USING ACCOUNTING DATA BASED INDEXING TO CREATE A PORTFOLIO OF FINANCIAL OBJECTS

• US 20080288416A1
• Filed: 10/31/2007
• Published: 11/20/2008
• Est. Priority Date: 06/03/2002
• Status: Active Grant

• Current Assignee: Research Affiliates LLC (Research Affiliates Global Holdings LLC)
• Original Assignee: Research Affiliates LLC (Research Affiliates Global Holdings LLC)
• Inventors: Wood, Paul C., Arnott, Robert D.
• Granted Patent: US 8,005,740 B2
• Time in Patent Office: Days
• US Class Current: 705/36R
• CPC Class Codes: G06Q 30/02 Marketing; Price estimation or determination; Fundraising
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 40/12 Accounting

Abstract

A system, method and computer program product creates an index based on accounting based data, as well as a portfolio of financial objects based on the index where the portfolio is weighted according to accounting based data. A passive investment system may be based on indices created from various metrics. The indexes may be built with metrics other than market capitalization weighting, price weighting or equal weighting. Non-financial metrics may also be used to build indexes to create passive investment systems. Additionally, a combination of financial non-market capitalization metrics may be used along with non-financial metrics to create passive investment systems. Once the index is built, it may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted indexes and price-weighted indexes, in which the price of a security contributes in a substantial way to the calculation of the weight of that security in the index or the portfolio, and equal weighting weighted indexes. Valuation indifferent indexes avoid overexposure to overvalued securities and underexposure to undervalued securities, as compared with conventional capitalization-weighted and price-weighted.

Claims

1. A method, executed on a data processing system, comprising:

creating an accounting data based index (ADBI) based on accounting data including;

selecting a universe of financial objects,

selecting a subset of said financial objects of said universe based on at least one of said accounting data, and

weighting said subset of said universe according to at least one of said accounting data to obtain the ADBI; and

creating a portfolio of financial objects using the ADBI, including said subset of selected and weighted financial objects.

2. The method according to claim 1, wherein said universe comprises at least one of:

a sector;

a market;

a market sector;

an industry sector;

a geographic sector;

an international sector;

a sub-industry sector;

a government issue; and

/or

a tax exempt financial object;

agriculture, forestry, fishing and/or hunting industry sector;

mining industry sector;

utilities industry sector;

construction industry sector;

manufacturing industry sector;

wholesale trade industry sector;

retail trade industry sector;

transportation and/or warehousing industry sector;

information industry sector;

finance and/or insurance industry sector;

real estate and/or rental and/or leasing industry sector;

professional, scientific, and/or technical services industry sector;

management of companies and/or enterprises industry sector;

administrative and/or support and/or waste management and/or remediation services industry sector;

education services industry sector;

health care and/or social assistance industry sector;

arts, entertainment, and/or recreation industry sector;

accommodation and/or food services industry sector;

other services (except public administration) industry sector; and

/or

public administration industry sector.

3. The method according to claim 1, wherein said accounting based data used in weighting as a measure of value of the company associated with the financial object, comprises at least one of:

dividends, if any;

revenue;

cash flow;

book value;

collateral;

assets;

distributions;

funds from operations;

adjusted funds from operations;

earnings;

income;

liquidity;

country metrics including at least one of;

economic metrics, area, population, unemployment rate, reserves, resource consumption, democracy index, corruption index, government debt, private debt, government expenditures, nominal interest rate, commercial paper yield, consumer price index (CPI), purchasing power, relation of purchasing power to nominal exchange rate and any deviations from historical trend, and/or country current account flow;

said economic metrics including at least one of;

a gross domestic product (GDP), a gross national product (GNP), a gross net income (GNI), and/or a gross national debt (GND);

industry metrics including at least one of;

industry growth rate, total capital expenditures, inventories total—

end of year, average industry dividends, supplemental labor costs, inventories finished products—

end of year, new orders for manufactured goods, fuel costs, inventories work in process—

end of year, shipments, electric energy used, inventories, materials, supplies, fuels, etc.—

end of year, unfilled orders, inventories by stage of fabrication, value of manufacturers inventories by stage of fabrication—

beginning of year, Inventories Number of production workers, inventories total—

beginning of year, inventories-to-shipments ratio, payroll of production workers, inventories finished products—

beginning of year, value of product shipments, hours of production workers, inventories work in process—

beginning of year, statistics from department of commerce, industry associations, for industry groups and industries, cost of purchased fuels and electric energy, inventories, materials, supplies, fuels,—

beginning of year, geographic area statistics, electric energy quantity purchased, value of shipments—

total, annual survey of manufacturers (ASM), electric energy cost, value of shipments—

products, employment, electric energy generated, value of shipments—

total miscellaneous receipts, all employees payroll, electric energy sold and/or transferred, total miscellaneous receipts—

value of resales, all employees hours, cost of purchased fuels, total miscellaneous receipts—

contract receipts, all employees total, compensation, capital expenditure for plant and/or equipment total, other total miscellaneous receipts, all employees total fringe benefit costs, capital expenditure for plant and/or equipment—

buildings and/or other structures, interplant transfers, total cost of materials, capital expenditure for plant and equipment—

machinery and/or equipment total, costs of materials—

total, payroll, capital expenditure for plant and equipment—

autos, trucks, etc for highway use, costs of materials—

materials, parts, containers, packaging, value added by manufacture, capital expenditure for plant and equipment—

computers, peripheral data processing equipment, costs of materials—

resales, cost of materials consumed, capital expenditure for plant and equipment—

all other expenditures, costs of materials—

purchased fuels, value of shipments, value of manufacturers inventories by stage of fabrication—

end of year, costs of materials—

purchased electricity, costs of materials—

contract work, industry cost of capital, and/or average industry dividend;

