System for faciliting selection of investments

• US 20030126058A1
• Filed: 11/27/2002
• Published: 07/03/2003
• Est. Priority Date: 02/06/2001
• Status: Active Grant

• Current Assignee: Strategic Capital Network LLC
• Original Assignee: Strategic Capital Network LLC
• Inventors: Hunter, Brian A.
• Granted Patent: US 7,584,132 B2
• Time in Patent Office: Days
• US Class Current: 705/36
• CPC Class Codes: G06Q 20/102 Bill distribution or payments
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A tool implemented in a computer system for analyzing the performance of a set of investment opportunities (FIG. 2). The tool operates in a screening mode whose displayed results permit the user to compare performance of the investment opportunities over time (211) and in a fitting mode whose displayed results permit the user to compare performance of pairs of the investment opportunities with regard to diversity of risk (213). In the screening mode, the investments are compared with regard to a number of different metrics. Included in the metrics is the Hunter Ratio, a pseudo-reliability metric. In the fitting mode, the correlation coefficient and Blend Anxiety of the returns of pairs of investment opportunities are measured. The Blend Anxiety is computed using the covariance of the returns. A graphical user interface for the tool permits the user to select investment opportunities, asset classes, benchmarks, kinds of calculations, and periods of time over which the calculations are to be performed (201). The results of both the screening mode and the fitting mode are displayed to the user in the form of spreadsheets.

Claims

1. Apparatus for analyzing the performance of a set of investment opportunities, the apparatus comprising:

an analyzer that analyzes investment performance information covering a period of time for each investment opportunity of the set; and

a graphical user interface usable by a user of the apparatus to control operation of the analyzer and display results of the analysis,

the analyzer analyzing the investment performance information in a screening mode whose displayed results permit comparison of the performance of the investment opportunities by the user and further analyzing the investment performance information in a fitting mode whose displayed results permit comparison of performance of pairs of the investment opportunities with regard to diversity of risk.

2. The apparatus set forth in claim 1 wherein:

the graphical user interface is usable to select a subset of the set of potential investment opportunities; and

the analyzer analyzes the investment performance information for the selected subset in the screening and/or fitting mode.

3. The apparatus set forth in claim 2 wherein:

the investment performance information includes a plurality of asset classes, each of the investment opportunities belonging to an asset class;

the graphical user interface is further useful to select the subset such that investment opportunities in the subset belonging to a given asset class.

4. The apparatus set forth in claim 1 wherein:

the analyzer is capable of operations belonging to a set thereof on the investment performance information; and

the operations include computing the Hunter Ratio for an investment opportunity.

5. The apparatus set forth in claim 4 wherein:

the Hunter Ratio is computed in the screening mode; and

the operations include, in the fitting mode, using the investment performance information in computing a blend anxiety of the investment opportunities making up the pair.

6. The apparatus set forth in claim 1 wherein:

the analyzer is capable of operations belonging to a set thereof on the investment performance information in screening mode; and

the graphical user interface displays the results from the screening mode as a spreadsheet that may be manipulated by the user, the spreadsheet having a row for each of the investment opportunities and a column for each of the operations.

7. The apparatus set forth in claim 1 wherein:

the analyzer is capable of operations belonging to a set thereof on the investment performance information; and

the graphical user interface is usable to select a subset of the set of operations to be performed by the analyzer in the screening mode.

8. The apparatus set forth in claim 7 wherein:

the graphical user interface is further usable to select for a given operation in the subset a selected period of time within the covered period of time, the analyzer performing the given operation on the investment performance information for the selected period of time.

9. The apparatus set forth in claim 1 wherein:

the graphical user interface is usable to select a period of time within the covered period of time; and

the analyzer analyzes the investment performance information over the selected period of time in the screening mode and/or the fitting mode.

10. The apparatus set forth in claim 1 wherein:

the graphical user interface displays the results as a spreadsheet that may be manipulated by the user.

11. The apparatus set forth in claim 1 wherein:

the graphical user interface is usable in the fitting mode to select a first subset and a second subset of the set of investment opportunities; and

each pair is made up of an investment opportunity from the first subset and an investment opportunity from the second subset.

12. The apparatus set forth in claim 11 wherein:

in the fitting mode, the results are displayed in a table having a row for each of the investment opportunities belonging to the first set and a column for each of the investment opportunities belonging to the second set; and

the results for each pair of the investment opportunities appear at the intersection of the row for the member of the pair from the first subset and the column for the member of the pair from the second subset.

13. The apparatus set forth in claim 12 wherein:

the analyzer computes for each pair a blend anxiety of the investment opportunities making up the pair using the investment performance information; and

the blend anxiety appears at the intersection for the pair.

