Patent ID: 8554656

Claim:
A computer program product providing computerized financial information, stored on a non-transitory computer-readable medium which when executed causes a computer system to perform a method, comprising: reading information identifying a portfolio to be analyzed; reading information identifying a set of candidate exchange-traded products that are available to be used in a reference portfolio; computing a first set of periodic returns for the portfolio to be analyzed and a first set of periodic returns for the identified set of candidate exchange-traded products where each return period is a predetermined interval; selecting, within a predetermined range of equivalency, a reference portfolio that is a first weighted set of at least a subset of the set of candidate exchange-traded products whose periodic returns represent a best match for the first set of periodic returns of the portfolio to be analyzed; calculating an alpha discount rate, using any of the following formulae: R ADi =( R Fi +β RMi *R MRPi )/ M, or R ADi =( R Fi +β ARi *R RRPi )/ M, or R ADi =( R Fi +β AMi *R MRPi )/ M, where R ADi is the alpha discount rate, R Fi is the annual risk-free rate, β RMi is the beta of the reference portfolio vs. the market index (indices) or its proxy (proxies), R MRPi is the annual market risk premium of the aforementioned index (indices) or its proxy (proxies), i is the index of the analysis step in the range of [0, N−1] where N is the total number of analysis steps, M is the number of fit steps per one year, β ARi is the beta of the analyzed portfolio vs. the reference portfolio, R RRPi is the annual market risk premium of the reference portfolio, β AMi is calculated using the following formula: β AMi =ρ AMi *(σ Ai /σ Mi ), where: ρ AMi is the correlation coefficient between the pre-discounted alpha and market returns, σAi is the standard deviation of the pre-discounted alpha, σMi is the standard deviation of market returns, and i is defined above; and outputting information about the reference portfolio to a user.