Valuation indifferent non-capitalization weighted index and portfolio
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First Claim
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1. A method of constructing an index of assets (I), the method implemented by at least one analysis host processor, the at least one analysis host processor comprising at least one computer processor, the method comprising:
- (a) accessing by the at least one analysis host processor of one or more databases storing and permitting retrieval of data (D) about a plurality of entities (E) and a plurality of corresponding assets (A) each issued by or having been issued by at least one of the plurality of entities (E);
(b) receiving by the at least one analysis host processor at least one objective measure of scale (O) regarding one or more of the plurality of said assets, or one or more of the plurality of said entities (E) associated with said corresponding assets (A);
(c) retrieving by the at least one analysis host processor one or more of said data (D) about said plurality of said entities (E) and said corresponding assets (A);
(d) selecting by the at least one analysis host processor a selection from said plurality of said assets (A) and said entities (E) to comprise a plurality of constituent index assets (IA) comprising the index of assets (I), wherein said selecting comprises;
(i) selecting by the at least one analysis host processor said one or more data (D) to be a quantitative data (Q) reflecting the amount of said at least one objective measure of scale (O) associated with each of said entities, wherein said at least one objective measure of scale (O) is substantially independent of the market prices (P) of any of said assets (A) and is substantially independent of a market capitalization (MC) of any of said entities (E),wherein said at least one objective measure of scale (O) comprises a measure of size (SZ) of each said entity (E) associated with each said given asset (A), and wherein said measure of the size (SZ) of each said entity (E) corresponding to each said asset (A) comprises at least one of;
a demographic measure of a said entity (E) associated with said asset (A);
a financial metric of a said entity (E) associated with said asset (A);
a metric from information disclosures of a publicly traded entity;
ora metric from information about a said entity (E) associated with said asset (A);
(ii) ranking by the at least one analysis host processor said entities (E) based upon at least one of a said quantitative data (Q) associated with the at least one objective measure of scale (O) of each of said entities (E); and
(iii) selecting by the at least one analysis host processor said selection from said plurality of said assets (A) or said entities (E) to comprise said plurality of constituent index assets (IA) based on said ranking; and
(e) calculating by the at least one analysis host processor proportional weights for the index of assets to be objective measure of scale weights (OW) substantially independent of the market prices (P) of any of said assets (A) and substantially independent of a market capitalization (MC) of any of said entities (E), wherein said calculating comprises;
(i) adding by the at least one analysis host processor the quantitative data (Q) of each of said at least one objective measure of scale (O) for all of said constituent index assets (IA) to yield a sum total quantitative data (SUMQ) for said at least one objective measure of scale (O); and
(ii) determining by the at least one analysis host processor a relative size of the quantitative data (Q) of a said at least one objective measure of scale (O) for each said constituent index asset (IA) as a proportion of said sum total quantitative data (SUMQ) for said at least one objective measure of scale (O) to yield the objective measure of scale weight (OW) of each of the constituent index assets (IA) comprising the index of assets (I),wherein said at least one objective measure of scale (O) comprises a measure of size (SZ) of each said entity (E) associated with each said given constituent index asset (IA), and wherein said measure of the size (SZ) of each said entity (E) corresponding to each said constituent index asset (IA) comprises at least one of;
a demographic measure of a said entity (E) associated with said constituent index asset (IA);
a financial metric of a said entity (E) associated with said constituent index asset (IA);
a metric from information disclosures of a publicly traded entity;
ora metric from information about a said entity (E) associated with said constituent index asset (IA).
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Abstract
A passive investment system based on indices created from various metrics is disclosed. The indexes may be built by selecting and weighting securities by an objective measure of scale such as accounting metrics rather than market capitalization weighting, price weighting or equal weighting. Various financial, accounting, and non-financial metrics may be used to build an index. 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.
