Patent ID: 7890408
Filing Date: 2011-02-15
Classification: G06Q

Abstract:
1. A computer-implemented method comprising: determining, by a computer system, residual factors for an investment portfolio based on a matrix of custom factors, wherein the custom factors reflect an investment process for the investment portfolio, and wherein the residual factors correspond to a matrix of factor exposures for the investment portfolio obtained by orthogonalizing risk factors for the investment portfolio to the matrix of custom factors, wherein the risk factors account for risk in the investment portfolio and are different from the custom factors, and wherein the computer system comprises at least one processor; determining, by the computer system, an attribution of the return of the investment portfolio to the custom factors, an attribution of the return of the investment portfolio to the residual factors, and an attribution of the return of the investment portfolio to idiosyncratic effects; and determining, by the computer system, an attribution of the risk of the investment portfolio to the custom factors, an attribution of the risk of the investment portfolio to the residual factors, and an attribution of the risk of the investment portfolio to the idiosyncratic effects.