Patent ID: 7246091

Claim:
An arithmetic performance attribution method for determining portfolio performance, relative to a benchmark, over multiple time periods t, where t varies from 1 to T, comprising the steps of: (a) determining coefficients (A+α t ), where 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 A has any predetermined value, R t is a portfolio return for period t, R t is a benchmark return for period 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 (b) determining the portfolio performance as R - R _ = ∏ t = 1 T ⁢ ( A + α t ) ⁢ ( R t - R _ t ) .