employees;

margin;

profit margin;

term structure;

interest rate;

seasonal factor;

a financial ratio of a company;

a ratio of accounting based data;

a ratio of accounting based data per share;

a ratio of a first accounting based data to a second accounting based data;

a liquidity ratio;

a working capital ratio;

a current ratio;

a quick ratio;

a cash ratio;

an asset turnover ratio;

a receivables turnover ratio;

an average collection period ratio;

an average collection period ratio;

an inventory turnover ratio;

an inventory period ratio;

a leverage ratio;

a debt ratio;

a debt-to-equity ratio;

an interest coverage ratio;

a profitability ratio;

a return on common equity (ROCE) ratio;

profit margin ratio;

an earnings per share (EPS) ratio;

a gross profit margin ratio;

a return on assets ratio;

a return on equity ratio;

a dividend policy ratio;

a dividend yield ratio;

a payout ratio;

a capital market analysis ratio;

a price to earnings (PE) ratio; and

/or

a market to book ratio.

4. The method according to claim 3, wherein said accounting based data are weighted relatively dependent on the geography of the company associated with the financial object.

5. The method of claim 1, wherein said financial object comprises:

at least one unit of interest in at least one of;

an asset;

a liability;

a tracking portfolio;

a financial instrument and/or a security, wherein said financial instrument and/or said security denotes a debt, an equity interest, and/or a hybrid;

a derivatives contract, including at least one of;

a future, a forward, a put, a call, an option, a swap, and/or any other transaction relating to a fluctuation of an underlying asset, notwithstanding the prevailing value of the contract, and notwithstanding whether such contract, for purposes of accounting, is considered an asset or liability;

a commodity;

a financial position;

a currency position;

a trust, a real estate investment trust (REIT), a real estate operating company (REOC), and/or a portfolio of trusts;

a debt instrument comprising at least one of;

a bond, a debenture, a subordinated debenture, a mortgage bond, a collateral trust bond, a convertible bond, an income bond, a guaranteed bond, a serial bond, a deep discount bond, a zero coupon bond, a variable rate bond, a deferred interest bond, a commercial paper, a government security, a certificate of deposit, a Eurobond, a corporate bond, a government bond, a municipal bond, a treasury-bill, a treasury bond, a foreign bond, an emerging market bond, a high yield bond, a developed market bond, a junk bond, a collateralized instrument, an exchange traded note (ETN), and/or other agreements between a borrower and a lender;

a fund; and

/or

an investment entity or account of any kind, including an interest in, or rights relating to;

a hedge fund, an exchange traded fund (ETF), a fund of funds, a mutual fund, a closed end fund, an investment vehicle, and/or any other pooled and/or separately managed investments.

6. A computer-implemented method for constructing at least one of a high-yield debt instruments index and/or a portfolio of high-yield debt instruments based on the high yield debt instruments index, the method comprising:

selecting constituent high-yield debt instruments of said high-yield debt instruments index based upon at least one metric regarding the companies associated with said high-yield debt instruments,

wherein said at least one metric comprises at least one of sales, book value, cash flow, dividends if any, collateral, a composite of the other metrics, and/or ratios pertaining thereto; and

weighting said constituent high-yield debt instruments based upon at least one metric regarding the size of the companies associated with said high-yield debt instruments to obtain constituent weightings for each respective constituent high-yield debt instrument,

wherein said at least one metric comprises at least one of sales, book value, cash flow, dividends if any, collateral, a composite of the other metrics, and/or ratios pertaining thereto.

7. The computer-implemented method of claim 6, wherein said weighting is substantially exclusive of an influence of price of the companies.

8. The computer-implemented method of claim 6, wherein said weighting is not based on any of equal weighting, weighting in proportion to price, weighting in proportion to market capitalization, and/or weighting in proportion to free float.

9. The computer-implemented method of claim 6, wherein said at least one metric comprises data found within a generally accepted accounting principles (GAAP) company annual report and accounts (GAAP reports).

10. The computer-implemented method of claim 6, further comprising basing the constituent weightings of the high-yield debt instruments upon at least one of a ratio or a manipulation of the accounting data.

11. The computer-implemented method of claim 10, wherein the basing the constituent weightings upon at least one of a ratio or a manipulation of the accounting data comprises basing the constituent weightings on at least one of:

a relative size of the return on assets of said selected companies, the return on investment thereof, and/or the return on capital thereof compared to the cost of capital thereof, wherein said return is determined based on cash flow.

12. The computer-implemented method of claim 6, wherein the constituent weightings of the high-yield debt instruments within the high-yield debt instruments index or high yield debt instruments fund are altered as the accounting data concerning the companies in or outside the index changes.

13. The computer-implemented method of claim 12, wherein the constituent weightings of the high-yield debt instruments within the fund are altered when at least one of:

one or more of said companies report their quarterly and/or annual accounting information; and

/or at a pre-determined time after which the majority of said companies in the index have reported their quarterly and/or annual accounting data.

14. The computer-implemented method of claim 6, wherein said weighting comprises calculating said constituent weightings based upon said at least one accounting data.

