Systems and Methods for Analysis of Portfolio Returns and Trade Cost Measurement Based on Fiduciary Roles

• US 20100121782A1
• Filed: 10/29/2009
• Published: 05/13/2010
• Est. Priority Date: 02/22/2002
• Status: Active Grant

• Current Assignee: ABEL Noser Solutions Limited (Trading Technologies International, Inc.)
• Original Assignee: Abel/Noser Corp. (Abel Noser Holdings LLC)
• Inventors: Thomas, John T., Stewart, Bruce, Noser, Eugene
• Granted Patent: US 8,489,490 B2
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• CPC Class Codes: G06Q 20/102 Bill distribution or payments
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 40/12 Accounting

Abstract

Preferred embodiments of the present invention comprise, for example, a method for measuring trade costs, comprising (1) capturing trade data over a predetermined time period; (2) capturing time stamp data corresponding to said trade data, wherein said time stamp data comprises open events and close events, data regarding when an order is received by a buy-side trading desk from a portfolio manager; data regarding when execution of said order is completed, and data regarding when a manager decides to engage in trading regarding said order; and (3) performing an investment level analysis based on said trade data and said time stamp data. Further embodiments comprise systems and software for implementing the above method (and others) and utilizing information obtained therefrom.

Claims

1. A system for measuring and analyzing trade costs, comprising:

input means for capturing trade data, including corresponding time stamp data, over a predetermined time period, and a database or database server for storing the data;

selection means for choosing items from the data;

grouping means for arranging results from the selection means into groups;

aggregation means for summarizing items within each group, including per-item gains/losses that result from time delays according to the time stamp data;

computation means for applying summation formulae to the aggregated items; and

display means for displaying the results.

4. A system according to claim 1, wherein the aggregation means are arrange to average order execution prices for each item, multiply the result by a share amount and total the resulting number.

7. A system according to claim 1, further comprising means for storing a query or report specification, wherein the selection means are arranged to choose items from the data based on the query or report specification.

10. A system according to claim 1, wherein the grouping means are responsive to the query or report specification for arranging results from the selection means into groups in accordance with the query or report specification, such that each group corresponds to one detail line in a final display or report.

12. A system according to claim 1, wherein the computation means comprise factor computation means for applying summation formulae to selected aggregations to provide a series of rows, each containing an identifier from the grouping means and a principal traded amount for that identifier and related results.

2. A system for measuring and analyzing trade costs, comprising:

input means for capturing trade data, including corresponding time stamp data, over a predetermined time period, and an online analytical processing (OLAP) system for storing the data;

grouping means for arranging results from the OLAP system into groups, and for storing the results in the OLAP system;

means for storing an aggregation specification of configuration data that describes combinations of group dimensions to be pre-calculated;

aggregation means, in the OLAP system, for pre-calculating aggregations defined by the aggregation specification, including per-item gain/losses that result from time delays according to the time stamp data;

selection means for choosing items from the pre-calculated aggregations based on the query or report specification;

computation means for applying summation formulae to the selected aggregations; and

display means for displaying the results.

3. A system according to claim 2, further comprising means for producing an aggregation specification based on input data statistics.

5. A system according to claim 2, wherein the aggregation means are arrange to average order execution prices for each item, multiply the result by a share amount and total the resulting number.

6. A system according to claim 3, wherein the aggregation means are arrange to average order execution prices for each item, multiply the result by a share amount and total the resulting number.

8. A system according to claim 2, further comprising means for storing a query or report specification, wherein the selection means are arranged to choose items from the data based on the query or report specification.

9. A system according to claim 3, further comprising means for storing a query or report specification, wherein the selection means are arranged to choose items from the data based on the query or report specification.

11. A system according to claim 2, wherein the grouping means are responsive to the query or report specification for arranging results from the selection means into groups in accordance with the query or report specification, such that each group corresponds to one detail line in a final display or report.

13. A system according to claim 2, wherein the computation means comprise factor computation means for applying summation formulae to selected aggregations to provide a series of rows, each containing an identifier from the grouping means and a principal traded amount for that identifier and related results.