Abstract: A system and method of determining a model default swap spread for a firm which includes the following steps: (i) determining a calibration group of the firm, wherein the calibration group comprises other firms having a region, a sector and a coarse quality related to the firm; (ii) setting firm leverage variables through combining observable data with a value of at least one model parameter; (iii) calibrating variables based on the calibration group; (iv) calculating the model default swap spread based on at least one of calibration variables; and (v) storing the model default swap spread.

Abstract: Systems and methods for attributing return, risk, and risk-adjusted performance for an investment portfolio. Residual factors for the investment portfolio may be determined based on a matrix of custom factors. The residual factors may correspond to a matrix of factor exposures for the portfolio that may be obtained by orthogonalizing true factors for the portfolio to the matrix of custom factors. The return of the portfolio may be attributed to the custom factors, the residual factors, and idiosyncratic effects. The risk of the portfolio may be attributed to the custom factors, the residual factors, and the idiosyncratic effects. The risk-adjusted performance may be attributed to the custom factors, the residual factors, and idiosyncratic effects based on the return attributions and the risk attributions. The return attribution, risk attribution and risk-adjusted performance attribution for each of the custom factors, the residual factors, and the idiosyncratic effects may be stored.

Abstract: Systems and methods for attributing return, risk, and risk-adjusted performance for an investment portfolio. Residual factors for the investment portfolio may be determined based on a matrix of custom factors. The residual factors may correspond to a matrix of factor exposures for the portfolio that may be obtained by orthogonalizing true factors for the portfolio to the matrix of custom factors. The return of the portfolio may be attributed to the custom factors, the residual factors, and idiosyncratic effects. The risk of the portfolio may be attributed to the custom factors, the residual factors, and the idiosyncratic effects. The risk-adjusted performance may be attributed to the custom factors, the residual factors, and idiosyncratic effects based on the return attributions and the risk attributions. The return attribution, risk attribution and risk-adjusted performance attribution for each of the custom factors, the residual factors, and the idiosyncratic effects may be stored.