15. The computer-implemented method of claim 14, wherein said calculating is performed by an index manager calculator.

16. A computer-implemented method for constructing at least one of an emerging markets financial objects index and/or an emerging markets financial objects portfolio of emerging market financial objects based on the emerging markets financial objects index, the method comprising:

selecting constituent emerging market financial objects of said emerging markets financial objects index based upon at least one accounting data regarding a company relating to said emerging market financial object and/or demographic data regarding the region, country, and/or sovereign associated with said emerging market financial object; and

weighting said constituent emerging market financial objects based upon at least one accounting and/or demographic data regarding the region, country and/or sovereign associated with said emerging market financial objects to obtain constituent weightings for each respective constituent emerging market financial object,

wherein said emerging market financial object comprises at least one of an emerging market debt instrument and/or an emerging market equity instrument, and

wherein said at least one accounting data and/or demographic data comprises at least one of a demographic measure, a population level, an area, a geographic area, an economic factor, a gross domestic product (GDP), GDP growth, a natural resource characteristic, an energy metric, a petroleum characteristic, a resource consumption metric, a petroleum consumption amount, a liquid natural gas (LNG) characteristic, a liquefied petroleum gas (LPG) characteristic, an expenditures characteristic, gross national income (GNI), a debt characteristic, a rate of inflation, a rate of unemployment, a reserves level, a population characteristic, a corruption characteristic, a democracy characteristic, a social metric, a political metric, a per capita ratio of any of the foregoing or any other characteristic, a derivative of any foregoing or any other characteristic and/or a ratio of two of the foregoing or any other characteristics.

17. The computer-implemented method of claim 16, wherein said weighting is not based on any of equal weighting, weighting in proportion to share price, weighting in proportion to market capitalization, and/or weighting in proportion to free float.

18. The computer-implemented method of claim 16, wherein the demographic data includes data found within a database of information pertaining to at least one of regions, sovereigns and/or countries.

19. The computer-implemented method of claim 16, further comprising basing the constituent weightings of the emerging market financial objects upon at least one of a ratio or a manipulation of the accounting and/or demographic data.

20. The computer-implemented method of claim 16, wherein the constituent weightings of the emerging market financial objects within the emerging markets financial objects index and/or emerging markets financial objects portfolio are altered as the accounting data and/or demographic data concerning the regions, countries and/or sovereigns in or outside the index changes.

21. The computer-implemented method of claim 16, wherein said weighting comprises calculating said constituent weightings based upon said at least one accounting data and/or demographic data.

22. A computer-implemented method for constructing at least one of a Real Estate Investment Trust (REIT) and/or Real Estate Operating Company (REOC) index or a REIT and/or REOC fund comprising a portfolio of REITs and/or REOCs based on the REIT and/or REOC index, the method comprising:

selecting constituent REITs and/or REOCs for said REIT and/or REOC index based upon at least one data metric of REIT and/or REOC size, wherein said data metric comprises at least one of revenues, adjusted funds from operations (AFFO), funds from operations (FFO), distributions, dividends, and/or assets; and

weighting said constituent REITs based upon at least one data metric of REIT and/or REOC size, wherein said data metric comprises at least one of revenues, adjusted funds from operations (AFFO), funds from operations (FFO), distributions, dividends, and/or assets, to obtain constituent weightings for each respective constituent REIT and/or REOC.

23. The computer-implemented method of claim 22, wherein said weighting is substantially exclusive of an influence of REIT and/or REOC price.

24. The computer-implemented method of claim 22, wherein said weighting is not based on any of equal weighting, weighting in proportion to REIT and/or REOC price, weighting in proportion to market capitalization, and/or weighting in proportion to free float.

25. The computer-implemented method of claim 22, wherein said at least one accounting data comprises at least one of total assets, funds from operations (FFO), adjusted funds from operations (AFFO), revenues, total dividend distributions, and/or ratios pertaining thereto.

26. The computer-implemented method of claim 25, wherein the accounting data includes data found within a. generally accepted accounting principles (GAAP) company annual report and accounts (GAAP reports).

27. The computer-implemented method of claim 22, further comprising basing the constituent weightings of the REITs upon at least one of a ratio or a manipulation of the accounting data.

28. The computer-implemented method of claim 27, wherein the basing the constituent weightings upon at least one of a ratio or a manipulation of the accounting data comprises basing the constituent weightings on at least one of:

a relative size of the return on assets of said selected companies, the return on investment thereof, and/or the return on capital thereof compared to the cost of capital thereof, wherein said return is determined based on at least one of funds from operations (FFO) or adjusted funds from operations (AFFO).

29. The computer-implemented method of claim 22, wherein the constituent weightings of the REITs within the REIT index or REIT fund are altered as the accounting data concerning the companies in or outside the index changes.

30. The computer-implemented method of claim 29, wherein the constituent weightings of the REITs within the fund are altered when at least one of:

one or more of said companies report their quarterly and/or annual accounting information; and

/or at a pre-determined time after which the majority of said companies in the index have reported their quarterly and/or annual accounting data.

31. The computer-implemented method of claim 22, wherein said weighting comprises calculating said constituent weightings based upon said at least one accounting data.

32. The computer-implemented method of claim 31, wherein said calculating is performed by an index manager computer system.

33. A computer-implemented method for constructing at least one of a currency instrument index and/or a currency instrument portfolio of currency and/or related foreign exchange (FX) instruments based on the currency instrument index, the method comprising:

selecting constituent currencies and/or FX instruments of said currency index based upon at least one accounting and/or demographic data regarding at least one of the regions, countries, and/or sovereigns associated with said currencies and/or FX instruments; and

weighting said constituent currencies and/or FX instruments based upon at least one accounting and/or demographic data regarding at least one of the regions, countries and/or sovereigns associated with said currencies and/or FX instruments to obtain constituent weightings for each respective constituent currency and/or FX instrument.

34. The computer-implemented method of claim 33, wherein said weighting is not based on any of equal weighting, weighting in proportion to share price, weighting in proportion to market capitalization, and/or weighting in proportion to free float.