267 Citations
88 Claims
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1. A method of constructing an index of assets (I), the method implemented by at least one analysis host processor, the at least one analysis host processor comprising at least one computer processor, the method comprising:
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(a) accessing by the at least one analysis host processor of one or more databases storing and permitting retrieval of data (D) about a plurality of entities (E) and a plurality of corresponding assets (A) each issued by or having been issued by at least one of the plurality of entities (E); (b) receiving by the at least one analysis host processor at least one objective measure of scale (O) regarding one or more of the plurality of said assets, or one or more of the plurality of said entities (E) associated with said corresponding assets (A); (c) retrieving by the at least one analysis host processor one or more of said data (D) about said plurality of said entities (E) and said corresponding assets (A); (d) selecting by the at least one analysis host processor a selection from said plurality of said assets (A) and said entities (E) to comprise a plurality of constituent index assets (IA) comprising the index of assets (I), wherein said selecting comprises; (i) selecting by the at least one analysis host processor said one or more data (D) to be a quantitative data (Q) reflecting the amount of said at least one objective measure of scale (O) associated with each of said entities, wherein said at least one objective measure of scale (O) is substantially independent of the market prices (P) of any of said assets (A) and is substantially independent of a market capitalization (MC) of any of said entities (E), wherein said at least one objective measure of scale (O) comprises a measure of size (SZ) of each said entity (E) associated with each said given asset (A), and wherein said measure of the size (SZ) of each said entity (E) corresponding to each said asset (A) comprises at least one of; a demographic measure of a said entity (E) associated with said asset (A); a financial metric of a said entity (E) associated with said asset (A); a metric from information disclosures of a publicly traded entity;
ora metric from information about a said entity (E) associated with said asset (A); (ii) ranking by the at least one analysis host processor said entities (E) based upon at least one of a said quantitative data (Q) associated with the at least one objective measure of scale (O) of each of said entities (E); and (iii) selecting by the at least one analysis host processor said selection from said plurality of said assets (A) or said entities (E) to comprise said plurality of constituent index assets (IA) based on said ranking; and (e) calculating by the at least one analysis host processor proportional weights for the index of assets to be objective measure of scale weights (OW) substantially independent of the market prices (P) of any of said assets (A) and substantially independent of a market capitalization (MC) of any of said entities (E), wherein said calculating comprises; (i) adding by the at least one analysis host processor the quantitative data (Q) of each of said at least one objective measure of scale (O) for all of said constituent index assets (IA) to yield a sum total quantitative data (SUMQ) for said at least one objective measure of scale (O); and (ii) determining by the at least one analysis host processor a relative size of the quantitative data (Q) of a said at least one objective measure of scale (O) for each said constituent index asset (IA) as a proportion of said sum total quantitative data (SUMQ) for said at least one objective measure of scale (O) to yield the objective measure of scale weight (OW) of each of the constituent index assets (IA) comprising the index of assets (I), wherein said at least one objective measure of scale (O) comprises a measure of size (SZ) of each said entity (E) associated with each said given constituent index asset (IA), and wherein said measure of the size (SZ) of each said entity (E) corresponding to each said constituent index asset (IA) comprises at least one of; a demographic measure of a said entity (E) associated with said constituent index asset (IA); a financial metric of a said entity (E) associated with said constituent index asset (IA); a metric from information disclosures of a publicly traded entity;
ora metric from information about a said entity (E) associated with said constituent index asset (IA). - 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)
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42. A system for constructing an index of assets (I), comprising:
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at least one analysis host comprising at least one computer processor; and at least one memory coupled to said at least one processor, wherein said analysis host is configured to; access by the at least one processor one or more databases storing and permitting retrieval of data (D) about a plurality of entities (E) and a plurality of corresponding assets (A) each issued by or having been issued by at least one of the plurality of entities (E); receive by the at least one processor at least one objective measure of scale (O) regarding one or more of the plurality of assets (A), or one or more of the plurality of entities (E) associated with said corresponding assets (A); retrieve by the at least one processor one or more of said data (D) about said plurality of said entities (E) and said corresponding assets (A); select by the at least one processor a selection from said plurality of said assets (A) or said entities (E) to comprise a plurality of constituent index assets (IA) comprising the index of assets (I), wherein said select comprises wherein said analysis host is configured to; select by the at least one processor said one or more data (D) to be a quantitative data (Q) reflecting the amount of said at least one objective measure of scale (O) associated with each of said entities, wherein said at least one objective measure of scale (O) is substantially independent of the market prices (P) of any of said assets (A) and is substantially independent of a market capitalization (MC) of any of said entities (E), wherein said at least one objective measure of scale (O) comprises a measure of size (SZ) of each said entity (E) associated with each said given asset (A), and wherein said measure of the size (SZ) of each said entity (E) corresponding to each said asset (A) comprises at least one of; a demographic measure of a said entity (E) associated with said asset (A); a financial metric of a said entity (E) associated with said asset (A); a metric from information disclosures of a publicly traded entity;
