Abstract: The method for selecting and evaluating investment portfolio asset allocation strategies includes the step of constructing a record of investment performance statistics for a population of all possible asset allocation alternatives. A series of the average of the periodic returns for the population of securities within each of a number of market sectors is generated. Each allocation alternative is determined from the unique combination of multiples of the minimum allocation percentage increments for each of the market sectors. A list of the population of all possible allocation alternatives is then compiled from the population of all combinations of multiples of minimum allocation percentage increment for each market sector. The series of weighted-average periodic investment returns for each of the allocation alternatives is then calculated. The record of performance statistics is completed by calculating population-comparison statistics for a plurality analysis-periods.

Abstract: The method of evaluating differences in the past performance of an asset class population of book valued investments. The analysis period that is of a length to include a significant portion of a market cycle is defined. A series of evaluation-period and selection-period performance statistics are calculated for the asset class population. Testing is conducted to find the correlation, performance and risk axes of the population as revealed during the analysis period. The dividing lines are calculated for subsequent evaluation-period populations of the asset class and use the groupings so identified to assign a value to each of the members of the asset class. This value will be the expected average performance strength of the investments within each group for a subsequent selection period. Findings of subsequent evaluation-period and selection periods can be included as they become available in the analysis period populations for re-execution of the method.

Abstract: A process for selecting investments from a population of book-valued collective funds uses a determination of the past average investment performance of funds within an asset class. Past performance is measured in a “means-variance” analysis. The selection process determines anomalies from a theoretical population distribution that is uniformly random with a normal distribution around the measured past performance averages for the asset class. Investment return is calculated as the average of past periodic returns. Investment risk can be the variance of those past returns around their average, or the covariance of those past returns with those of a benchmark that can be the population average of past periodic returns or past periodic returns of an associated market index.

Abstract: The method of evaluating differences in the past performance of an asset class population of book valued investments. The analysis period that is of a length to include a significant portion of a market cycle is defined. A series of evaluation-period and selection-period performance statistics are calculated for the asset class population. Testing is conducted to find the correlation, performance and risk axes of the population as revealed during the analysis period. The dividing lines are calculated for subsequent evaluation-period populations of the asset class and use the groupings so identified to assign a value to each of the members of the asset class. This value will be the expected average performance strength of the investments within each group for a subsequent selection period. Findings of subsequent evaluation-period and selection periods can be included as they become available in the analysis period populations for re-execution of the method.

Abstract: The method is used to calculate investment performance for irregular time periods. The method translates user input of beginning and ending dates for an analysis period into a series of risk-periods of equal length that encompass the entirety of the analysis period. At the beginning or end, or at both ends of an analysis period, there can occur an odd-day period which is a span of days whose length is less than that of the other periods created from the division of an analysis period into risk periods of equal length. The method for including these odd-day periods into a statistic of investment risk and investment performance is to calculate the number of days needed to extend these odd-day periods to a length equal to the other whole risk periods and to calculate a beginning and ending date for these extended periods that can be then used to extract data for a series of daily returns whose average can be computed as a risk-period return for this extended odd-day period.

Abstract: The present invention is a process to audit the performance of investment professionals in carrying out the responsibilities involved in managing the investment performance of an investment portfolio. It is unique from existing processes to evaluate investment manager performance in that its evaluative methodologies conform to the minimum standards of required of an audit process in that the evaluative findings are complete, unbiased and consistent over time. The findings derived from the method are complete because it includes the review of four specific selection functions critical for sustaining relative portfolio performance over time and generates an explicit evaluation of each of these four functions. The findings derived from the method are unbiased and consistent because they measure manager performance relative to whole-population samples of managers engaged in the same functional activities over multiple market periods.

Abstract: The method of generating a market-sector level index of investment portfolio performance includes the steps of acquiring data for a population of investments and generating a contiguous series of the measurement of periodic investment returns for the population of investments whose operations mirror that of an investment manager holding a diversified investment portfolio. The population of investments is divided into market-sector groups whose pattern and level of past periodic returns has been uniquely different as stipulated under the tenets of Modern Portfolio Theory. The population average of period-returns is calculated for each period within the contiguous series and each market-sector group. Measures of index-comparison and population-comparison statistics are created for each market sector from periodic returns averages of the market sector groups .

Abstract: The method for selecting and evaluating investment portfolio asset allocation strategies includes the step of constructing a record of investment performance statistics for a population of all possible asset allocation alternatives. A series of the average of the periodic returns for the population of securities within each of a number of market sectors is generated. Each allocation alternative is determined from the unique combination of multiples of the minimum allocation percentage increments for each of the market sectors. A list of the population of all possible allocation alternatives is then compiled from the population of all combinations of multiples of minimum allocation percentage increment for each market sector. The series of weighted-average periodic investment returns for each of the allocation alternatives is then calculated. The record of performance statistics is completed by calculating population-comparison statistics for a plurality analysis-periods.

Abstract: A process for selecting investments from a population of book-valued collective funds uses a determination of the past average investment performance of funds within an asset class. Past performance is measured in a “means-variance” analysis. The selection process determines variances from a theoretical population distribution that is uniformly random with a normal distribution around the measured past performance averages for the asset class. Investment return is calculated as the average of past periodic returns. Investment risk can be the variance of those past returns around their average, or the covariance of those past returns with those of a benchmark that can be the population average of past periodic returns or past periodic returns of an associated market index.