35. The computer-implemented method of claim 33, wherein said at least one accounting or demographic data comprises at least one of a demographic measure;

a population level;

an area;

a geographic area;

an economic factor;

a gross domestic product (GDP);

GDP growth;

a natural resource characteristic;

a petroleum characteristic;

a resource consumption metric;

a petroleum consumption amount;

a liquid natural gas (LNG) characteristic;

a liquefied petroleum gas (LPG) characteristic;

an expenditures characteristic;

gross national income (GNI);

a debt characteristic;

a rate of inflation;

a rate of unemployment;

a reserves level;

a population characteristic;

a corruption characteristic;

a democracy characteristic;

a social metric;

a political metric;

nominal interest rates and the ratios of nominal interest rates between issuing sovereign entities;

commercial paper yield metric;

credit rating metric;

consumer price index (CPI);

purchasing power of local currency metric;

metrics measuring relations between the purchasing power of local currency metric and nominal exchange rates and deviations from historical trends in such metrics;

government exchange rate regime;

a per capita ratio of any of the foregoing or any other characteristic;

a derivative of any foregoing or any other characteristic and/or a ratio of two of the foregoing or any other characteristics.

36. The computer-implemented method of claim 35, wherein the demographic data includes data found within a database of information pertaining to regions, sovereigns and/or countries.

37. The computer-implemented method of claim 33, further comprising basing the constituent weightings of the currency and related FX instruments upon at least one of a ratio or a manipulation of the accounting data.

38. The computer-implemented method of claim 33, wherein the constituent weightings of the currency and related FX instruments within the currency index or currency fund are altered as the demographic data concerning the regions, countries, or sovereigns associated with currency or related debt instruments in or outside the index changes.

39. The computer-implemented method of claim 38, wherein the constituent weightings of the currency and related FX instruments within the FX fund are altered when at least one of:

one or more of said regions, countries or sovereigns report their quarterly and/or annual accounting or demographic information; and

/or at a pre-determined time after which the majority of said regions, countries, or sovereigns in the index have reported their quarterly and/or annual accounting or demographic data.

40. The computer-implemented method of claim 33, wherein said weighting comprises calculating said constituent weightings based upon said at least one accounting data.

41. The computer-implemented method of claim 33, wherein said calculating is performed by an index manager calculator.

42. A computer-implemented method for constructing at least one of a commodities index and/or a commodities portfolio of commodities and/or derivative instruments based on the commodities index, the method comprising:

selecting constituent commodities and/or derivative instruments of the commodities index based upon at least one accounting data regarding the companies or industries associated with said commodities; and

weighting said constituent commodities and/or derivative instruments based upon at least one accounting data regarding the companies and/or industries associated with production and consumption of the commodities to obtain constituent weightings for each respective commodity and/or derivative instrument.

43. The computer-implemented method of claim 42, wherein said weighting is substantially exclusive of an influence of share price of the companies or industries.

44. The computer-implemented method of claim 42, wherein said weighting is not based on any of equal weighting, weighting in proportion to share price, weighting in proportion to market capitalization, and/or weighting in proportion to free float.

45. The computer-implemented method of claim 42, wherein said at least one accounting data comprises at least one of sales, book value, cash-flow, any dividends, total assets, revenue, number of employees, profit margins, and/or collateral, and/or ratios pertaining thereto of the companies or industries responsible for the production and consumption of a commodity, total per unit cost of production of the commodity, the commodity reserves value, term structure of the commodity'"'"'s futures, momentum in price of the commodity, and any seasonal factors that affect the valuation of the commodity.

46. The computer-implemented method of claim 45, wherein the accounting data includes data found within a generally accepted accounting principles (GAAP) company annual report and accounts (GAAP reports).

47. The computer-implemented method of claim 42, further comprising basing the constituent weightings of the commodities and related derivative instruments upon at least one of a ratio or a manipulation of the accounting data.

48. The computer-implemented method of claim 47, wherein the basing the constituent weightings upon at least one of a ratio or a manipulation of the accounting data comprises basing the constituent weightings on at least one of:

a relative size of the return on assets of said companies or industries responsible for producing and consuming selected commodities, the return on investment thereof, and/or the return on capital thereof compared to the cost of capital thereof, wherein said return is determined based on cash flow.

49. The computer-implemented method of claim 42, wherein the constituent weightings of the commodities and related derivative instruments within the commodities index or commodities fund are altered as the accounting data concerning the companies or industries responsible for producing and consuming the commodities in or outside the index changes.

50. The computer-implemented method of claim 49, wherein the constituent weightings of the commodities and related derivative instruments within the fund are altered when at least one of:

one or more of said companies or industries report their quarterly and/or annual accounting information; and

/or at a pre-determined time after which the majority of said companies or industries responsible for producing and consuming the commodities in the index have reported their quarterly and/or annual accounting data.

51. The computer-implemented method of claim 42, wherein said weighting comprises calculating said constituent weightings based upon said at least one accounting data.

52. The computer-implemented method of claim 51, wherein said calculating is performed by an index manager calculator.

53. A computer-implemented method for the construction and management of a financial object index and/or a financial object market index fund containing a portfolio of financial objects based on the financial object market index, the method comprising:

creating a financial object market index, and/or at least one financial object market index fund including a portfolio of financial objects, wherein said creating comprises;

selecting constituent financial object of the financial object market index based upon at least one accounting data about the entities associated with the financial object, wherein said selecting is exclusive of a material influence of price, and

weighting the constituent financial object of the financial object market index to obtain constituent weightings based upon at least one accounting data regarding the entities associated with the financial objects, wherein said weighting is exclusive of a material influence of price of the financial object associated with the entity, and wherein said weighting is not based on any of equal weighting, weighting in proportion to share price of the stocks of the companies, weighting in proportion to market capitalization of the entities associated with the financial object, and/or weighting in proportion to free float.

54. The computer-implemented method of claim 53, further comprising basing the constituent weightings of the financial object upon at least one of:

a ratio and/or a manipulation of the accounting data.

