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.