Systems and Methods for Analysis of Portfolio Returns and Trade Cost Measurement Based on Fiduciary roles

Abstract

Preferred embodiments of the present invention comprise, for example, a method for measuring trade costs, comprising (1) capturing trade data over a predetermined time period; (2) capturing time stamp data corresponding to said trade data, wherein said time stamp data comprises open events and close events, data regarding when an order is received by a buy-side trading desk from a portfolio manager; data regarding when execution of said order is completed, and data regarding when a manager decides to engage in trading regarding said order; and (3) performing an investment level analysis based on said trade data and said time stamp data. Further embodiments comprise systems and software for implementing the above method (and others) and utilizing information obtained therefrom.

1 .- 13 . (canceled) 
     
     
         14 . A computer system comprising:
 a computer programmed to:
 capture time stamp data associated with trading of a financial instrument, the time stamp data comprising:
 data describing a day and a time of day associated with a decision of a portfolio manager to engage in trading regarding the financial instrument; 
 data describing a day and a time of day associated with an action of the portfolio manager to transmit a buy-side trader order to a buy-side trader; 
 data describing a day and a time of day that a last execution of the buy-side trader order by the buy-side trader is completed; and 
 
 aggregate one or more trade executions of the portfolio manager into a portfolio-manager order; 
 identify a price associated with execution of the portfolio-manager order; 
 identify one or more reference prices corresponding to one or more events in a timeline associated with the portfolio-manager order; and 
 based on the price associated with the execution of the portfolio-manager order, the one or more reference prices and the time stamp data, determine a cost or a profit associated with the execution of the portfolio-manager order attributable to the portfolio manager. 
   
     
     
         15 . A computer system comprising:
 a computer programmed to:
 capture time stamp data associated with trading of a financial instrument, the time stamp data comprising:
 data describing a day and a time of day associated with a buy-side trader receiving an order from a portfolio manager associated with the trading of the financial instrument; 
 data describing a day and a time of day associated with an action of a buy-side trader to transmit a sell-side trader order to a sell-side trader; 
 data describing a day and a time of day that a last execution of the sell-side trader order by the sell-side trader is completed; and 
 
 aggregate one or more trade executions of the buy-side trader into a buy-side-trader order; 
 identify a price associated with execution of the buy-side trader order; 
 identify one or more reference prices corresponding to one or more events in a timeline associated with the buy-side trader order; and 
 based on the price associated with the execution of the buy-side trader order, the one or more reference prices and the time stamp data, determining a cost or a profit associated with the execution of the buy-side trader order attributable to the buy-side trader. 
   
     
     
         16 . A computer system comprising:
 a computer programmed to:
 capture time stamp data associated with trading of a financial instrument, the time stamp data comprising:
 data describing a day and a time of day associated with a sell-side trader receiving an order from a buy-side trader associated with the trading of the financial instrument; 
 data describing a day and a time of day associated with an action of a sell-side trader to transmit an order to a market; 
 data describing a day and a time of day that a last execution of the order by the market is completed; and 
 
 aggregate one or more trade executions of the sell-side trader into a sell-side-trader order; 
 identify a price associated with execution of the sell-side trader order; 
 identify one or more reference prices corresponding to one or more events in a timeline associated with the sell-side trader order; and 
 based on the price associated with the execution of the sell-side trader order, the one or more reference prices and the time stamp data, determine a cost or a profit associated with the execution of the sell-side trader order attributable to the sell-side trader. 
   
     
     
         17 . A computer system comprising:
 a computer programmed to:
 capture time stamp data associated with trading of a financial instrument, the time stamp data comprising:
 data describing a day and a time of day associated with a market receiving an order from a sell-side trader associated with the trading of the financial instrument; and 
 data describing a day and a time of day that execution of the order is completed; and 
 
 aggregate one or more executions of the market into a market order; 
 identify a price associated with execution of the market order; 
 identify one or more reference prices corresponding to one or more events in a timeline associated with the market order; and 
 based on the price associated with the execution of the order, the one or more reference prices and the time stamp data, determine a cost or a profit associated with the execution of the order attributable to the market.