55. The computer-implemented method of claim 53, wherein the constituent weightings of the financial object within the financial object market index fund are altered as the accounting data concerning the companies in or outside the index changes.

56. The computer-implemented method of claim 55, wherein the constituent weightings of the financial object within the financial object fund are altered when at least one of:

one or more of said companies report their quarterly and/or annual accounting information; and

/or at a pre-determined time after which the majority of said companies in the index have reported their quarterly and/or annual accounting data.

57. The computer-implemented method of claim 53, wherein the accounting data includes data found within a generally accepted accounting principles (GAAP) company annual report and accounts (GAAP reports).

58. The computer-implemented method of claim 53, wherein the accounting data includes at least one of:

relative size of profit of a company, and/or pre-exceptional profits, sales, assets, cash flow, shareholders'"'"' equity, and/or a return on investment of said entity.

59. The computer-implemented method of claim 53, wherein the accounting data comprise:

a weighted combination of sales, cash flow, and any other generally accepted accounting data.

60. The computer-implemented method of claim 59, wherein said data comprises at least one of any dividends, profit, assets and/or ratios pertaining thereto.

61. The computer-implemented method of claim 53, wherein the accounting data comprises at least one of any dividends, profit, assets, and any fundamental accounting item, and/or ratio pertaining thereto.

62. The computer-implemented method of claim 54, wherein the basing the constituent weightings upon at least one of a ratio and/or a manipulation of the accounting data comprises basing the constituent weightings on at least one of:

a relative size of the return on assets of said selected companies, the return on investment thereof, and/or the return on capital thereof compared to the cost of capital thereof.

63. The computer-implemented method of claim 53, wherein said creating comprises calculating said constituent weightings based upon said at least one accounting data.

64. The computer-implemented method of claim 63, wherein said calculating is performed by an index manager calculator.

65. A computer-implemented system for construction and management of a financial index and a portfolio based on the financial index, wherein the financial index is generated based on accounting data, the system comprising:

an index manager configured to create the financial index, and at least one portfolio based on the financial index, wherein constituent weightings of constituents of said portfolio are based upon at least one accounting data regarding a company associated with each of the constituents of said financial portfolio, the selection of the constituents of the financial index based upon at least one accounting data about the companies exclusive of a material influence of share price, and wherein the constituent weightings are exclusive of a material influence of share price of the companies and wherein the constituent weightings are not based on any of equal weighting, weighting in proportion to share price, weighting in proportion to market capitalization, and/or weighting in proportion to free float.

66. The system of claim 65, wherein said accounting based data comprises at least one of:

dividends and/or ratios related thereto.

70. The system of claim 66, wherein the accounting data comprises at least one of:

any dividends and/or ratios pertaining thereto.

67. A computer readable medium embodying program logic which when executed by a computer performs a method comprising:

creating a financial index, and at least one portfolio based on said financial index, wherein constituent weightings of constituents of said portfolio are based upon at least one accounting data regarding a company associated with each of the constituents of said portfolio, said creating comprising;

selecting constituents of said financial index based upon at least one accounting data about the companies exclusive of a material influence of share price, and

weighting said constituents based on at least one accounting data exclusive of a material influence of share price of the companies to obtain constituent weightings, wherein the constituent weightings are not based on any of equal weighting, weighting in proportion to share price, weighting in proportion to market capitalization, and/or weighting in proportion to free float.

68. The computer readable medium of claim 67, wherein the method further comprises:

creating said financial index, and said at least one portfolio, wherein said at least one accounting data comprises at least one of;

dividends and/or ratios pertaining thereto.

69. The method of claim 67, wherein the accounting data comprises at least one of:

any dividends and/or ratios pertaining thereto.

71. The computer readable medium of claim 67, wherein the accounting data comprises at least one of:

any dividends and/or ratios pertaining thereto.

72. A method for constructing a financial object market index based on accounting data, the method comprising:

creating a financial object market index comprising;

selecting constituent financial objects of said financial object market index based upon at least one accounting data regarding the companies associated with the financial objects, wherein said selecting is substantially exclusive of an influence of price, and

weighting said constituent financial object based upon at least one accounting data regarding the entities associated with the financial object to obtain constituent weightings, wherein said weighting is substantially exclusive of an influence of price of the financial object associated with the entity, and wherein said weighting is not based on any of equal weighting, weighting in proportion to share price, weighting in proportion to market capitalization, and/or weighting in proportion to free float.

73. A method for constructing a financial object market index fund containing a portfolio of stocks based on a financial object market index, the method comprising:

creating a financial object market index fund including a portfolio of financial objects based on the financial objects market index wherein the financial objects market index is created by selecting constituent stocks of the financial objects market index based upon at least one accounting data about the companies exclusive of a material influence of price, and by weighting the constituent financial objects of the financial objects market index based upon at least one accounting data regarding the companies whose financial objects are in the financial objects market index, wherein the weighting is exclusive of a material influence of price of the entities, and wherein the weighting is not based on any of equal weighting, weighting in proportion to share price, weighting in proportion to market capitalization, and/or weighting in proportion to free float.

74. The method of claim 73, wherein said financial objects market index fund is held by, or on behalf of, one or a plurality of investors.

75. The method of claim 73, wherein said selecting comprises selecting based upon at least one of:

a ratio of the accounting data; and

/or a manipulation of the accounting data.

76. The method of claim 73, wherein the accounting data includes at least one of:

relative size of a profits of a said entity; and

/or pre-exceptional profits, sales, assets, cash flow, shareholders'"'"' equity, and/or a return on investment of a said entity.

77. The method of claim 73, wherein said accounting data comprises any generally accepted accounting data.

78. The method of claim 73, wherein said creating the stock market index comprises selecting stocks from a set of entities having a publicly available periodic financial report.

