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.