Using accounting data based indexing to create a low volatility portfolio of financial objects
US8620789B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Aug 23, 2012 |
| Grant date | Dec 31, 2013 |
| Priority date | — |
| Expiry date | Aug 23, 2032 |
Classification
- Technology area (CPC —)General
Abstract
A system, method and computer program product creates an index based on accounting data, or a portfolio of financial objects based on the index where the portfolio is weighted according to accounting data. Indexes may be built with metrics other than market capitalization weighting, price weighting or equal weighting. Financial and non-financial metrics may be used to build indexes to create passive investment systems. A combination of financial non-market capitalization metrics may be used with non-financial metrics to create passive investment systems. Once built, the index may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted and price-weighted indexes, in which price of a security contributes in a substantial way to calculation of weight of that security in the index or the portfolio, and equal weighting weighted indexes. The indexes may be constructed to minimize volatility.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.