Patent ID: 7644011

Claim:
A program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps for evaluating an investment manager's skill, the method steps comprising: determining a time frame over which to calculate statistics, said time frame comprising a plurality of time periods of a predefined duration; determining a universe of asset returns according to a mandate of the manager; generating a predetermined number of return portfolios from the universe of assets to form a return distribution for each time period, said generating comprising the steps of: randomly selecting an asset from the universe, for each portfolio, generating a random weight for the selected asset in the portfolio, for each portfolio, wherein the random weight for each selected asset is constrained to be between a defined minimum and maximum value, calculating a return for the asset by multiplying an actual asset return by the generated weight for each asset, for each portfolio, summing the return of each asset to calculate a portfolio return, for each portfolio, and storing the portfolio return for each portfolio in the return distribution, wherein the steps of selecting an asset, generating a weight, calculating a return for the asset, and calculating a portfolio return are repeated until at least 100% of the portfolio weight has been allocated; obtaining return data for a manager for each given time period; standardizing the manager's return data for each given time period; and calculating measurement statistics to calculate the manager's performance over the plurality of time periods, wherein the measurement statistics include one or more of a mean, a standard deviation, a confidence interval, a regression coefficient, and a factor weight as determined by an analysis of variance, factor analysis or principle component analysis.