Using accounting data based indexing to create a portfolio of financial objects
First Claim
1. A computer-implemented method for constructing data indicative of a financial object index, the method comprising:
- constructing, by at least one computer processor, data indicative of the financial object index comprising;
selecting, by the at least one computer processor, data indicative of constituent financial objects of the financial object index based upon at least one accounting data rather than price of said financial objects, said at least one accounting data regarding at least one entity relating to each of said financial objects, the at least one entity comprising at least one of a region, a country, a company, or a sovereign associated with said each of said financial objects; and
weighting, by the at least one computer processor, data indicative of said constituent financial objects based upon at least one accounting data rather than price of said financial objects, said at least one accounting data regarding the at least one entity, to obtain data indicative of constituent weightings for each of said constituent financial objects, andstoring, by the at least one computer processor, said data indicative of said constituent financial objects and said constituent weightings on at least one computer storage device,wherein each of said financial objects comprises at least one instrument,wherein each of said financial objects comprises at least one of;
a bond;
a fixed income debt instrument;
a debt instrument;
an emerging market debt instrument;
a high yield debt instrument;
a corporate debt instrument;
an investment grade debt instrument;
a debenture;
a bank loan;
a convertible bond;
a senior debt;
a subordinated debt;
a term loan;
a government debt instrument;
a government bond;
a corporate bond;
a high yield bond;
an emerging market bond;
a municipal bond debt instrument;
a treasury bond debt instrument;
a treasury bill debt instrument;
a mortgage based debt instrument;
a securitized debt instrument;
a security;
a stock;
a commodity;
a futures contract;
a mutual fund;
a hedge fund;
a fund of funds;
an exchange traded fund (ETF);
a derivative;
a negative weighting on any asset;
an asset account;
a separate account;
a pooled trust;
ora limited partnership; and
wherein said at least one accounting data comprises at least one of;
at least one financial metric of the at least one entity associated with each of said constituent financial objects;
orat least one metric, level, rate, or expenditure amount from information disclosures of the at least one entity.
1 Assignment
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Accused Products
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.
376 Citations
119 Claims
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1. A computer-implemented method for constructing data indicative of a financial object index, the method comprising:
- constructing, by at least one computer processor, data indicative of the financial object index comprising;
selecting, by the at least one computer processor, data indicative of constituent financial objects of the financial object index based upon at least one accounting data rather than price of said financial objects, said at least one accounting data regarding at least one entity relating to each of said financial objects, the at least one entity comprising at least one of a region, a country, a company, or a sovereign associated with said each of said financial objects; and weighting, by the at least one computer processor, data indicative of said constituent financial objects based upon at least one accounting data rather than price of said financial objects, said at least one accounting data regarding the at least one entity, to obtain data indicative of constituent weightings for each of said constituent financial objects, and storing, by the at least one computer processor, said data indicative of said constituent financial objects and said constituent weightings on at least one computer storage device, wherein each of said financial objects comprises at least one instrument, wherein each of said financial objects comprises at least one of; a bond; a fixed income debt instrument; a debt instrument; an emerging market debt instrument; a high yield debt instrument; a corporate debt instrument; an investment grade debt instrument; a debenture; a bank loan; a convertible bond; a senior debt; a subordinated debt; a term loan; a government debt instrument; a government bond; a corporate bond; a high yield bond; an emerging market bond; a municipal bond debt instrument; a treasury bond debt instrument; a treasury bill debt instrument; a mortgage based debt instrument; a securitized debt instrument; a security; a stock; a commodity; a futures contract; a mutual fund; a hedge fund; a fund of funds; an exchange traded fund (ETF); a derivative; a negative weighting on any asset; an asset account; a separate account; a pooled trust;
ora limited partnership; and
wherein said at least one accounting data comprises at least one of;at least one financial metric of the at least one entity associated with each of said constituent financial objects;
orat least one metric, level, rate, or expenditure amount from information disclosures of the at least one entity. - 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, 53, 54, 55, 56, 57, 58, 59, 60, 61, 62, 63, 64, 65, 66, 67, 68, 69, 70, 71, 72)
- constructing, by at least one computer processor, data indicative of the financial object index comprising;
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73. A nontransitory computer processor readable storage medium having computer processor readable program code such that when executed by a computer processor in a data processing apparatus, performs a computer processor-implemented method for constructing data indicative of a financial object index, the method comprising:
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constructing, by at least one computer processor, data indicative of the financial object index comprising; selecting, by the at least one computer, data indicative of constituent financial objects of said financial object index based upon at least one accounting data rather than price of said financial objects, said at least one accounting data regarding at least one entity relating to each of said financial objects, the at least one entity comprising at least one of a region, a country, a company, or a sovereign associated with said financial objects; and weighting, by the at least one computer processor, data indicative of said constituent financial objects based upon at least one accounting data rather than price of said financial objects, said at least one accounting data regarding the at least one entity, to obtain data indicative of constituent weightings for each of said constituent financial objects, and storing, by the at least one computer processor, said data indicative of said constituent financial objects and said constituent weightings on at least one computer storage device, wherein each of said financial objects comprises at least one instrument, wherein each of said financial objects comprises at least one of; a bond; a fixed income debt instrument; a debt instrument; an emerging market debt instrument; a high yield debt instrument; a corporate debt instrument; an investment grade debt instrument; a debenture; a bank loan; a convertible bond; a senior debt; a subordinated debt; a term loan; a government debt instrument; a government bond; a corporate bond; a high yield bond; an emerging market bond; a municipal bond debt instrument; a treasury bond debt instrument; a treasury bill debt instrument; a mortgage based debt instrument; a securitized debt instrument; a security; a stock; a commodity; a futures contract; a mutual fund; a hedge fund; a fund of funds; an exchange traded fund (ETF); a derivative; a negative weighting on any asset; an asset account; a separate account; a pooled trust;
