Methods and systems for providing book accounting indices

1. A system comprising:

memory operable to store at least one program; and

at least one processor communicatively coupled to the memory, in which the at least one program, when executed by the at least one processor, causes the at least one processor to:

access and process data regarding a first portfolio of securities identified as corresponding, at a specified time, to an index;

calculate, for said first portfolio, a first set of performance values comprising one or more of: book yield, book income, and book return;

calculate, for a second portfolio of securities, a second set of performance values corresponding to said first set of performance values; and

compare said second set of performance values to said first set of performance values to obtain a performance measure for said second portfolio.

2. A system as in claim 1 , wherein said first and second sets of performance values comprise book yield, book income, and book return.

3. A system as in claim 1 , wherein said securities are bonds.

4. A system as in claim 1 , wherein said index is a custom index.

5. A system as in claim 1 , wherein said first portfolio is managed according to a passive investment strategy.

6. A system as in claim 5 , wherein said passive investment strategy comprises a buy and hold strategy.

7. A system as in claim 5 , wherein said passive investment strategy comprises a modified buy and hold strategy.

8. A system as in claim 5 , wherein said passive investment strategy comprises a strategy of continually matching said index.

9. A system as in claim 5 , wherein said passive investment strategy comprises a strategy of tracking an external target variable.

10. A system as in claim 5 , wherein said passive investment strategy comprises replicating cash outflows from said second portfolio in said first portfolio by implementing corresponding cash outflow instructions.

11. A system as in claim 1 , wherein said first portfolio follows book accounting principles analogous to book accounting principles followed by said second portfolio.

12. A system as in claim 1 , wherein said securities comprise bonds, and wherein each bond's book yield equals said bond's bond-equivalent yield at time of purchase.

13. A system as in claim 1 , wherein said securities comprise bonds, and wherein each bond's book value equals said bond's market price at time of purchase.

14. A system as in claim 1 , wherein said securities comprise bonds, and wherein each bond's book return equals said bond's book income for a specified performance month divided by said bond's book value at the beginning of said specified performance month.

15. A system as in claim 1 , wherein said securities comprise bonds, and wherein each bond's book income equals said bond's book yield for a specified performance month multiplied by said bond's book value for the month immediately preceding said specified month, plus any necessary adjustments to said book income for said month immediately preceding said specified month, plus any final adjustments to said bond's final book value.

16. A system as in claim 1 , wherein said securities comprise one or more prepaying securities.

17. A system as in claim 16 , wherein for each of one or more of said prepaying securities, book yield is calculated using a prepayment vector.

18. A system as in claim 17 , wherein book yield is recalculated when actual prepayment experience or forecast of prepayments going forward differs from what was assumed in an initial month.

19. A system as in claim 1 , wherein said securities comprise one or more impaired credit bonds.

20. A system as in claim 19 , wherein each of one or more of said impaired credit bonds is assumed to be sold from said first portfolio at the end of a month in which said impaired credit bond is impaired.

21. A system as in claim 1 , wherein a cash flow generated by said first portfolio is re-invested in a portfolio corresponding to said index within two months of generation of said cash flow.

22. A system as in claim 21 , wherein said processor is further caused to compare said second set of performance values to said first set of performance values and performance values for each portfolio corresponding to a cash flow.

23. A method comprising:

reviewing a performance measure calculated by a computer based on a comparison of a first set of performance values for a first portfolio of securities and a second set of performance values for a second portfolio of securities,

wherein said first portfolio of securities corresponds, at a specified time, to an index;

wherein said first set of performance values comprise one or more of: book yield, book income, and book return; and

wherein said second set of performance values corresponds to said first set of performance values.

24. A method comprising:

accessing via a computer network a performance measure based on a comparison of a first set of performance values for a first portfolio of securities and a second set of performance values for a second portfolio of securities,

wherein said first portfolio of securities corresponds, at a specified time, to an index;

wherein said first set of performance values comprise one or more of: book yield, book income, and book return; and

wherein said second set of performance values corresponds to said first set of performance values.