79. The method of claim 78, wherein said set of companies is not substantially equivalent to any one of the S&

P 500 Index, and/or the Dow Jones Industrial Average.

80. The method of claim 78, wherein said selecting comprises:

selecting a subset from said set, wherein said set comprises at least one of substantially all of said companies having a publicly available periodic financial report, and/or a plurality of subsets of said set.

81. The method of claim 78, wherein said set comprises a collection of a plurality of partitioned subsets of financial objects.

82. The method of claim 78, wherein said index comprises a collection of a plurality of partitioned subindexes.

83. The method of claim 78, wherein said index is partitioned into subindexes based on any criterion.

84. The method of claim 78, wherein said set comprises a group of entities greater than 500 companies.

85. The method of claim 78, wherein said set comprises substantially all entities having publicly available periodic financial reports.

86. The method of claim 78, wherein said selecting comprises

eliminating from said set a subset of entities chosen according to at least one accounting data substantially independent of price.

87. The method of claim 86, wherein said weighting comprises

weighting the remaining companies after said eliminating, according to at least one accounting data.

88. The method of claim 86, wherein said eliminating comprises

eliminating based on illiquidity.

89. The method of claim 80, wherein said financial objects include at least one of:

substantially all U.S. financial objects, all financial objects in a market, all stocks in a sector of a market, and/or all stocks in a subset of a market.

90. The method of claim 80, wherein said stocks include U.S. stocks.

91. The method of claim 90, wherein said financial objects comprise securities.

92. The method of claim 73, wherein said financial objects comprise common financial objects.

93. The method of claim 73, wherein said financial objects market index fund is held by, or on behalf of, one or a plurality of investors.

94. A system, comprising:

an entity database storing aggregated accounting based data about a plurality of entities obtained from an external data source, each of said entities having at least one asset type associated therewith, said aggregated accounting based data comprising at least one non-market capitalization objective measure of scale metric associated with each said entity; and

an analysis host computer processing apparatus coupled to said entity database, said analysis host computer processing apparatus comprising;

a data retrieval and storage subsystem operative to retrieve said aggregated accounting based data from said entity database and store said aggregated accounting based data to said entity database;

an index generation subsystem comprising;

a selection subsystem operative to select a group of said entities based on at least one non-market capitalization objective measure of scale metric;

a weighting function generation subsystem operative to generate a weighting function based on at least one non-market capitalization objective measure of scale metric;

a index creation subsystem operative to create a non-market capitalization objective measure of scale index based on said group of selected entities and said weighting function; and

a storing subsystem operative to store said non-market capitalization objective measure of scale index.

95. The system according to claim 94, wherein said analysis host computer processing apparatus further comprises:

a normalization calculation sub-system operative to normalize said data for said at least one non-market capitalization objective measure of scale across said plurality of entities.

96. The system according to claim 94, wherein said at least one non-market capitalization objective measure of scale metric used by said selection subsystem differs from said at least one non-market capitalization objective measure of scale metric used by said weighting function generating subsystem.

97. The system according to claim 94, wherein said at least one non-market capitalization objective measure of scale metric used by said selection subsystem excludes any combination of:

market capitalization; and

/or

share price.

98. The system according to claim 94, wherein said at least one non-market capitalization objective measure of scale metric used by said weighting function generation subsystem excludes any combination of:

market capitalization weighting;

equal weighting; and

/or

share price weighting.

99. The system according to claim 94, wherein said selection subsystem is operative to:

(i) for each said entity, assign a percentage factor to each of a plurality of said at least one non-market capitalization objective measure of scale metric, each said percentage factor corresponding to the importance of a said at least one non-market capitalization objective measure of scale metric to said selection;

(ii) for each said entity, multiply each of said percentage factors with the corresponding non-market capitalization objective measure of scale metric thereof, to compute a selection relevance factor for said entity;

(iii) determine said selected group of entities by;

(A) comparing said selection relevance factors for said entities;

(B) ranking said entities based on said comparison;

(C) selecting a predetermined number of said entities having highest rankings to be said selected group of entities.

100. The system according to claim 94, wherein said weighting function generating subsystem is operative to:

(i) for each said entity comprising said selected group of entities, assign a percentage factor to each of a plurality of said at least one non-market capitalization objective measure of scale metric, each said percentage factor corresponding to the importance of a said at least one non-market capitalization objective measure of scale metric to said weighting; and

(ii) for each said entity comprising said selected group of entities, multiply each of said percentage factors with the corresponding non-market capitalization objective measure of scale metric thereof, said corresponding non-market capitalization objective measure of scale metric being a member of said plurality, to compute an entity function; and

(iii) set said weighting function as a combination of the totality of said entity functions.

101. The system according to claim 94, wherein each of said asset type comprises at least one of:

a stock;

a commodity;

a futures contract;

a bond;

a mutual fund;

a hedge fund;

a fund of funds;

an exchange traded fund (ETF);

a derivative; and

/or

a negative weighting on any asset.

102. The system according to claim 94, wherein said at least one asset type comprises a stock.

103. The system according to claim 94, wherein said at least one asset type comprises a commodity.

104. The system according to claim 94, wherein said at least one asset type comprises a futures contract.

105. The system according to claim 94, wherein said at least one asset type comprises a bond.

106. The system according to claim 94, wherein said at least one asset type comprises a mutual fund.

107. The system according to claim 94, wherein said at least one asset type comprises a hedge fund.

108. The system according to claim 94, wherein said at least one asset type comprises a fund of funds.

109. The system according to claim 94, wherein said at least one asset type comprises an exchange traded fund (ETF).

110. The system according to claim 94, wherein said at least one asset type comprises a derivative.

111. The system according to claim 94, wherein said at least one asset type comprises a negative weighting on any asset type.