ora limited partnership; and wherein said at least one accounting data comprises at least one of; at least one financial metric of the at least one entity associated with each of said constituent financial objects;
orat least one metric, level, rate, or expenditure amount from information disclosures of the at least one entity. - View Dependent Claims (74, 75, 76, 77)
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78. A system for constructing data indicative of an investable index of financial objects, comprising:
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an analysis host computer processing apparatus coupled to an entity database, wherein the entity database is operative to store aggregated accounting based data about a plurality of entities obtained from an external data source, said analysis host computer processing apparatus comprising; a data retrieval and storage subsystem operative to at least one of access, or retrieve said aggregated accounting based data from the entity database and to at least one of access from, provide, or store said aggregated accounting based data to the entity database; an index generation subsystem comprising; a selection subsystem operative to select a group of said entities based on at least one accounting data; a weighting function generation subsystem operative to generate a weighting function based on at least one accounting data; an index creation subsystem operative to create an investable accounting data based index based on said group of selected entities and said weighting function; and a storing subsystem operative to at least one of provide, or store said investable accounting data based index, wherein said investable index generation subsystem is operative to construct data indicative of said investable accounting data based index, wherein said investable accounting data based index comprises a financial object index, said index generation subsystem comprising at least one computer processor, and at least one memory coupled to said at least one computer processor, said at least one computer processor operative to construct data indicative of said financial object index; wherein said selection subsystem comprises at least one computer processor, and at least one memory coupled to said at least one computer processor, said at least one computer processor operative to select data indicative of constituent financial objects of said financial object index based upon at least one accounting data rather than price of said financial objects, said at least one accounting data regarding at least one entity relating to each of said financial objects, the at least one entity comprising at least one of a region, a country, a company, or a sovereign associated with said each of said financial objects; and wherein said weighting function generation subsystem comprises at least one computer processor, and at least one memory coupled to said at least one computer processor, said at least one computer processor operative to weight data indicative of said constituent financial objects based upon at least one accounting data rather than price of said financial objects, said at least one accounting data regarding the at least one entity, to obtain data indicative of constituent weightings for each of said constituent financial objects, and wherein said storing subsystem comprises at least one computer processor, and at least one memory coupled to said at least one computer processor, said at least one computer processor operative to at least one of access from, provide, or store said data indicative of said constituent financial objects and said constituent weightings on at least one computer storage device, wherein each of said financial objects comprises at least one instrument, wherein each of said financial objects comprises at least one of; a bond; a fixed income debt instrument; a debt instrument; an emerging market debt instrument; a high yield debt instrument; a corporate debt instrument; an investment grade debt instrument; a debenture; a bank loan; a convertible bond; a senior debt; a subordinated debt; a term loan; a government debt instrument; a government bond; a corporate bond; a high yield bond; an emerging market bond; a municipal bond debt instrument; a treasury bond debt instrument; a treasury bill debt instrument; a mortgage based debt instrument; a securitized debt instrument; a security; a stock; a commodity; a futures contract; a mutual fund; a hedge fund; a fund of funds; an exchange traded fund (ETF); a derivative; a negative weighting on any asset; an asset account; a separate account; a pooled trust;
ora limited partnership; and wherein said at least one accounting data comprises at least one of; at least one financial metric of the at least one entity associated with each of said constituent financial objects;
orat least one metric, level, rate or expenditure amount from information disclosures of the at least one entity. - View Dependent Claims (79, 80, 81, 82, 83, 84, 85, 86, 87, 88, 89, 90, 91, 92, 93, 94, 95)
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96. A computer-implemented method of constructing data indicative of an investable index of financial objects by at least one computer processor, the method comprising:
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receiving by the at least one computer processor data about a plurality of entities and a plurality of corresponding financial objects associated with the plurality of entities from one or more databases storing and permitting retrieval of such data; selecting by the at least one computer processor a plurality of said financial objects to construct an investable index of financial objects, wherein said selecting comprises; selecting a plurality of financial objects to construct an investable index of financial objects based on at least one objective measure of scale associated with said entities or said financial objects, each of said entities comprising at least one of a region, a country, a company, or a sovereign associated with said each of said financial objects, wherein said at least one objective measure of scale comprises at least one financial metric associated with one of said entities or said financial objects other than the market capitalization of said entities or the price of said financial objects; weighting by the at least one computer processor the plurality of financial objects selected to construct the investable index of financial