Non-capitalization weighted indexing system, method and computer program product
First Claim
1. A computer implemented method for trading a plurality of financial securities based on an index, the method performed by at least one processor configured to perform the method, the method comprising enabling the at least one processor to perform:
- (A) selecting by the at least one processor a portfolio of financial securities for trading according to the index; and
(B) trading by the at least one processor one or more financial securities of said portfolio of financial securities based on the index,the index having been constructed based on a method of constructing the index configured to be performed by at least one processor, the method of constructing the index comprising enabling the at least one processor to perform;
(a) accessing by the at least one processor of one or more databases storing and permitting retrieval of data about a plurality of entities and a plurality of corresponding financial securities each issued by or having been issued by at least one of the plurality of entities;
(b) receiving by the at least one processor at least one criterion of the index;
(c) receiving by the at least one processor at least one objective measure of scale regarding one or more of the plurality of entities associated with said corresponding financial securities;
(d) retrieving by the at least one processor one or more of said data about a plurality of said entities and said corresponding financial securities;
(e) selecting a subset of said data by the at least one processor said one or more data to be a quantitative data reflecting the amount of said at least one objective measure of scale associated with each of said entities, wherein said objective measure of scale is substantially independent of;
(i) the market prices of any of said financial securities; and
(ii) the market capitalization of any of said entities,wherein said at least one objective measure of scale comprises a measure of the size of each said entity associated with each said given financial securities, and wherein said measure of the size of each said entity corresponding to each said financial securities comprises at least one of;
gross revenue of a said entity associated with a said financial security,sales of a said entity associated with a said financial security,debt to equity adjusted sales of a said entity,earnings of a said entity associated with a said financial security,income of a said entity associated with a said financial security,earnings before interest and tax (EBIT) of a said entity associated with a said financial security,earnings before interest, taxes, depreciation and amortization (EBITDA) of a said entity associated with a said financial security,number of employees of a said entity associated with a said financial security,book value of a said entity associated with a said financial security,cumulative retained cashflow of a said financial security,assets of a said entity associated with a said financial security,liabilities of a said entity associated with a said financial security,net worth of a said entity associated with a said financial security,cashflow of a said entity associated with a said financial security,any dividends of a said entity associated with a said financial security,any distribution to financial security holders by a said entity,any financial security buybacks by a said entity,an attribute relating to employees of a said entity associated with a said financial security,an attribute relating to floor space of a said entity associated with a said financial security,an attribute relating to office space of a said entity associated with a said financial security,an attribute relating to location of a said entity associated with a said financial security,a demographic measure (DM) of a said entity associated with a said financial security, ora measure relating to a demographic attribute of a said entity associated with a said financial security;
(f) ranking by the at least one processor said entities based upon a said quantitative data associated with the at least one objective measure of scale of each of said entities;
(g) selecting by the at least one processor a subset based on said at least one criterion of the index of financial securities of the entities meeting said at least one criterion of said quantitative data to comprise the plurality of constituent index financial securities exclusively comprising the index of financial securities; and
(h) calculating by the at least one processor percentage weights for the index of financial securities to be objective measure of scale weights substantially independent of(i) any of said market prices of any of said financial securities; and
(ii) any of said market capitalization of any of said entities,wherein the calculating comprises;
(i) adding the quantitative data of each of said at least one objective measure of scale for all of said constituent index financial securities to yield a sum total quantitative data for said at least one objective measure of scale; and
(ii) dividing a said quantitative data of a said at least one objective measure of scale for each said constituent index financial securities by the sum total quantitative data to yield the objective measure of scale weight of each of the constituent index financial securities comprising the index of financial securities,wherein said at least one objective measure of scale comprises a measure of the size of each said entity associated with each said given constituent index financial security, andwherein said measure of the size of each said entity corresponding to each said constituent index financial security comprises at least one of;
gross revenue of a said entity associated with said constituent index financial security,sales of a said entity associated with said constituent index financial security,debt to equity adjusted sales of a said entity associated with a said financial security,earnings of a said entity associated with a said financial security,income of a said entity associated with said constituent index financial security,earnings before interest and tax (EBIT) of a said entity associated with said constituent index financial security,earnings before interest, taxes, depreciation and amortization (EBITDA) of a said entity associated with said constituent index financial security,number of employees of a said entity associated with said constituent index financial security,book value of a said entity associated with said constituent index financial security,cumulative retained cashflow of a said entity,assets of a said entity associated with said constituent index financial security,liabilities of a said entity associated with said constituent index financial security,net worth of a said entity associated with said constituent index financial security,cashflow of a said entity associated with said constituent index financial security,any dividends of a said entity associated with said constituent index financial security,any distribution to financial security holders by a said entity,any financial security buybacks by a said entity,an attribute relating to employees of a said entity associated with said constituent index financial security,an attribute relating to floor space of a said entity associated with said constituent index financial security,an attribute relating to office space of a said entity associated with said constituent index financial security,an attribute relating to location of a said entity associated with said constituent index financial security,a demographic measure (DM) of a said entity associated with said constituent index financial security, ora measure relating to a demographic attribute of a said entity associated with said constituent index financial security.
