Patent ID: 7249079

Claim:
A computer system, comprising: a processor which performs an arithmetic performance attribution computation to determine portfolio performance, relative to a benchmark, over multiple time periods t, where t varies from 1 to T, by determining coefficients (A+α t ), where A is a coefficient, the values α t are defined as α t = [ R - R _ - A ⁢ ∑ k = 1 T ⁢ ( R k - R _ k ) ∑ k = 1 T ⁢ ( R k - R _ k ) 2 ] ⁢ ( R t - R _ t ) , where R t is a portfolio return for period t, R t is a benchmark return for period t, R k is a portfolio return for period k, R k is a benchmark return for period k, k varies from 1 to T, R k =R t for k=t, R k = R t for k=t, R is determined by R = [ ∑ t = 1 T ⁢ ( 1 + R t ) ] - 1 , and R is determined by R _ = [ ∏ t = 1 T ⁢ ( 1 + R _ t ) ] - 1 ; and determining the portfolio relative performance as R - R _ = ∑ t = 1 T ⁢ ∑ i = 1 N ⁢ ( A + α t ) ⁢ ( I it A + S it A ) , where I it A is an issue selection for sector i and period t, S it A is a sector selection for sector i and period t, and i ranges from 1 to N; and a display device coupled to the processor for displaying a result of the arithmetic performance attribution computation.