Patent ID: 7324971

Claim:
A method for concealing investment position or transaction information during risk or performance evaluation, comprising the steps of: (a) providing investment position or transaction information defining a set of investment positions or transactions of an investment firm, the investment position or transaction information including a security type and investment position or transaction quantities; (b) encoding the investment position or transaction quantities by multiplying them by a scalar, thereby concealing the investment position or transaction quantities from a calculation agent that performs risk or performance evaluation using the encoded investment position or transaction quantities as input to an algorithm; (c) transmitting electrical signals representing the security type and encoded investment position or transaction information to the calculation agent that performs risk or performance evaluation using the encoded investment position or transaction quantities, the calculation agent generating risk or performance information; (d) receiving electrical signals representing the risk or performance information from the calculation agent that performs risk or performance evaluation, the risk or performance information including: at least one risk or performance measure generated by the calculation agent using the security type and the encoded investment position information, wherein each risk or performance measure is a homogeneous function, and a respective degree of homogeneity of each risk or performance measure in the risk or performance information; (e) applying a transform to the risk or performance information generated by the calculation agent, wherein the transform is based on the respective degree of homogeneity of each risk or performance measure in the risk or performance information generated by the calculation agent, thereby obtaining transformed risk or performance information that is approximately equal to risk or performance information that would be generated if the algorithm is applied to the position or transaction quantities provided in step (a); (f) storing the transformed risk or performance information in a computer readable storage medium, and (g) transmitting a report of the transformed risk or performance information to one or more recipients, the transmitting being performed by the investment firm.