1 Assignment
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Accused Products
Abstract
An investment system based on indexes created from various metrics is disclosed. The indexes may be built by selecting from a universe of assets, a subset using selection and weighting metrics substantially independent of market capitalization weighting, price weighting, or equal weighting. These metrics may include, but are not limited to book value, sales, dividends, cash flow, employees, demographics, etc. 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. As the data underlying the indexes change because of, e.g., economic activity, the index may be updated and may be used as a basis to rebalance the portfolio. Valuation indifferent indexes of the present invention avoid overexposure to overvalued securities and underexposure to undervalued securities, as compared with conventional capitalization-weighted price-weighted indexes.
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Citations
97 Claims
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1. A computer implemented method for trading a plurality of financial securities based on an index, the method performed by at least one processor configured to perform the method, the method comprising enabling the at least one processor to perform:
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(A) selecting by the at least one processor a portfolio of financial securities for trading according to the index; and (B) trading by the at least one processor one or more financial securities of said portfolio of financial securities based on the index, the index having been constructed based on a method of constructing the index configured to be performed by at least one processor, the method of constructing the index comprising enabling the at least one processor to perform; (a) accessing by the at least one processor of one or more databases storing and permitting retrieval of data about a plurality of entities and a plurality of corresponding financial securities each issued by or having been issued by at least one of the plurality of entities; (b) receiving by the at least one processor at least one criterion of the index; (c) receiving by the at least one processor at least one objective measure of scale regarding one or more of the plurality of entities associated with said corresponding financial securities; (d) retrieving by the at least one processor one or more of said data about a plurality of said entities and said corresponding financial securities; (e) selecting a subset of said data by the at least one processor said one or more data to be a quantitative data reflecting the amount of said at least one objective measure of scale associated with each of said entities, wherein said objective measure of scale is substantially independent of; (i) the market prices of any of said financial securities; and (ii) the market capitalization of any of said entities, wherein said at least one objective measure of scale comprises a measure of the size of each said entity associated with each said given financial securities, and wherein said measure of the size of each said entity corresponding to each said financial securities comprises at least one of; gross revenue of a said entity associated with a said financial security, sales of a said entity associated with a said financial security, debt to equity adjusted sales of a said entity, earnings of a said entity associated with a said financial security, income of a said entity associated with a said financial security, earnings before interest and tax (EBIT) of a said entity associated with a said financial security, earnings before interest, taxes, depreciation and amortization (EBITDA) of a said entity associated with a said financial security, number of employees of a said entity associated with a said financial security, book value of a said entity associated with a said financial security, cumulative retained cashflow of a said financial security, assets of a said entity associated with a said financial security, liabilities of a said entity associated with a said financial security, net worth of a said entity associated with a said financial security, cashflow of a said entity associated with a said financial security, any dividends of a said entity associated with a said financial security, any distribution to financial security holders by a said entity, any financial security buybacks by a said entity, an attribute relating to employees of a said entity associated with a said financial security, an attribute relating to floor space of a said entity associated with a said financial security, an attribute relating to office space of a said entity associated with a said financial security, an attribute relating to location of a said entity associated with a said financial security, a demographic measure (DM) of a said entity associated with a said financial security, or a measure relating to a demographic attribute of a said entity associated with a said financial security; (f) ranking by the at least one processor said entities based upon a said quantitative data associated with the at least one objective measure of scale of each of said entities; (g) selecting by the at least one processor a subset based on said at least one criterion of the index of financial securities of the entities meeting said at least one criterion of said quantitative data to comprise the plurality of constituent index financial securities exclusively comprising the index of financial securities; and (h) calculating by the at least one processor percentage weights for the index of financial securities to be objective measure of scale weights substantially independent of (i) any of said market prices of any of said financial securities; and (ii) any of said market capitalization of any of said entities, wherein the calculating comprises; (i) adding the quantitative data of each of said at least one objective measure of scale for all of said constituent index financial securities to yield a sum total quantitative data for said at least one objective measure