Method and system for modeling and benchmarking private equity and applications of same
CAFCFirst Claim
1. A method for benchmarking relative to an index a performance of a financial product having an irregular cash flow, said being method implemented with a computer system comprising one or more computer processors, the method comprising the steps of:
 receiving using at least one of said computer processors first cash flow data for the financial product over a period of time, the data including at least one input event and at least one output event;
receiving using at least one of said computer processors values for the index over the period of time;
determining using at least one of said computer processors a performance characteristic of the financial product;
determining using at least one of said computer processors a value of a scaling function, wherein a performance characteristic of an investment of a second cash flow in shares valued relative to the index during the period of time has a specified relationship to the performance characteristic of the financial product, the second cash flow corresponding to the first cash flow modified by the scaling function;
the determined value of the scaling function providing a measure of the performance of the financial product relative to the index.
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Accused Products
Abstract
Methods and systems are presented which permit more accurate analysis of the performance of private equity assets relative to the performance of a public index and also permit the simulation of private equity asset behavior during time periods for which reliable data for actual private equity performance is not available. The methods systems permit more accurate evaluation of a private equity asset relative to a benchmark, performance comparison of multiple private equity assets, the generation of scaled private equity data for use during simulation or other analysis under market conditions for which reliable private equity performance data is not available, risk analysis, rating and risk monitoring of private equity assets or structured products that invest in private equity assets, and as part of a private equity asset management and portfolio allocation tool.
17 Citations
17 Claims

1. A method for benchmarking relative to an index a performance of a financial product having an irregular cash flow, said being method implemented with a computer system comprising one or more computer processors, the method comprising the steps of:

receiving using at least one of said computer processors first cash flow data for the financial product over a period of time, the data including at least one input event and at least one output event; receiving using at least one of said computer processors values for the index over the period of time; determining using at least one of said computer processors a performance characteristic of the financial product; determining using at least one of said computer processors a value of a scaling function, wherein a performance characteristic of an investment of a second cash flow in shares valued relative to the index during the period of time has a specified relationship to the performance characteristic of the financial product, the second cash flow corresponding to the first cash flow modified by the scaling function; the determined value of the scaling function providing a measure of the performance of the financial product relative to the index.  View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)


12. A method for benchmarking relative to an investment index the performance of a financial product having an irregular cash flow, said being method implemented with a computer system comprising one or more computer processors, said method comprising the steps of:

receiving using at least one of said computer processors data representing a cash flow of the financial product for a period of time; receiving using at least one of said computer processors values of the index for the period of time; determining using at least one of said computer processors a value of an asymmetric scaling function wherein a first performance characteristic of the financial product during the period of time and with a first cash flow has a specified relationship to a second performance characteristic of an investment of a second cash flow in shares valued relative to the index during the period of time;
one of the first and second cash flows corresponding to the received cash flow of the financial product and the other of the first and second cash flows corresponding to an asymmetrically scaled version of the cash flow of the financial product in accordance with the scaling function; andoutputting using at least one of said computer processors an indication of the determined value; the determined value of the scaling function providing a measure of the performance of the financial product relative to the index during the time period.  View Dependent Claims (13, 14, 15, 16)


17. A method for analyzing a performance of at least one asset having an irregular cash flow, said being method implemented with a computer system comprising one or more computer processors, the method comprising the steps of:

receiving using at least one of said computer processors first cash flow data for the at least one asset over at least a first period of time; receiving using at least one of said computer processors values for an index over a second period of time, wherein said second period of time is equal to one of;
said first period of time or a different period of time;determining in a computer using at least one of said computer processors at least one of; i. a scaling function, wherein a performance characteristic of an investment of a second cash flow in shares valued relative to the index during the second period of time has a specified relationship to the performance characteristic of the asset, the second cash flow corresponding to the first cash flow modified by the scaling function; ii. a scaling function, wherein said first cash flow data is for a plurality of assets, and wherein a first performance value of aggregate cash flow from the first time period for the plurality of assets modified by the scaling function has a specified relationship with a corresponding second performance value of the aggregate cash flow from the first time period as invested in shares valued relative to the index during the second time period; and, based on the determined scaling function, the method further comprising at least one of the following steps; a) providing in said computer using at least one of said computer processors a measure of the performance of the asset relative to the index; b) generating in said computer using at least one of said computer processors scaled cash flow data using the scaling function on at least a portion of the cash flow and providing the scaled cash flow data as input to a financial analysis system; c) simulating in said computer using at least one of said computer processors behavior of the at least one specific asset during the second time period; d) generating in said computer using at least one of said computer processors a plurality of simulated cash flows for a plurality of selected sets of assets and a plurality of second time periods and analyzing the simulated cash flows to determine at least one of;
a future income stream or a probability that a specified asset will be able to meet its determined expected future payment obligations.

1 Specification