function of the at least one normalized negative utility concept or multiplication of the function of the at least one positive utility concept by an inverse function of the function of the at least one normalized negative utility concept or equivalent, so the performance measure is higher the lower the at least one negative utility concept and lower the higher the at least one negative utility concept for any non-zero positive utility concept value,
• wherein the relating is done using the following relationship:
• performance measure=fn1(PUC)−fn(fn2[mod(fn3(PUC))]fn4(NNUC))
• where fn1 and fn3 are functions acting on the PUC;
• fn2 is a function acting on the modulus of (fn3(PUC)) and fn4 is a function acting on the NNUC, wherein fn is a function acting on fn2[mod(fn3(PUC))] and fn4(NNUC).

A computer program product comprising a non-transitory computer-readable medium, the non-transitory computer-readable medium comprising computer-executable program instructions stored therein, the computer-executable program instructions being configured for:

• determining at least one positive utility concept (PUC) describing Asset A;
• determining at least one negative utility concept (NUC) describing Asset A, wherein the negative utility concept is a function of a third or higher moment of the return distribution of Asset A, a non-linear function of the difference between the return of Asset A and the return of a market benchmark, a function describing a proportional relation between the return distribution of Asset A and the return distribution at least one related asset such as the market benchmark or a combination of the return distribution of Asset A and at least one other risk characteristics of Asset A;
• and
• relating, using a computer processor, a function of the at least one positive utility concept (PUC) to a function of the at least one negative utility concept (NUC) to determine a performance measure, wherein the step of relating involves division of the function of the at least one positive utility concept by the function of the at least one negative utility concept or multiplication of the function of the at least one positive utility concept by an inverse function of the function of the at least one negative utility concept or equivalent, so the performance measure is higher the lower the risk and lower the higher the risk for any non-zero positive utility concept value,
• wherein the relating is done using the following relationship:
• performance measure=fn1(PUC)−fn(fn2[mod(fn3(PUC))]fn4(NNUC))
• where fn1 and fn3 are functions acting on the PUC;
• fn2 is a function acting on the modulus of (fn3(PUC)) and fn4 is a function acting on the NNUC, wherein fn is a function acting on fn2[mod(fn3(PUC))] and fn4(NNUC).

An apparatus comprising:

• a memory for storing at least one positive utility concept (PUC) describing Asset A and at least one negative utility concept (NUC) describing Asset A;
• and
• a computer processor communicably coupled to the memory and configured to use the at least one positive utility concept (PUC) and at least one negative utility concept to:
• normalize the at least one negative utility concept (NUC) to an equivalent negative utility concept (GNUC) describing or deriving from a group of more than one Asset (N>1);
• and
• relate, using the computer processor, a function of the at least one positive utility concept (PUC) and a function of the at least one normalized negative utility concept (NNUC) to determine a performance measure, wherein the step of relating involves division of the function of the at least one positive utility concept by the function of the at least one normalized negative utility concept or multiplication of the function of the at least one positive utility concept by an inverse function of the function of the at least one normalized negative utility concept or equivalent, so the performance measure is higher the lower the at least one negative utility concept and lower the higher the at least one negative utility concept for any non-zero positive utility concept value,
• wherein the step of relating is done using the following relationship:
• performance measure=fn6PUC(fn7GNUC/fn8NUC)(fn9PUC/fn10mod PUC)
• wherein fn6-10 are functions, and wherein the value of the performance measure is not equal to either 0 or 1.

A computer program product comprising a non-transitory computer-readable medium, the non-transitory computer-readable medium comprising computer-executable program instructions stored therein, the computer-executable program instructions being configured for:

• determining at least one positive utility concept (PUC) describing Asset A;
• determining at least one negative utility concept (NUC) describing Asset A, wherein the negative utility concept is a function of a third or higher moment of the return distribution of Asset A, a non-linear function of the difference between the return of Asset A and the return of a market benchmark, a function describing a proportional relation between the return distribution of Asset A and the return distribution at least one related asset such as the market benchmark or a combination of the return distribution of Asset A and at least one other risk characteristics of Asset A;
• and
• relating, using a computer processor, a function of the at least one positive utility concept (PUC) to a function of the at least one negative utility concept (NUC) to determine a performance measure, wherein the step of relating involves division of the function of the at least one positive utility concept by the function of the at least one negative utility concept or multiplication of the function of the at least one positive utility concept by an inverse function of the function of the at least one negative utility concept or equivalent, so the performance measure is higher the lower the risk and lower the higher the risk for any non-zero positive utility concept value,
• wherein the step of relating is done using the following relationship:
• performance measure=fn6PUC(fn7GNUC/fn8NUC)(fn9PUC/fn10mod PUC)
• wherein fn6-10 are functions, and wherein the value of the performance measure is not equal to either 0 or 1.

An apparatus comprising:

• a memory for storing at least one positive utility concept (PUC) describing Asset A and at least one negative utility concept (NUC) describing Asset A;
• and
• a computer processor communicably coupled to the memory and configured to use the at least one positive utility concept (PUC) and at least one negative utility concept to:
• normalize the at least one negative utility concept (NUC) to an equivalent negative utility concept (GNUC) describing or deriving from a group of more than one Asset (N>1);
• and
• relate, using the computer processor, a function of the at least one positive utility concept (PUC) and a function of the at least one normalized negative utility concept (NNUC) to determine a performance measure, wherein the step of relating involves division of the function of the at least one positive utility concept by the function of the at least one normalized negative utility concept or multiplication of the function of the at least one positive utility concept by an inverse function of the function of the at least one normalized negative utility concept or equivalent, so the performance measure is higher the lower the at least one negative utility concept and lower the higher the at least one negative utility concept for any non-zero positive utility concept value,
• wherein the step of relating is done using the following relationship:
• performance measure=fn11[PUC(fn12GNUC/fn12NUC)((C3+1)fnPUC/fn mod PUC)−C4],
• and wherein the value of the performance measure is not equal to either 0 or 1.

A computer program product comprising a non-transitory computer-readable medium, the non-transitory computer-readable medium comprising computer-executable program instructions stored therein, the computer-executable program instructions being configured for:

• determining at least one positive utility concept (PUC) describing Asset A;
• determining at least one negative utility concept (NUC) describing Asset A, wherein the negative utility concept is a function of a third or higher moment of the return distribution of Asset A, a non-linear function of the difference between the return of Asset A and the return of a market benchmark, a function describing a proportional relation between the return distribution of Asset A and the return distribution at least one related asset such as the market benchmark or a combination of the return distribution of Asset A and at least one other risk characteristics of Asset A;
• and
• relating, using a computer processor, a function of the at least one positive utility concept (PUC) to a function of the at least one negative utility concept (NUC) to determine a performance measure, wherein the step of relating involves division of the function of the at least one positive utility concept by the function of the at least one negative utility concept or multiplication of the function of the at least one positive utility concept by an inverse function of the function of the at least one negative utility concept or equivalent, so the performance measure is higher the lower the risk and lower the higher the risk for any non-zero positive utility concept value,
• wherein the step of relating is done using the following relationship:
• performance measure=fn11[PUC(fn12GNUC/fn12NUC)((C3+1)fnPUC/fn mod PUC)−C4],
• and wherein the value of the performance measure is not equal to either 0 or 1.