113. The system according to claim 94, wherein said at least one non-market capitalization objective measure of scale metric comprises a measure of size of a said entity.

114. The system according to claim 113, wherein said measure of size of a said entity comprises at least one of:

gross revenue;

sales;

income;

earnings before interest and tax (EBIT);

earnings before interest, taxes, depreciation and amortization (EBITDA);

number of employees;

book value;

assets;

liabilities; and

/or

net worth.

115. The system according to claim 94, wherein said non-market capitalization objective measure of scale metric comprises a metric relating to an underlying asset type itself.

116. The system according to claim 115, wherein said asset type comprises at least one of:

a municipality;

a municipality issuing bonds; and

/or

a commodity.

117. The system according to claim 115, wherein said at least one non-market capitalization objective measure of scale metric comprises at least one of:

revenue;

profitability;

sales;

total sales;

foreign sales,

domestic sales;

net sales;

gross sales;

profit margin;

operating margin;

retained earnings;

earnings per share;

book value;

book value adjusted for inflation;

book value adjusted for replacement cost;

book value adjusted for liquidation value;

dividends;

assets;

tangible assets;

intangible assets;

fixed assets;

property;

plant;

equipment;

goodwill;

replacement value of assets;

liquidation value of assets;

liabilities;

long term liabilities;

short term liabilities;

net worth;

research and development expense;

accounts receivable;

earnings before interest and tax (EBIT);

earnings before interest, taxes, dividends, and amortization (EBITDA);

accounts payable;

cost of goods sold (CGS);

debt ratio;

budget;

capital budget;

cash budget;

direct labor budget;

factory overhead budget;

operating budget;

sales budget;

inventory system;

type of stock offered;

liquidity;

book income;

tax income;

capitalization of earnings;

capitalization of goodwill;

capitalization of interest;

capitalization of revenue;

capital spending;

cash;

compensation;

employee turnover;

overhead costs;

credit rating;

growth rate;

tax rate;

liquidation value of entity;

capitalization of cash;

capitalization of earnings;

capitalization of revenue;

cash flow; and

/or

future value of expected cash flow.

118. The system according to claim 94, wherein at least one non-market capitalization objective measure of scale metric comprises a ratio of any combination of two or more non-market capitalization objective measure of scale metrics.

119. The system according to claim 118, wherein said ratio of any combination of said objective measure of scale metrics comprise at least one of:

current ratio;

debt ratio;

overhead expense as a percent of sales; and

/or

debt service burden ratio.

120. The system according to claim 115, wherein said at least one non-market capitalization objective measure of scale metric comprises a demographic measure.

121. The system according to claim 120, wherein said demographic measure of scale comprises at least one of:

a measure relating to employees;

floor space;

office space;

location; and

/or

other demographics of an asset.

122. The system according to claim 113, wherein said measure of size of a said entity comprises at least a demographic measure.

123. The system according to claim 122, wherein said demographic measure comprises at least one of:

a non-financial metric;

a non-market related metric;

a number of employees;

floor space;

office space; and

/or

other demographics of the asset.

124. The system according to claim 94, wherein said at least one non-market capitalization objective metric comprises a metric relating to geography.

125. The system according to claim 124, wherein said geographic metric relating to geography comprises a geographic metric other than gross domestic product (GDP).

126. The system of claim 94, further comprising a trading host computer processing apparatus, coupled to said analysis host computer processing apparatus, and operative to construct a portfolio of assets comprising one or more trading assets, said trading host computer processing apparatus comprising:

an index retrieval subsystem operative to retrieve said non-market capitalization objective measure of scale index;

a trading accounts management subsystem operative to receive one or more data indicative of investment amounts from one or more investors;

a purchasing subsystem operative to permit purchasing of one or more of said trading assets using said investment amounts based on said non-market capitalization objective measure of scale index.

127. The system of claim 126, further comprising a trading accounts database coupled to said trading accounts management subsystem, said trading accounts database operative to store said one or more data indicative of said investment amounts.

128. The system of claim 126, further comprising an exchange host computer processing apparatus coupled to said purchasing subsystem, said exchange host computer processing apparatus operative to perform one or more functions of said purchasing subsystem.

129. The system of claim 126, wherein said asset type comprises at least one of:

a fund;

a mutual fund;

a fund of funds;

an asset account;

an exchange traded fund (ETF);

a separate account, a pooled trust; and

/or

a limited partnership.

130. The system according to claim 126, further comprising:

rebalancing a pre-selected group of trading assets based on said non-market capitalization objective measure of scale index.

131. The system according to claim 130, wherein said rebalancing is performed on a periodic basis.

132. The system according to claim 130, wherein said rebalancing is based on the group of assets reaching a predetermined threshold.

133. The system according to claim 126, further comprising:

applying one or more rules associated with said non-market capitalization objective measure of scale index.

134. The system according to claim 94, wherein the system may be used for at least one of:

investment management, and/or

investment portfolio benchmarking.

135. The system of claim 94, wherein the selection sub-system is operative to perform enhanced index investing, comprising:

computing said portfolio of assets in a fashion wherein at least one of;

holdings;

performance; and

/or characteristics, are substantially similar to an external index.

136. The system according to claim 94, wherein said weighting subsystem is further operative to weight based on a non-financial metric associated with each of said selected group of entities.

112. The system according to claim 948, wherein said negative weighting is performed for purposes of at least one of establishing and/or measuring performance for at least one of:

any security;

a portfolio of assets;

a hedge fund; and

/or

a long/short position.