objects, wherein said weighting comprises; determining a proportional weight for each financial object based on at least one objective measure of scale associated with said entities or said financial objects; wherein said at least one objective measure of scale comprises at least one financial metric associated with one of said entities or said financial objects other than the market capitalization of said entities or the price of said financial objects; storing or providing by the at least one computer processor the plurality of financial objects selected to construct the index and the proportional weight for each of said financial objects; wherein each of said financial objects comprises at least one of; a bond; a fixed income debt instrument; a debt instrument; an emerging market debt instrument; a high yield debt instrument; a corporate debt instrument; an investment grade debt instrument; a debenture; a bank loan; a convertible bond; a senior debt; a subordinated debt; a term loan; a government debt instrument; a government bond; a corporate bond; a high yield bond; an emerging market bond; a municipal bond debt instrument; a treasury bond debt instrument; a treasury bill debt instrument; a mortgage based debt instrument; a securitized debt instrument; a security; a stock; a commodity; a futures contract; a mutual fund; a hedge fund; a fund of funds; an exchange traded fund (ETF); a derivative; a negative weighting on any asset; an asset account; a separate account; a pooled trust;
ora limited partnership; and managing by the at least one computer processor a portfolio of financial objects based on said index of financial objects, wherein said managing comprises at least one of; adjusting the financial objects that comprise said portfolio based on changes to the at least one objective measure of scale used to select the plurality of financial objects used to construct the investable index of financial objects; adjusting the relative weightings of the financial objects that comprise said portfolio based on changes to the at least one objective measure of scale used to weight the plurality of financial objects used to construct the investable index of financial objects; rebalancing the relative weightings of the financial objects that comprise said portfolio when the weighting of one or more of said financial objects at least one of;
exceeds a threshold value, or deviates from a target weight;
orrebalancing the relative weightings of the financial objects that comprise said portfolio to minimize turnover of said financial objects. - View Dependent Claims (97, 98, 99, 100, 101, 102, 103, 104, 105, 106, 107)
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108. A system for constructing data indicative of an investable index of financial objects by at least one computer processor comprising:
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the at least one computer processor being coupled to at least one data network; wherein the at least one data network comprises a connection or a coupling to at least one database adapted to store and adapted to permit at least one of access or retrieval of data; wherein said data comprises data about a plurality of entities and a plurality of corresponding financial objects associated with the plurality of entities; the at least one computer processor being configured to; receive from the at least one data network data about a plurality of entities and a plurality of corresponding financial objects associated with the plurality of entities from said one or more databases; select a plurality of said financial objects to construct an index of financial objects based on said data received from the at least one data network, wherein said select comprises wherein the at least one computer processor being configured to; select a plurality of financial objects to construct an index of financial objects based on at least one objective measure of scale associated with said entities or said financial objects, said entity comprising at least one of a region, a country, a company, or a sovereign associated with said financial object,
wherein said at least one objective measure of scale comprises at least one financial metric associated with one of said entities or said financial objects other than the market capitalization of said entities or the price of said financial objects;weight by the plurality of financial objects selected to construct the index of financial objects, wherein said weight comprises wherein the at least one computer processor being configured to; determine a proportional weight for each financial object based on at least one objective measure of scale associated with said entities or said financial objects;
wherein said at least one objective measure of scale comprises at least one financial metric associated with one of said entities or said financial objects other than the market capitalization of said entities or the price of said financial objects;store or provide wherein the at least one computer processor being configured to store or provide the plurality of financial objects selected to construct the index and the proportional weight for each of said financial objects; wherein each of said financial objects comprises at least one of; a bond; a fixed income debt instrument; a debt instrument; an emerging market debt instrument; a high yield debt instrument; a corporate debt instrument; an investment grade debt instrument; a debenture; a bank loan; a convertible bond; a senior debt; a subordinated debt; a term loan; a government debt instrument; a government bond; a corporate bond; a high yield bond; an emerging market bond; a municipal bond debt instrument; a treasury bond debt instrument; a treasury bill debt instrument; a mortgage based debt instrument; a securitized debt instrument; a security; a stock; a commodity; a futures contract; a mutual fund; a hedge fund; a fund of funds; an exchange traded fund (ETF); a derivative; a negative weighting on any asset; an asset account; a separate account; a pooled trust;
ora limited partnership; and manage a portfolio of financial objects based on said index of financial objects, wherein said manage comprises wherein the at least one computer processor being configured to at least one of; adjust the financial objects that comprise said portfolio based on changes to the at least one objective measure of scale used to select the plurality of financial objects used to construct the index of financial objects; adjust the relative weightings of the financial objects that comprise said portfolio based on changes to the at least one objective measure of scale used to weight the plurality of financial objects used to construct the index of financial objects; rebalance the relative weightings of the financial objects that comprise said portfolio when the weight of one or more of said financial objects at least one of; exceeds a threshold value;
or deviates from a target weight;
or rebalance the relative weightings of the financial objects that comprise said portfolio to minimize turnover of said financial objects. - View Dependent Claims (109, 110, 111, 112, 113, 114, 115, 116, 117, 118, 119)
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Specification