Described herein is a method for creating indices of forecasts of performance regarding financial markets, in which a number (p) of performances for each element of a number (m) of markets and/or financial tools are considered as unknown variables; the method comprising the following steps: definition of an objective function (FO) as the sum of the squares of the differences of the homologous elements of the correlation matrix calculated on the variables and of the correlation matrix supplied as forecast, and minimization of said objective function (FO) using a non-linear programming algorithm for identification of global optima so as to obtain said indices of forecasts of performance regarding financial markets.
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