ora metric from information about a said entity (E) associated with said asset (A); rank by the at least one processor said entities (E) based upon at least one of a said quantitative data (Q) associated with the at least one objective measure of scale (O) of each of said entities (E); and select by the at least one processor said selection from said plurality of said assets (A) or said entities (E) to comprise said plurality of constituent index assets (IA) based on said ranking; and calculate by the at least one processor proportional weights for the index of assets to be objective measure of scale weights (OW) substantially independent of the market prices (P) of any of said assets (A) and substantially independent of a market capitalization (MC) of any of said entities (E), wherein said calculate comprises wherein said analysis host is configured to; add by the at least one processor the quantitative data (Q) of each of said at least one objective measure of scale (O) for all of said constituent index assets (IA) to yield a sum total quantitative data (SUMQ) for said at least one objective measure of scale (O); and determine by the at least one processor a relative size of the quantitative data (Q) of a said at least one objective measure of scale (O) for each said constituent index asset (IA) as a proportion of said sum total quantitative data (SUMQ) for said at least one objective measure of scale (O) to yield the objective measure of scale weight (OW) of each of the constituent index assets (IA) comprising the index of assets (I), wherein said at least one objective measure of scale (O) comprises a measure of size (SZ) of each said entity (E) associated with each said given constituent index asset (IA), and wherein said measure of the size (SZ) of each said entity (E) corresponding to each said constituent index asset (IA) comprises at least one of; a demographic measure of a said entity (E) associated with said constituent index asset (IA); a financial metric of a said entity (E) associated with said constituent index asset (IA); a metric from information disclosures of a publicly traded entity;
ora metric from information about a said entity (E) associated with said constituent index asset (IA). - View Dependent Claims (43, 44)
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45. A computer-implemented index construction system, comprising:
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at least one analysis host comprising at least one processor; and at least one memory coupled to said at least one processor, wherein said analysis host is configured to; access one or more databases storing and permitting retrieval of data (D) about a plurality of entities (E) and a plurality of corresponding assets (A) each issued by or having been issued by at least one of the plurality of entities (E); receive at least one objective measure of scale (O) regarding one or more of the plurality of said assets, or one or more of the plurality of entities (E) associated with said corresponding assets (A); retrieve one or more of said data (D) about a plurality of said entities (E) and said corresponding assets (A); select a selection from said plurality of said assets (A) or said entities (E) to comprise a plurality of constituent index assets (IA) comprising the index of assets (I), wherein said select comprises wherein said analysis host is configured to; select said one or more data (D) to be a quantitative data (Q) reflecting the amount of said at least one objective measure of scale (O) associated with each of said entities, wherein said at least one objective measure of scale (O) is substantially independent of the market prices (P) of any of said assets (A) and is substantially independent of a market capitalization (MC) of any of said entities (E), wherein said at least one objective measure of scale (O) comprises a measure of size (SZ) of each said entity (E) associated with each said given asset (A), and wherein said measure of the size (SZ) of each said entity (E) corresponding to each said asset (A) comprises at least one of; a demographic measure of a said entity (E) associated with said asset (A); a financial metric of a said entity (E) associated with said asset (A); a metric from information disclosures of a publicly traded entity;
ora metric from information about a said entity (E) associated with said asset (A); rank said entities (E) based upon at least one of a said quantitative data (Q) associated with the at least one objective measure of scale (O) of each of said entities (E); and select said selection from said plurality of said assets (A) or said entities (E) to comprise said plurality of constituent index assets (IA) based on said ranking; and calculate proportional weights for the index of assets to be objective measure of scale weights (OW) substantially independent of the market prices (P) of any of said assets (A) and substantially independent of a market capitalization (MC) of any of said entities (E), wherein said calculate comprises wherein said analysis host is configured to; add the quantitative data (Q) of each of said at least one objective measure of scale (O) for all of said constituent index assets (IA) to yield a sum total quantitative data (SUMQ) for said at least one objective measure of scale (O); and determine a relative size of the quantitative data (Q) of a said at least one objective measure of scale (O) for each said constituent index asset (IA) as a proportion of said sum total quantitative data (SUMQ) for said at least one objective measure of scale (O) to yield the objective measure of scale weight (OW) of each of the constituent index assets (IA) comprising the index of assets (I), wherein said at least one objective measure of scale (O) comprises a measure of size (SZ) of each said entity (E) associated with each said given constituent index asset (IA), and wherein said measure of the size (SZ) of each said entity (E) corresponding to each said constituent index asset (IA) comprises at least one of; a demographic measure of a said entity (E) associated with said constituent index asset (IA); a financial metric of a said entity (E) associated with said constituent index asset (IA); a metric from information disclosures of a publicly traded entity;
