Using accounting data based indexing to create a low volatility portfolio of financial objects

US8694402B2 · kind B2 · utility

Assignee

• Research Affiliates, LLC · US

Inventors

• Robert Arnott · Newport Beach, US
• Paul C. Wood · Waltham, GB
• Feifei Li · Beijing, CN

Key dates

• Filing date: Aug 23, 2012
• Grant date: Apr 8, 2014
• Expiry date: Aug 23, 2032

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/04
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

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.