For and method of providing portfolio risk information to investors without revealing position information

摘要

A system for and method of providing investors with risk information regarding a portfolio, while protecting a strategy associated with the portfolio from public disclosure, is presented. The information allows investors to calculate a variety of risk statistics at virtually any level of granularity in analyzing divisions of the portfolio. The system and method also provide benefits for portfolio managers. Specifically, a portfolio manager may release detailed simulated returns, from which investors may calculate a variety of risk statistics, without revealing position information sufficient for the investors to reverse engineer a strategy associated with the portfolio.

主权项

1. A computer implemented system of providing risk information of a plurality of portfolios to an investor without revealing positions in the plurality of portfolios, wherein at least one portfolio of the plurality of portfolios is controlled by one or more portfolio managers, the system comprising:
one or more computer processors; a computer; and a communication network communicatively coupling the one or more computer processors and computer to perform the following: calculate, by an analytical engine executed by the one or more computer processors, a plurality of simulated returns for a portfolio, wherein the simulated returns were calculated based on a deterministic set of scenario parameters; calculate, by the analytical engine, a non-aggregatable risk statistic for the portfolio based on the simulated returns and for one or more other portfolios, without receiving positions in the portfolio and without receiving positions in the one or more other portfolios; and provide the investor access, via the computer, to the plurality of simulated returns, the deterministic set of scenario parameters, and the non-aggregatable risk statistic calculated by the analytical engine, wherein the computer is configured to prevent access to position information reflecting contents of the portfolio and the one or more other portfolios, and wherein the analytical engine and the computer do not receive position information in the portfolio and do not receive position information in the one or more other portfolios.