专利快速检索-快速检索全球专利，免费商用专利数据库-IPRDB

1. 发明授权

US11205231B2 Performance attribution for portfolios with composite investments 有权
公开(公告)号：US11205231B2
公开(公告)日：2021-12-21
申请号：US16522620
申请日：2019-07-25
申请人： Axioma, Inc.
发明人： Vishv Jeet , Vishal Shekhar
IPC分类号： G06Q40/06 , G06Q40/02
摘要： In existing performance attribution, composite investments are resolved into simple assets, and the performance attribution provides results only for the resolved, net investment in the simple assets. As a result, the individual investment in the composite investment in isolation is lost, and it is impossible to determine if the investment in the composite investment in isolation helped or hurt performance. Approaches are described to determine attribution in a manner in which the attribution hierarchy is altered so that, after reporting on the performance of the full portfolio, a further level of attribution reports on a set of sub-portfolios. The first sub-portfolio represents the original investments in simple assets only while the other sub-portfolios represent investments in each composite investment. This composite-first performance attribution determines the individual contribution to performance of each composite investment, resulting in more detailed, practical, and intuitive results.

2. 发明申请

US20220058742A1 PERFORMANCE ATTRIBUTION FOR PORTFOLIOS WITH COMPOSITE INVESTMENTS 有权
公开(公告)号：US20220058742A1
公开(公告)日：2022-02-24
申请号：US17517265
申请日：2021-11-02
申请人： Axioma, Inc.
发明人： Vishv Jeet , Vishal Shekhar
IPC分类号： G06Q40/06
摘要： In existing performance attribution, composite investments are resolved into simple assets, and the performance attribution provides results only for the resolved, net investment in the simple assets. As a result, the individual investment in the composite investment in isolation is lost, and it is impossible to determine if the investment in the composite investment in isolation helped or hurt performance. Approaches are described to determine attribution in a manner in which the attribution hierarchy is altered so that, after reporting on the performance of the full portfolio, a further level of attribution reports on a set of sub-portfolios. The first sub-portfolio represents the original investments in simple assets only while the other sub-portfolios represent investments in each composite investment. This composite-first performance attribution determines the individual contribution to performance of each composite investment, resulting in more detailed, practical, and intuitive results.

3. 发明申请

US20150081592A1 Adjusted Factor-Based Performance Attribution 审中-公开
标题翻译：基于因子的性能归因调整
公开(公告)号：US20150081592A1
公开(公告)日：2015-03-19
申请号：US14336123
申请日：2014-07-21
申请人： Axioma, Inc.
发明人： Robert A. Stubbs , Vishv Jeet
IPC分类号： G06Q40/06 , G06Q10/06
CPC分类号： G06Q40/06 , G06Q10/067
摘要： Performance attribution results of investment portfolios are often misleading due to correlation between the factor and specific contributions. This correlation is not correctly accounted for in standard factor-based attribution thus leading to potentially erroneous results. The present invention produces an adjusted factor-based performance attribution methodology that moves a portion of the specific return that is correlated with the factor contributions into the factor portion. This methodology adjusts the contribution to a subset of factors and to the specific contributions such that the resulting factor and specific contributions have small correlation.
摘要翻译：由于因素与具体贡献之间的相关性，投资组合的绩效归因结果往往具有误导性。这种相关性在标准因子归因中没有被正确地解释，从而导致潜在的错误结果。本发明产生调整的基于因素的性能归因方法，其将与因子贡献相关联的特定回报的一部分移动到因子部分中。这种方法调整了对一个因素的一部分的贡献和具体贡献，使得所得因子和具体贡献具有小的相关性。

你已经成功收藏专利！

检索式保存成功!

IPRDB

热门服务

关于我们

友情链接

联系方式