Using accounting data based indexing to create a portfolio of assets
First Claim
1. A computer-implemented method for construction of an index of financial objects, the computer-implemented method comprising:
- creating, by at least one computer, the index of the financial objects, said creating comprises;
selecting, by the at least one computer, financial objects as constituents of the index based upon at least one accounting data regarding entities issuing the financial objects rather than price of the financial objects, wherein the at least one accounting data comprises at least one of;
cash flow of the entities issuing the financial objects, sales of the entities issuing the financial objects, book value of the entities issuing the financial objects or any dividends of the entities issuing the financial objects; and
weighting, by the at least one computer, the constituents of the index based upon at least one accounting data regarding the entities issuing the financial objects rather than price of the financial objects, to obtain constituent weightings of the constituents of the index, wherein the at least one accounting data comprises at least one of;
cash flow of the entities issuing the financial objects, sales of the entities issuing the financial objects, book value of the entities issuing the financial objects or any dividends of the entities issuing the financial objects, andmanaging, by the at least one computer, the index, and managing at least one portfolio of financial objects based on the index comprising;
altering, by the at least one computer, the relative weightings of the financial objects within said at least one portfolio of financial objects based on the index as the at least one accounting data concerning the entities of the financial objects changes or the constituents of the index change over time.
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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.
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Citations
61 Claims
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1. A computer-implemented method for construction of an index of financial objects, the computer-implemented method comprising:
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creating, by at least one computer, the index of the financial objects, said creating comprises; selecting, by the at least one computer, financial objects as constituents of the index based upon at least one accounting data regarding entities issuing the financial objects rather than price of the financial objects, wherein the at least one accounting data comprises at least one of;
cash flow of the entities issuing the financial objects, sales of the entities issuing the financial objects, book value of the entities issuing the financial objects or any dividends of the entities issuing the financial objects; andweighting, by the at least one computer, the constituents of the index based upon at least one accounting data regarding the entities issuing the financial objects rather than price of the financial objects, to obtain constituent weightings of the constituents of the index, wherein the at least one accounting data comprises at least one of;
cash flow of the entities issuing the financial objects, sales of the entities issuing the financial objects, book value of the entities issuing the financial objects or any dividends of the entities issuing the financial objects, andmanaging, by the at least one computer, the index, and managing at least one portfolio of financial objects based on the index comprising; altering, by the at least one computer, the relative weightings of the financial objects within said at least one portfolio of financial objects based on the index as the at least one accounting data concerning the entities of the financial objects changes or the constituents of the index change over time. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52)
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53. A computer-implemented method for construction of a portfolio based on an index, wherein selecting financial objects as constituents of the index and weighting of the constituents of the index is based upon at least one accounting data regarding entities issuing the financial objects rather than price data of the financial object, the computer-implemented method comprising:
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creating, by at least one computer, the portfolio of financial objects comprising purchasing constituent financial objects of the index in proportion to constituent weightings of the constituents of the index, wherein the index was created by an index provider having; selected, by the at least one computer, financial objects as said constituents of the index based upon at least one accounting data regarding entities issuing the financial objects rather than price of the financial objects, wherein the at least one accounting data comprises at least one of;
cash flow of the entities issuing the financial objects, sales of the entities issuing the financial objects, book value of the entities issuing the financial objects or any dividends of the entities issuing the financial objects; andweighted, by the at least one computer, the constituents of the index based on at least one accounting data related to the entities of the financial objects rather than price of the financial objects, to obtain the constituent weightings of the constituents of the index, wherein the at least one accounting data comprises at least one of;
cash flow of the entities issuing the financial objects, sales of the entities issuing the financial objects, book value of the entities issuing the financial objects or any dividends of the entities issuing the financial objects, andmanaging the portfolio comprising; purchasing, by the at least one computer, financial objects at least one of;
added to the index or having increased constituent weighting over time; andselling, by the at least one computer, financial objects at least one of;
removed from the index or having decreased constituent weighting over time. - View Dependent Claims (54, 55)
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56. A computer-implemented method for construction of an index and portfolio of financial objects based upon cash flow, sales, book value, and any dividends of the financial objects, the computer-implemented method comprising:
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creating, by at least one computer, an index of the financial objects, comprising; selecting, by the at least one computer, a plurality of selected financial objects to be placed in said index wherein said selecting comprises; selecting, by the at least one computer, financial objects to be placed in said index based upon a cash flow, or a ratio of said cash flow, of an entity associated with a given financial object, selecting, by the at least one computer, the financial objects to be placed in said index based upon sales, or a ratio of said sales, of the entity associated with the given financial object, selecting, by the at least one computer, the financial objects to be placed in said index based upon a book value, or a ratio of said book value, of the entity associated with the given financial object, and selecting, by the at least one computer, the financial objects to be placed in said index based upon any dividends, or a ratio of said any dividends, of the entity associated with the given financial object; and weighting, by the at least one computer, said plurality of selected financial objects placed in said index, wherein said weighting comprises; weighting, by the at least one computer, said selected financial objects placed in said index based upon a cash flow, or a ratio of said cash flow, of an entity associated with a given financial object, weighting, by the at least one computer, said selected financial objects placed in said index based upon sales, or a ratio of said sales, of the entity associated with the given financial object, weighting, by the at least one computer, said selected financial objects placed in said index based upon a book value, or a ratio of said book value, of the entity associated with the given financial object, and weighting, by the at least one computer, said selected financial objects placed in said index based upon any dividends, or a ratio of said any dividends, of the entity associated with the given financial object; and creating, by the at least one computer, at least one portfolio of financial objects based on said index comprising; purchasing, by the at least one computer, said selected financial objects placed in said index in proportion to said weightings based upon said cash flow, said sales, said book value, and said any dividends, or said ratio of said cash flow, said ratio of said sales, said ratio of said book value, and said ratio of said any dividends, and placing said purchased financial objects into said at least one portfolio. - View Dependent Claims (57, 58, 59, 60, 61)
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Specification