137. A system operative to produce data indicative of the state of a plurality of entities, comprising:

(i) an entity database storing aggregated entity data about said plurality of entities obtained from an external data source, each of said entities having at least one object type associated therewith, said aggregated entity data comprising at least one objective metric associated with each said entity;

(ii) an input/output subsystem; and

(iii) an analysis host computer processing apparatus coupled to said entity database via said input/output subsystem, said analysis host computer processing apparatus comprising;

(A) a data retrieval and storage subsystem operative to retrieve said aggregated entity data from said entity database and store said aggregated entity data to said entity database;

(B) a data generation apparatus subsystem comprising;

(1) an object selection subsystem operative to select a group of said entities based on a said at least one objective metric;

(2) an object weighting function generating subsystem operative to generate a weighting function based on a said at least one objective metric;

(3) a data creating subsystem operative to create said data based on said group of selected entities and said weighting function;

(4) an object storing subsystem operative to store said data; and

(5) a displaying subsystem operative to generate for visual display said data indicative of the state of said plurality of entities.

138. The system according to claim 137, wherein

(i) said data comprises an index;

(ii) each said objective metric comprises a non-market capitalization objective measure of scale metric;

(iii) each said entity data comprises a corporate entity data; and

(iv) each said object type comprises an asset data of a said entity.

139. The system according to claim 138, wherein said analysis host computer processing apparatus further comprises:

a normalization calculation subsystem operative to normalize said data for a said at least one non-market capitalization objective measure of scale metric across a said plurality of entities.

140. The system according to claim 137, wherein said at least one objective metric used by said object selection subsystem differs from said at least one objective metric used by said object weighting function generating subsystem.

141. The system according to claim 137, wherein said at least one object metric used by said object selection subsystem excludes any combination of data regarding:

market capitalization; and

/or

share price.

142. The system according to claim 137, wherein said at least one object used by said object weighting function generating subsystem excludes any combination of data regarding:

market capitalization weighting;

equal weighting; and

/or

share price weighting.

143. The system according to claim 137, wherein said object selection subsystem comprises a selection subsystem operative to:

(i) for each said entity, assigning a percentage factor to each of a plurality of said at least one objective metric, each said percentage factor corresponding to the importance of a said at least one objective metric to said selection;

(ii) for each said entity, multiplying each of said percentage factors with the corresponding objective metric thereof, to compute a selection relevance factor for said entity; and

(iii) determining said selected group of entities by;

(A) comparing said selection relevance factors for said entities;

(B) ranking said entities based on said comparison; and

(C) selecting a predetermined number of said entities having highest rankings to be said selected group of entities.

144. The system according to claim 137, wherein said object weighting function generating subsystem is operative to:

(i) for each said entity comprising said selected group of entities, assigning a percentage factor to each of a plurality of said at least one objective metric, each said percentage factor corresponding to the importance of a said at least one objective metric to said weighting;

(ii) for each said entity comprising said selected group of entities, multiplying each of said percentage factors with the corresponding objective metric thereof, said corresponding objective metric being a member of said plurality, to compute an entity function; and

(iii) setting said weighting function as a combination of the totality of said entity functions.

145. The system according to claim 137, wherein each of said object types comprises data regarding an asset of a said entity, said asset comprising at least one of:

a stock;

a commodity;

a futures contract;

a bond;

a mutual fund;

a hedge fund;

a fund of funds;

an exchange traded fund (ETF);

a derivative; and

/or

a negative weighting on any asset.

146. The system according to claim 137, wherein a said at least one objective metric comprises data regarding a said entity, said data comprising data regarding at least one of:

revenue;

profitability;

sales;

total sales;

foreign sales,

domestic sales;

net sales;

gross sales;

profit margin;

operating margin;

retained earnings;

earnings per share;

book value;

book value adjusted for inflation;

book value adjusted for replacement cost;

book value adjusted for liquidation value;

dividends;

assets;

tangible assets;

intangible assets;

fixed assets;

property;

plant;

equipment;

goodwill;

replacement value of assets;

liquidation value of assets;

liabilities;

long term liabilities;

short term liabilities;

net worth;

research and development expense;

accounts receivable;

earnings before interest and tax (EBIT);

earnings before interest, taxes, dividends, and amortization (EBITDA);

accounts payable;

cost of goods sold (CGS);

debt ratio;

budget;

capital budget;

cash budget;

direct labor budget;

factory overhead budget;

operating budget;

sales budget;

inventory system;

type of stock offered;

liquidity;

book income;

tax income;

capitalization of earnings;

capitalization of goodwill;

capitalization of interest;

capitalization of revenue;

capital spending;

cash;

compensation;

employee turnover;

overhead costs;

credit rating;

growth rate;

tax rate;

liquidation value of entity;

capitalization of cash;

capitalization of earnings;

capitalization of revenue;

cash flow; and

/or

future value of expected cash flow.

147. The system of claim 137, further comprising a trading host computer processing apparatus, coupled to said analysis host computer processing apparatus, and operative to construct a portfolio of assets comprising one or more trading assets, said trading host computer processing apparatus comprising:

a data retrieval subsystem operative to retrieve said data;

a trading accounts management subsystem operative to receive one or more data indicative of investment amounts from one or more investors; and

a purchasing subsystem operative to permit purchasing of one or more of said trading assets using said investment amounts based on said data.

148. The system of claim 147, further comprising a trading accounts database coupled to said trading accounts management subsystem, said trading accounts database operative to store said one or more data indicative of said investment amounts.

149. The system of claim 147, further comprising an exchange host computer processing apparatus coupled to said purchasing subsystem, said exchange host computer processing apparatus operative to perform one or more functions of said purchasing subsystem.

150. The system according to claim 147, further comprising:

a rebalancing computational subsystem operative to rebalance a pre-selected group of trading assets based on said data.

151. The system according to claim 147, wherein said rebalancing computational subsystem performs rebalancing on a periodic basis.

152. The system according to claim 147, wherein said rebalancing computational subsystem performs rebalancing based on the trading assets reaching a predetermined threshold.