Alfredo P Diego

US Patent:

20070168270, Jul 19, 2007

Filed:

Jan 18, 2006

Appl. No.:

11/333541

Inventors:

Alfredo De Diego Arozamena - New York NY, US
Cristina Polizu - Great Neck NY, US
Ming Tang - New York NY, US

Assignee:

Standard & Poor's, a division of The McGraw-Hill Companies, Inc. - New York NY

International Classification:

G06Q 40/00

US Classification:

70503600R

Abstract:

A method for estimating future cash flows of an investment instrument (or portfolio of investment instruments) is performed by simulating past performance (i.e., cash flows similar instruments based on actual data of past performance, using the simulated past performance to generate a distribution of possible future performance outcomes of the investment instrument, and using the distribution of possible future performance outcomes to make estimates of the expected cash flow from the investment instrument. In one embodiment, cash flow time series of private equity funds (J-curves) are simulated for fully-liquidated vintage years by scaling an aggregate net cash flow time series from a plurality of fully liquidated funds for that vintage year. The time series is scaled by scalar coefficients calculated based on statistics of the four parameters, internal rate of return, money multiple, depth of curve, and speed to depth, of the aggregated vintage fund J-curves.