of scale; and (ii) dividing a said quantitative data of a said at least one objective measure of scale for each said constituent index financial securities by the sum total quantitative data to yield the objective measure of scale weight of each of the constituent index financial securities comprising the index of financial securities, wherein said at least one objective measure of scale comprises a measure of the size of each said entity associated with each said given constituent index financial security, and wherein said measure of the size of each said entity corresponding to each said constituent index financial security comprises at least one of; gross revenue of a said entity associated with said constituent index financial security, sales of a said entity associated with said constituent index financial security, debt to equity adjusted sales of a said entity associated with a said financial security, earnings of a said entity associated with a said financial security, income of a said entity associated with said constituent index financial security, earnings before interest and tax (EBIT) of a said entity associated with said constituent index financial security, earnings before interest, taxes, depreciation and amortization (EBITDA) of a said entity associated with said constituent index financial security, number of employees of a said entity associated with said constituent index financial security, book value of a said entity associated with said constituent index financial security, cumulative retained cashflow of a said entity, assets of a said entity associated with said constituent index financial security, liabilities of a said entity associated with said constituent index financial security, net worth of a said entity associated with said constituent index financial security, cashflow of a said entity associated with said constituent index financial security, any dividends of a said entity associated with said constituent index financial security, any distribution to financial security holders by a said entity, any financial security buybacks by a said entity, an attribute relating to employees of a said entity associated with said constituent index financial security, an attribute relating to floor space of a said entity associated with said constituent index financial security, an attribute relating to office space of a said entity associated with said constituent index financial security, an attribute relating to location of a said entity associated with said constituent index financial security, a demographic measure (DM) of a said entity associated with said constituent index financial security, or a measure relating to a demographic attribute of a said entity associated with said constituent index financial security. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 29, 34, 35, 36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53, 54, 55, 56, 57, 58, 59, 60, 61, 62, 63, 64, 65, 66, 67, 68, 69, 70, 71, 72, 73, 74, 75, 76, 77, 78, 79, 80, 81, 82)
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20. The method of 1 wherein the index construction method further comprises:
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selecting by the at least one processor a universe (U) of entities based on any measure of size of said entities; selecting by the at least one processor a subset (SU) of said universe comprising selecting said entities of the subset of said universe based on at least one of;
said at least one objective measure of scale, at least one other objective measure of scale, or at least one additional objective measure of scale comprising a measure of the size of each said entity associated with each said given financial security, and wherein said measure of the size of each said entity corresponding to each said financial security comprises at least one of;gross revenue of a said entity associated with a said financial security, sales of a said entity associated with a said financial security, debt to equity adjusted sales of a said entity, earnings of a said entity associated with a said financial security, income of a said entity associated with a said financial security, earnings before interest and tax (EBIT) of a said entity associated with a said financial security, earnings before interest, taxes, depreciation and amortization (EBITDA) of a said entity associated with a said financial security, number of employees of a said entity associated with a said financial security, book value of a said entity associated with a said financial security, cumulative retained cashflow of a said entity, assets of a said entity associated with a said financial security, liabilities of a said entity associated with a said financial security, net worth of a said entity associated with a said financial security, cashflow of a said entity associated with a said financial security, any dividends of a said entity associated with a said financial security, any distribution to financial security holders by a said entity; any financial security buybacks by a said entity; an attribute relating to employees of a said entity associated with a said financial security, an attribute relating to floor space of a said entity associated with a said financial security, an attribute relating to office space of a said entity associated with a said financial security, an attribute relating to location of a said entity associated with a said financial security, a demographic measure (DM) of a said entity associated with a said financial security, any other non-price measure of size of a said entity associated with a said financial security, or a measure relating to a demographic attribute of a said entity associated with a said financial security. - View Dependent Claims (21, 22, 23, 24, 25, 26, 27, 28, 30, 31, 32, 33)
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83. A computer implemented method for trading a plurality of financial securities, the method performed by at least one processor configured to perform the method, the method comprising enabling the at least one processor to perform:
