Patent Document ID: 8401949
Application ID: 12692532
Patent Flag: 1

Claim One:
1. A computer processor-implemented method of performing analysis of a portfolio comprising: receiving a request for an investment portfolio analysis report; receiving portfolio asset allocation data, indicating a plurality of portfolio assets that make up the portfolio; setting a target time period and dividing the time period into Z subperiods; associating via a computer processor each of the plurality of portfolio assets with one of the following tax characteristic groups: income not taxed group, income taxed at the income tax rate group and income taxed at the capital gains tax rate group; determining via a computer processor covariances between the income not taxed group, income taxed at the income tax rate group and income taxed at the capital gains tax rate group; using the covariances to generate via a computer processor N sets of dependent random variables, for each Z subperiod, where each of the N sets of dependent random variables provides a simulated performance of the income not taxed group, income taxed at the income tax rate group and income taxed at the capital gains tax rate group for the subperiod; computing N simulated portfolio values for the income not taxed group, income taxed at the income tax rate group and income taxed at the capital gains tax rate group using N sets of dependant random variables, for each Z subperiod, where the computation of the value for each Z subperiod comprises: using the portfolio values and cost basis from the previous Z subperiod to calculate the realized and unrealized gains, accounting for spending and any resulting tax payments, rebalancing the income not taxed group, income taxed at the income tax rate group and income taxed at the capital gains tax rate group, and accounting for tax consequences of rebalancing to provide Z subperiod values; and generating via a computer processor an investment portfolio analysis report based on the computed N simulated portfolio values and outputting the portfolio analysis report responsive to the received portfolio analysis report request.