Patents by Inventor Jose Gabriel Menchero

Jose Gabriel Menchero has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • Patent number: 7249082
    Abstract: A method for arithmetic performance attribution which accurately links single-period attribution effects over multiple periods. In preferred embodiments, the method determines portfolio relative performance over multiple time periods (t=1, 2, . . . , T) as a sum of terms of form R - R _ = ? i ? ? t ? ? c 1 ? a i ? ? t + c 2 ? a i ? ? t 2 ? , where ait is a component of active return for period t, the summation over index i is a summation over all components ait for period t, R ? ? is ? ? R = [ ? t = 1 T ? ( 1 + R t ) ] - 1 , ? R _ ? ? is ? ? R _ = [ ? t = 1 T ? ( 1 + R _ t ) ] - 1 , Rt is a portfolio return for period t, Rt is a benchmark return for period t, and the coefficients c1 and c2 are c1=A, and c 2 = [ R - R _ - A ? ? j ? ? t ? a j ? ? t ? j ? ? t ? a j ? ? t 2 ] .
    Type: Grant
    Filed: May 3, 2001
    Date of Patent: July 24, 2007
    Assignee: Vestek Systems, Inc.
    Inventor: Jose Gabriel Menchero
  • Patent number: 7249079
    Abstract: A method for arithmetic and geometric performance attribution which accurately links single-period attribution effects over multiple periods. The arithmetic attribution method optimally distributes the residual to yield a minimum-distortion residual-free arithmetic attribution system. The geometric attribution method defines the attribution effects in terms of ratios. The arithmetic method determines portfolio performance over multiple time periods as a sum of terms of form (Rt? Rt)(A+?t), where the coefficients ?t are defined as ? t = [ R - R _ - A ? ? k = 1 T ? ( R k - R _ k ) ? k = 1 T ? ( R k - R _ k ) 2 ] ? ( R t - R _ t ) . The value of A is A = 1 T ? [ ( R - R _ ) ( 1 + R ) 1 / T - ( 1 + R _ ) 1 / T ] , where R? R, or, for the special case of R= R, A=(1+R)(T?1)/T, where T is the number of time periods.
    Type: Grant
    Filed: July 11, 2000
    Date of Patent: July 24, 2007
    Assignee: Vestek Systems, Inc.
    Inventor: Jose Gabriel Menchero
  • Patent number: 7246091
    Abstract: A method for arithmetic and geometric performance attribution which accurately links single-period attribution effects over multiple periods. The arithmetic attribution method optimally distributes the residual to yield a minimum-distortion residual-free arithmetic attribution system. The geometric attribution method defines the attribution effects in terms of ratios. The arithmetic method determines portfolio performance over multiple time periods as a sum of terms of form (Rt? Rt)(A+?t), where the coefficients ?t are defined as ? 1 = [ R - R _ - A ? ? k = 1 T ? ( R k - R _ k ) ? k = 1 T ? ( R k - R _ k ) 2 ] ? ( R t - R _ t ) . In preferred embodiments, the value of A is A = 1 T ? [ ( R - R _ ) ( 1 + R ) 1 / T - ( 1 + R _ ) 1 / T ] , where R? R, or, for the special case of R= R, A=(1+R)(T?1)/T, where T is the number of time periods.
    Type: Grant
    Filed: October 27, 2000
    Date of Patent: July 17, 2007
    Assignee: Vestek Systems, Inc.
    Inventor: Jose Gabriel Menchero
  • Publication number: 20020038272
    Abstract: A method for arithmetic performance attribution which accurately links single-period attribution effects over multiple periods. In preferred embodiments, the method determines portfolio relative performance over multiple time periods (t=1, 2, . . .
    Type: Application
    Filed: May 3, 2001
    Publication date: March 28, 2002
    Applicant: Vestek systems Inc.
    Inventor: Jose Gabriel Menchero