14. The apparatus set forth in claim 13 wherein:

the blend anxiety is computed by computing the covariance of the investment performances of the investment opportunities making up the pair.

15. The apparatus set forth in claim 13 wherein:

the analyzer computes for each pair a correlation coefficient of the investment opportunities making up the pair using the investment performance information; and

the correlation coefficient appears at the intersection for the pair.

16. The apparatus set forth in claim 1 wherein:

in fitting mode, the analyzer computes for each pair a blend anxiety of the investment opportunities making up the pair using the investment performance information; and

the displayed results show the pair and the blend anxiety.

17. The apparatus set forth in claim 16 wherein:

the blend anxiety is computed by computing the covariance of the investment performances of the investment opportunities making up the pair.

18. The apparatus set forth in claim 16 wherein:

in fitting mode, the analyzer further computes for each pair a correlation coefficient of the investment opportunities making up the pair using the investment performance information; and

the displayed results further show the correlation coefficient.

19. Apparatus for analyzing a pair of investment opportunities with regard to diversity of risk, the apparatus comprising:

an analyzer that analyzes investment performance information covering a period of time for each investment opportunity of the pair to produce a diversity value specifying the diversity of risk for the pair; and

an output device that outputs the diversity value.

20. The apparatus set forth in claim 19 wherein:

the diversity value includes a blend anxiety for the investment opportunities making up the pair.

21. The apparatus set forth in claim 20 wherein:

the blend anxiety is computed by computing the covariance for the investment opportunities making up the pair.

22. The apparatus set forth in claim 20 wherein:

the diversity value includes the correlation coefficient for the investment opportunities making up the pair.

23. The apparatus set forth in any one of claims 19 through 22 further comprising:

a graphical user interface usable by a user of the apparatus for controlling operation of the analyzer and the output device.

24. The apparatus set forth in claim 23 wherein:

the analyzer analyzes a plurality of the pairs of investment opportunities, the investment opportunities of the pairs belonging to a set of investment opportunities;

the graphical user interface is usable to select a first subset and a second subset of the set of investment opportunities; and

each pair is made up of an investment opportunity from the first subset and an investment opportunity from the second subset.

25. The apparatus set forth in claim 24 wherein:

the diversity value is displayed in the output device as a table having a row for each of the investment opportunities belonging to the first set and a column for each of the investment opportunities belonging to the second set; and

the results for each pair of the investment opportunities appear at the intersection of the row for the member of the pair from the first subset and the column for the member of the pair from the second subset.

26. The apparatus set forth in claim 24 wherein:

the graphical user interface is usable to select the investment opportunities in the set.

27. The apparatus set forth in claim 23 wherein:

the graphical user interface is further usable to select the period of time used by the analyzer.

28. Improved apparatus of the type wherein a set of investment opportunities is analyzed for investment performance,

the apparatus including

an analyzer that analyzes investment performance information covering a period of time for each investment opportunity of the set by performing at least one operation on the investment performance information and

an output device that outputs the analyzer'"'"'s results for each investment opportunity and the apparatus having the improvement comprising:

an operation that computes for each investment opportunity a result of the expression

(Average(Sharpe Ratio over n subperiods of the period of time))/(StdDev(Sharpe Ratio over n subperiods)).

29. A method of using a system having data storage, a processor, a user interface and a display to analyze the performance of a set of at least two investment opportunities, investment performance information covering a period of time for each investment opportunity of the set being stored in the data storage and

the method comprising the steps of:

using the user interface to cause the processor to calculate the Hunter Ratio for each investment opportunity of the set using the stored investment performance information and display the Hunter Ratio for each investment opportunity in the display; and

using the user interface to cause the processor to calculate a blend anxiety for at least one pair of the investment opportunities using the stored investment information and display the blend anxiety for the at least one pair in the display.

30. The method set fort in claim 29 wherein:

in the step of using the interface to cause the processor to calculate the blend anxiety, the processor calculates the blend anxiety by computing the covariance of the investment opportunities making up the pair.

31. A user interface for analysis apparatus that analyzes the performance of a set of investment opportunities, the apparatus including an analyzer that analyzes investment performance information covering a period of time for each investment opportunity of the set and the user interface comprising:

a selection interface for selecting at least the set of investment opportunities and the period of time;

a screening interface for selecting operations to be performed by the analyzer on the selected set of investment opportunities with regard to the selected period of time and specifying that the analyzer start performing the selected operations; and

a fitting interface for selecting pairs from the selected set of investment opportunities, the performances of the investment opportunities in each pair being compared by the analyzer with regard to diversity of risk and specifying that the analyzer start comparing the performances.