Systems and methods for analysis of portfolio returns and trade cost measurement based on fiduciary roles

• US 7,739,170 B2
• Filed: 02/24/2003
• Issued: 06/15/2010
• Est. Priority Date: 02/22/2002
• Status: Expired due to Fees

• Current Assignee: Ancerno Ltd.
• Original Assignee: Ancerno Ltd.
• Inventors: Thomas, John T., Stewart, Bruce, Noser, Eugene
• Primary Examiner(s): Felten; Daniel S
• Application Number:
  US10/372,436
• Publication Number:
  US 20030225660A1
• Time in Patent Office: 2,668 Days
• Field of Search: 705 35- 40, 235/379
• US Class Current: 705/36.00T
• 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 computer method for measuring trade costs, comprising:

capturing trade data, by a computer, over a predetermined time period;

capturing time stamp data, by a computer, 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;

performing an investment level analysis, by a computer, based on said trade data and said time stamp data.

2. A method as in claim 1, wherein said time stamp data further comprises data regarding placement of said order.

3. A method as in claim 1, wherein said investment level analysis comprises calculation of ideal investment level gain/loss.

4. A method as in claim 1, wherein said investment level analysis comprises calculation of expected investment level gain/loss.

5. A method as in claim 1, wherein said investment level analysis comprises calculation of actual investment level gain/loss.

6. A method as in claim 1, wherein said investment level analysis comprises calculation of market investment level gain/loss.

7. A method as in claim 1, wherein said investment level analysis comprises calculation of execution investment level gain/loss.

10. Software for implementing the method of claim 8, comprising:

(a) software for obtaining information from an order management system to produce a sequence of transactions to be measured;

(b) software for collecting and organizing information regarding securities transactions in a market of interest over the predetermined time period of claim 1;

(c) software for calculating the investment-level analysis of claim 1, based on information received from (a) and (b); and

(d) software for selecting and summarizing information from (c) in response to a particular query.

12. A method as in claim 3, wherein calculation of said ideal investment level gain/loss comprises calculation of a difference between a period close price and an order open price.

13. A method as in claim 4, wherein calculation of said expected investment level gain/loss comprises calculation of a difference between a period close price and an order length market clearing price.

14. A method as in claim 5, wherein calculation of said actual investment level gain/loss comprises calculation of a difference between a period close price arid an order execution price.

15. A method as in claim 6, wherein calculation of said market investment level gain/loss comprises calculation of a difference between an order open price and an order length market clearing price.

16. A method as in claim 7, wherein calculation of said execution investment level gain/loss comprises calculation of a difference between an order length market clearing price and an order length execution price.

26. A method as in claim 1, further comprising performing an investment/order reconciliation level analysis based on said trade data and said time stamp data.

27. A method as in claim 26, wherein said investment/order reconciliation level analysis comprises calculation of a difference between a period close price and an order close price.

28. A method as in claim 1, further comprising performing a day level analysis based on said trade data and said time stamp data.

29. A method as in claim 28, wherein said day level analysis comprises calculation of an ideal day level gain/loss.

30. A method as in claim 29, wherein calculation of said ideal day level gain/loss comprises calculation of a difference between a day close price and a day open price.

31. A method as in claim 28, wherein said day level analysis comprises calculation of an expected day level gain/loss,

32. A method as in claim 31, wherein calculation of said expected day level gain/loss comprises calculation of a difference between a day close price and a day length market clearing price.

33. A method as in claim 28, wherein said day level analysis comprises calculation of an actual day level gain/loss.

34. A method as in claim 33, wherein calculation of said actual day level gain/loss comprises calculation of a difference between a day close price and a day length execution price.

35. A method as in claim 28, wherein said day level analysis comprises calculation of a market day level gain/loss.

36. A method as in claim 35, wherein calculation of said market day level gain/loss comprises calculation of a difference between a day open price and a day length market clearing price.

37. A method as in claim 28, wherein said day level analysis comprises calculation of an execution day level gain/loss.

38. A method as in claim 37, wherein calculation of said execution day level gain/loss comprises calculation of a difference between a day length market clearing price and a day length execution price.

39. A method as in claim 1, further comprising performing an order/day reconciliation level analysis based cm said trade data and said time stamp data.

40. A method as in claim 39, wherein said order/day reconciliation level analysis comprises calculation of a day level horizon difference gain/loss factor.

41. A method as in claim 40, wherein calculation of said day level horizon difference gain/loss factor comprises calculation of a difference between a day open price and a last day close price.

8. A computer method for measuring trade costs, comprising:

capturing trade data, by a computer, over a predetermined time period;

capturing time stamp data, by a computer, corresponding to said trade data; and

performing an order level analysis based on said trade data and said time stamp data.

9. A method as in claim 8, wherein said order level analysis comprises calculation of ideal order level gain/loss.

11. Software for implementing the method of claim 8, comprising:

(a) software for obtaining information from an order management system to produce a sequence of transactions to he measured;

(b) software for collecting and organizing information regarding securities transactions in a market of interest over the predetermined time period of claim 8;

(c) software for calculating the order-level analysis of claim 8, based on information received from (a) and (b); and

(d) software for selecting and summarizing information from (c) in response to a particular query.

17. A method as in claim 9, wherein calculation of said ideal order level gain/loss comprises calculation of a difference between an order close price and an order open price.

18. A method as in claim 8, wherein said order level analysis comprises calculation of an expected order level gain/loss.

19. A method as in claim 18, wherein calculation of said expected order level gain/loss comprises calculation of a difference between an order close price and an order length market clearing price.

20. A method as in claim 8, wherein said order level analysis comprises calculation of an actual order level gain/loss.

21. A method as in claim 20, wherein calculation of said actual order level gain/loss comprises calculation of a difference between an order close price and an order execution price.

22. A method as in claim 8, wherein said order level analysis comprises calculation of a market order level gain/loss.

23. A method as in claim 22, wherein calculation of said market order level gain/loss comprises calculation of a difference between an order open price and an order length market clearing price.

24. A method as in claim 8, wherein said order level analysis comprises calculation of an execution order level gain/loss.

25. A method as in claim 24, wherein calculation of said execution order level gain/loss comprises calculation of a difference between an order length market clearing price and an order length execution price.