Systems and methods for analysis of portfolio returns and trade cost measurement based on fiduciary roles

1. A computer method for measuring trade costs, comprising:

capturing trade data, by a computer, over a predetermined time period;

capturing time stamp data, by a computer, 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;

performing an investment level analysis, by a computer, based on said trade data and said time stamp data.

2. A method as in claim 1 , wherein said time stamp data further comprises data regarding placement of said order.

3. A method as in claim 1 , wherein said investment level analysis comprises calculation of ideal investment level gain/loss.

4. A method as in claim 1 , wherein said investment level analysis comprises calculation of expected investment level gain/loss.

5. A method as in claim 1 , wherein said investment level analysis comprises calculation of actual investment level gain/loss.

6. A method as in claim 1 , wherein said investment level analysis comprises calculation of market investment level gain/loss.

7. A method as in claim 1 , wherein said investment level analysis comprises calculation of execution investment level gain/loss.

8. A computer method for measuring trade costs, comprising:

capturing trade data, by a computer, over a predetermined time period;

capturing time stamp data, by a computer, corresponding to said trade data; and

performing an order level analysis based on said trade data and said time stamp data.

9. A method as in claim 8 , wherein said order level analysis comprises calculation of ideal order level gain/loss.

10. Software for implementing the method of claim 8 , comprising:

(a) software for obtaining information from an order management system to produce a sequence of transactions to be measured;

(b) software for collecting and organizing information regarding securities transactions in a market of interest over the predetermined time period of claim 1 ;

(c) software for calculating the investment-level analysis of claim 1 , based on information received from (a) and (b); and

(d) software for selecting and summarizing information from (c) in response to a particular query.

11. Software for implementing the method of claim 8 , comprising:

(a) software for obtaining information from an order management system to produce a sequence of transactions to he measured;

(b) software for collecting and organizing information regarding securities transactions in a market of interest over the predetermined time period of claim 8 ;

(c) software for calculating the order-level analysis of claim 8 , based on information received from (a) and (b); and

(d) software for selecting and summarizing information from (c) in response to a particular query.

12. A method as in claim 3 , wherein calculation of said ideal investment level gain/loss comprises calculation of a difference between a period close price and an order open price.

13. A method as in claim 4 , wherein calculation of said expected investment level gain/loss comprises calculation of a difference between a period close price and an order length market clearing price.

14. A method as in claim 5 , wherein calculation of said actual investment level gain/loss comprises calculation of a difference between a period close price arid an order execution price.

15. A method as in claim 6 , wherein calculation of said market investment level gain/loss comprises calculation of a difference between an order open price and an order length market clearing price.

16. A method as in claim 7 , wherein calculation of said execution investment level gain/loss comprises calculation of a difference between an order length market clearing price and an order length execution price.

17. A method as in claim 9 , wherein calculation of said ideal order level gain/loss comprises calculation of a difference between an order close price and an order open price.

18. A method as in claim 8 , wherein said order level analysis comprises calculation of an expected order level gain/loss.

19. A method as in claim 18 , wherein calculation of said expected order level gain/loss comprises calculation of a difference between an order close price and an order length market clearing price.

20. A method as in claim 8 , wherein said order level analysis comprises calculation of an actual order level gain/loss.

21. A method as in claim 20 , wherein calculation of said actual order level gain/loss comprises calculation of a difference between an order close price and an order execution price.

22. A method as in claim 8 , wherein said order level analysis comprises calculation of a market order level gain/loss.

23. A method as in claim 22 , wherein calculation of said market order level gain/loss comprises calculation of a difference between an order open price and an order length market clearing price.

24. A method as in claim 8 , wherein said order level analysis comprises calculation of an execution order level gain/loss.

25. A method as in claim 24 , wherein calculation of said execution order level gain/loss comprises calculation of a difference between an order length market clearing price and an order length execution price.

26. A method as in claim 1 , further comprising performing an investment/order reconciliation level analysis based on said trade data and said time stamp data.

27. A method as in claim 26 , wherein said investment/order reconciliation level analysis comprises calculation of a difference between a period close price and an order close price.

28. A method as in claim 1 , further comprising performing a day level analysis based on said trade data and said time stamp data.

29. A method as in claim 28 , wherein said day level analysis comprises calculation of an ideal day level gain/loss.

30. A method as in claim 29 , wherein calculation of said ideal day level gain/loss comprises calculation of a difference between a day close price and a day open price.

31. A method as in claim 28 , wherein said day level analysis comprises calculation of an expected day level gain/loss,

32. A method as in claim 31 , wherein calculation of said expected day level gain/loss comprises calculation of a difference between a day close price and a day length market clearing price.

33. A method as in claim 28 , wherein said day level analysis comprises calculation of an actual day level gain/loss.

34. A method as in claim 33 , wherein calculation of said actual day level gain/loss comprises calculation of a difference between a day close price and a day length execution price.

35. A method as in claim 28 , wherein said day level analysis comprises calculation of a market day level gain/loss.

36. A method as in claim 35 , wherein calculation of said market day level gain/loss comprises calculation of a difference between a day open price and a day length market clearing price.

37. A method as in claim 28 , wherein said day level analysis comprises calculation of an execution day level gain/loss.

38. A method as in claim 37 , wherein calculation of said execution day level gain/loss comprises calculation of a difference between a day length market clearing price and a day length execution price.

39. A method as in claim 1 , further comprising performing an order/day reconciliation level analysis based cm said trade data and said time stamp data.

40. A method as in claim 39 , wherein said order/day reconciliation level analysis comprises calculation of a day level horizon difference gain/loss factor.

41. A method as in claim 40 , wherein calculation of said day level horizon difference gain/loss factor comprises calculation of a difference between a day open price and a last day close price.