ora metric from information about a said entity (E) associated with said constituent index asset (IA). - View Dependent Claims (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, 83, 84)
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85. A computer program product embodied on a machine readable storage medium that provides instructions which when executed by at least one analysis host processor, causes said at least one analysis host processor to perform operations comprising a method of constructing an index of assets, the method comprising:
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(a) accessing by the at least one analysis host processor of one or more databases storing and permitting retrieval of data (D) about a plurality of entities (E) and a plurality of corresponding assets (A) each issued by or having been issued by at least one of the plurality of entities (E); (b) receiving by the at least one analysis host processor at least one objective measure of scale (O) regarding one or more of the plurality of said assets, or one or more of the plurality of entities (E) associated with said corresponding assets (A); (c) retrieving by the at least one analysis host processor one or more of said data (D) about said plurality of said entities (E) and said corresponding assets (A); (d) selecting by the at least one analysis host processor a selection from said plurality of said assets (A) or said entities (E) to comprise a plurality of constituent index assets (IA) comprising the index of assets (I), wherein said selecting comprises; (i) selecting by the at least one analysis host processor said one or more data (D) to be a quantitative data (Q) reflecting the amount of said at least one objective measure of scale (O) associated with each of said entities, wherein said at least one objective measure of scale (O) is substantially independent of the market prices (P) of any of said assets (A) and is substantially independent of a market capitalization (MC) of any of said entities (E), wherein said at least one objective measure of scale (O) comprises a measure of size (SZ) of each said entity (E) associated with each said given asset (A), and wherein said measure of the size (SZ) of each said entity (E) corresponding to each said asset (A) comprises at least one of; a demographic measure of a said entity (E) associated with said asset (A); a financial metric of a said entity (E) associated with said asset (A); a metric from information disclosures of a publicly traded entity;
ora metric from information about a said entity (E) associated with said asset (A); (ii) ranking by the at least one analysis host processor said entities (E) based upon at least one of a said quantitative data (Q) associated with the at least one objective measure of scale (O) of each of said entities (E); and (iii) selecting by the at least one analysis host processor said selection from said plurality of said assets (A) or said entities (E) to comprise said plurality of constituent index assets (IA) based on said ranking; and (e) calculating by the at least one analysis host processor proportional weights for the index of assets to be objective measure of scale weights (OW) substantially independent of the market prices (P) of any of said assets (A) and substantially independent of a market capitalization (MC) of any of said entities (E), wherein said calculating comprises; (i) adding by the at least one analysis host processor the quantitative data (Q) of each of said at least one objective measure of scale (O) for all of said constituent index assets (IA) to yield a sum total quantitative data (SUMQ) for said at least one objective measure of scale (O); and (ii) determining by the at least one analysis host processor a relative size of the quantitative data (Q) of a said at least one objective measure of scale (O) for each said constituent index asset (IA) as a proportion of said sum total quantitative data (SUMQ) for said at least one objective measure of scale (O) to yield the objective measure of scale weight (OW) of each of the constituent index assets (IA) comprising the index of assets (I), wherein said at least one objective measure of scale (O) comprises a measure of size (SZ) of each said entity (E) associated with each said given constituent index asset (IA), and wherein said measure of the size (SZ) of each said entity (E) corresponding to each said constituent index asset (IA) comprises at least one of; a demographic measure of a said entity (E) associated with said constituent index asset (IA); a financial metric of a said entity (E) associated with said constituent index asset (IA); a metric from information disclosures of a publicly traded entity;
ora metric from information about a said entity (E) associated with said constituent index asset (IA). - View Dependent Claims (86, 87, 88)
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Specification
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Litigation Data
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Current AssigneeResearch Affiliates LLC (Research Affiliates Global Holdings LLC)
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Original AssigneeResearch Affiliates LLC (Research Affiliates Global Holdings LLC)
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InventorsArnott, Robert D.
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Primary Examiner(s)Kalinowski, Alexander
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Assistant Examiner(s)JOHNSON, GREGORY L
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Application NumberUS10/961,404Publication NumberTime in Patent Office2,156 DaysField of Search705/35, 705/36, 705/36.RUS Class Current705/35CPC Class CodesG06Q 40/00 Finance; Insurance; Tax str...G06Q 40/04 Trading; Exchange, e.g. sto...G06Q 40/06 Asset management; Financial...
