Fixed income securities index

• US 8,306,892 B1
• Filed: 11/13/2008
• Issued: 11/06/2012
• Est. Priority Date: 11/15/2007
• Status: Active Grant

• Current Assignee: Pacific Investment Management Company, LLC
• Original Assignee: Pacific Investment Management Company, LLC
• Inventors: Gross, William H., Toloui, Ramin
• Primary Examiner(s): Norman, Samica L
• Application Number:
  US12/270,756
• Time in Patent Office: 1,454 Days
• Field of Search: 705/36, 705/36.R
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

An embodiment of a computer-implemented method of generating a financial index includes storing in a computer memory a regional weight for each of one or more regions, and, for each of the regions, a category weight for each of one or more categories of financial instruments issued from the region. At least one of the regional weights does not reflect a market capitalization of the respective region and may be based on, e.g., a gross domestic product for the region. The method also includes programmatically selecting one or more constituent financial instruments for the categories of financial instruments issued from the regions. In some implementations, the constituents do not include equity instruments. The method also includes programmatically calculating, for the categories and regions, subindices based at least in part on the constituent financial instruments, and determining the financial index based at least in part on the subindices, the category weights, and the regional weights.

Claims

1. A computer-implemented method of managing a fixed income financial index, the method comprising:

storing in a computer memory a regional weight for each of a plurality of regions of the world, each of the regional weights based at least in part on a gross domestic product for the region;

storing in a computer memory, for each of the plurality of regions, a category weight for each of a plurality of categories of fixed income financial instruments issued from the region;

storing in a computer memory asset data for a universe of fixed income instruments representing each of the plurality of categories of instruments in each of the plurality of regions, the fixed income instruments comprising one or more of the following;

(i) fixed income securities, (ii) fixed income derivatives, or (iii) fixed income forwards;

programmatically allocating, via execution of instructions by one or more computer processors, one or more constituent instruments from the universe of fixed income instruments to each of the plurality of categories in each of the plurality of regions;

programmatically determining a constituent weight for each of the constituents allocated to each of the plurality of categories in each of the plurality of regions;

programmatically calculating a subindex for each of the plurality of categories in each of the plurality of regions, each subindex based at least in part on the allocated constituents and the respective constituent weights, wherein the constituent weights for a first subindex comprise market capitalization weights and the constituent weights for a second subindex comprise gross-domestic product weights; and

programmatically transforming the subindices, the category weights, and the regional weights into a value for the financial index.

2. The method of claim 1, wherein the category weights for at least one region are equally-weighted or proportionally-weighted.

3. The method of claim 1, wherein the fixed-income instruments comprise (i) fixed income securities, (ii) fixed income derivatives, and (iii) fixed income forwards.

4. The method of claim 1, wherein the constituent weights for at least one category in at least one region are based at least in part on a gross domestic product of the respective region.

5. The method of claim 1, wherein programmatically transforming the subindices, the category weights, and the regional weights into a value for the financial index comprises calculating a total return for the financial index.

6. The method of claim 1, wherein programmatically transforming the subindices, the category weights, and the regional weights into a value for the financial index comprises calculating a return for the index that is at least partially currency hedged.

7. The method of claim 6, wherein the at least partially currency hedged return reflects currency hedging for all currencies represented in the financial index.

8. The method of claim 6, wherein the at least partially currency hedged return reflects currency hedging for a first set of currencies and no currency hedging for a second set of currencies.

9. The method of claim 8, wherein the first set of currencies comprise currencies from developed countries and the second set of currencies comprise currencies from emerging market countries.

10. The method of claim 1, further comprising programmatically calculating analytics associated with the financial index or a component of the financial index.

11. The method of claim 10, wherein the analytics comprise one or more of price, total return, market value, yield, duration, convexity, coupon, maturity, life, quality, option adjusted spread, option adjusted duration, option adjusted convexity, and spread to a benchmark.

12. The method of claim 1, wherein none of the regional weights reflects a market capitalization of the respective region.

13. The method of claim 1, wherein the regions comprise the United States and a plurality of emerging markets.

14. The method of claim 13, wherein the regions further comprise a plurality of countries in the Eurozone.

15. The method of claim 1, wherein at least one of the category weights does not reflect a market capitalization of the fixed income instruments included in the respective category.

16. The method of claim 15, wherein none of the category weights reflects a market capitalization of fixed income instruments included in the respective category.

17. The method of claim 15, wherein the at least one of the category weights is based at least in part on risk exposures for the fixed income instruments included in the respective category.

18. The method of claim 1, wherein the categories of fixed income financial instruments issued from at least one region comprise (i) derivatives or forwards based on underlying non-equity instruments, and at least one of (ii) inflation-linked government bonds, (iii) government debt denominated in non-domestic currency, or (iv) securitized debt.

19. The method of claim 18, wherein the derivatives comprise interest rate swaps.

20. The method of claim 1, wherein programmatically calculating a subindex comprises:

programmatically calculating the first subindex for which the constituent weights comprise market capitalization weights; and

programmatically calculating the second subindex for which the constituent weights comprise gross-domestic product weights.

21. The method of claim 1, wherein programmatically allocating one or more constituent instruments comprises:

programmatically allocating a first plurality of fixed income instruments from a first region comprising a developed country, the first plurality comprising instruments in at least each of the following asset classes;

(1) inflation-linked government debt and (2) interest rate swaps; and

programmatically allocating a second plurality of fixed income instruments from a second region comprising an emerging market country, the second plurality comprising instruments in at least the following asset class;

(3) government debt denominated in non-domestic currency.

22. The method of claim 21, wherein the first plurality further comprises instruments in the following asset classes:

(4) corporate debt and (5) securitized debt, and the second plurality further comprises instruments in the following asset classes;

(6) government debt denominated in domestic currency and (7) deliverable or non-deliverable currency forwards.