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(A) selecting by the at least one processor a portfolio of financial securities for trading according to an index of financial securities; and (B) trading by the at least one processor one or more financial securities of said portfolio of financial securities, based on the index of financial securities, the index of financial securities constructed based on a method of constructing the index of financial securities configured to be performed by at least one processor, the method of constructing the index of financial securities comprising enabling the at least one processor to perform; (a) gathering data by the at least one processor about the plurality of financial securities; (b) selecting by the at least one processor a plurality of the assets to create the index of financial securities based upon at least one objective measure of scale about one or more entities associated with the financial securities, wherein said selecting is substantially independent of a market price of the financial securities and a market capitalization of said entities, wherein said at least one objective measure of scale comprises a measure of the size of each said entity associated with each said given financial security, and wherein said measure of the size of each said entity corresponding to each said financial security comprises at least one of; gross revenue of a said entity associated with a said financial security, sales of a said entity associated with a said financial security, debt to equity adjusted sales of a said entity associated with a said financial security, earnings of a said entity associated with a said financial security, income of a said entity associated with a said financial security, earnings before interest and tax (EBIT) of a said entity associated with a said financial security, earnings before interest, taxes, depreciation and amortization (EBITDA) of a said entity associated with a said financial security, number of employees of a said entity associated with a said financial security, book value of a said entity associated with a said financial security, cumulative retained cashflow of a said entity, assets of a said entity associated with a said financial security, liabilities of a said entity associated with a said financial security, net worth of a said entity associated with a said financial security, cashflow of a said entity associated with a said financial security, any dividends of a said entity associated with a said financial security, any distribution to asset holders by a said entity, any financial security buybacks by a said entity, an attribute relating to employees of a said entity associated with a said financial security, an attribute relating to floor space of a said entity associated with a said financial security, an attribute relating to office space of a said entity associated with a said financial security, an attribute relating to location of a said entity associated with a said financial security, a demographic measure (DM) of a said entity associated with a said financial security, or a measure relating to a demographic attribute of a said entity associated with a said financial security; and (c) weighting by the at least one processor the constituent assets of the index of financial security to obtain constituent weightings based on at least one objective measure of scale regarding the entities associated with the financial security, wherein said at least one objective measure of scale comprises a measure of the size of each said entity associated with each said financial security, and wherein said measure of the size of each said entity corresponding to each said financial security comprises at least one of; gross revenue of a said entity associated with a said financial security, sales of a said entity associated with a said financial security, debt to equity adjusted sales of a said entity associated with a said financial security, earnings of a said entity associated with a said financial security, income of a said entity associated with a said financial security, earnings before interest and tax (EBIT) of a said entity associated with a said financial security, earnings before interest, taxes, depreciation and amortization (EBITDA) of a said entity associated with a said financial security, number of employees of a said entity associated with a said financial security, book value of a said entity associated with a said financial security, cumulative retained cashflow of a said entity, assets of a said entity associated with a said financial security, liabilities of a said entity associated with a said financial security, net worth of a said entity associated with a said financial security, cashflow of a said entity associated with a said financial security, any dividends of a said entity associated with a said financial security, any distribution to financial security holders by a said entity, any financial security buybacks by a said entity, an attribute relating to employees of a said entity associated with a said financial security, an attribute relating to floor space of a said entity associated with a said financial security, an attribute relating to office space of a said entity associated with a said financial security, an attribute relating to location of a said entity associated with a said financial security, a demographic measure (DM) of a said entity associated with a said financial security, or a measure relating to a demographic attribute of a said entity associated with a said financial security; and (i) wherein the weighting is substantially independent of the market price of the financial securities and a market capitalization of said entities; and (ii) wherein the weighting is substantially independent of; equal weighting; weighting in proportion to the market price of the financial securities; and weighting in proportion to market capitalization of the entities associated with the financial securities. - View Dependent Claims (84, 85, 86, 87, 88, 89, 90, 91, 92, 93, 94, 95, 96, 97)
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Specification