Source: https://www.google.com/patents/US8380604
Timestamp: 2017-01-17 04:10:17
Document Index: 201623017

Matched Legal Cases: ['Application No. 60', 'Application No. 03726210', 'application No. 0222239', 'application No. 0616163', 'Application No. 2008', 'Application No. 2006', 'Application No. 2006', 'application No. 200580000459']

Patent US8380604 - System, method and computer program product for using a non-price accounting ... - Google PatentsSearch Images Maps Play YouTube News Gmail Drive More »Sign inPatentsA 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....https://www.google.com/patents/US8380604?utm_source=gb-gplus-sharePatent US8380604 - System, method and computer program product for using a non-price accounting data based index to determine financial objects to purchase or to sellAdvanced Patent SearchTry the new Google Patents, with machine-classified Google Scholar results, and Japanese and South Korean patents.Publication numberUS8380604 B2Publication typeGrantApplication numberUS 12/819,199Publication dateFeb 19, 2013Filing dateJun 19, 2010Priority dateJun 3, 2002Fee statusPaidAlso published asCA2634097A1, EP2005383A2, EP2005383A4, US7747502, US8374939, US20070055598, US20100191628, US20100262563, WO2007078399A2, WO2007078399A3Publication number12819199, 819199, US 8380604 B2, US 8380604B2, US-B2-8380604, US8380604 B2, US8380604B2InventorsRobert D. Arnott, Paul Christopher WoodOriginal AssigneeResearch Affiliates, LlcExport CitationBiBTeX, EndNote, RefManPatent Citations (392), Non-Patent Citations (419), Referenced by (3), Classifications (8), Legal Events (2) External Links: USPTO, USPTO Assignment, EspacenetSystem, method and computer program product for using a non-price accounting data based index to determine financial objects to purchase or to sell
US 8380604 B2Abstract
1. A method of determining financial objects to purchase or to sell by a programmed computer using a non-price accounting data based index (ADBI) comprising:
using, by at least one computer, the non-price accounting data based index (ADBI),
wherein the non-price ADBI was constructed, by at least one computer processor, by at least selecting non-price ADBI constituents by at least one non-price accounting data, and by at least weighting said the non-price ADBI constituents by at least one non-priced accounting data,
isolating, by the at least one computer, outperformance of the non-price ADBI, wherein said isolating:
determining, by at least one computer processor, overlapping financial objects appearing in both a portfolio constructed using the accounting based index (ADBI) and a portfolio constructed using a conventionally weighted index by comparing said portfolios;
wherein said portfolios are stored in at least one storage medium;
wherein said conventionally weighted index comprises an index weighted based on at least one of capitalization, equal weighting, or share price weighting; and
wherein the non-price ADBI comprises selecting and weighting, by the at least one computer processor, based on at least one non-price accounting data based measure and not based on any of capitalization, equal weighting, and share price weighting;
comparing, by the at least one computer processor, weightings of said overlapping financial objects in said ADBI with weightings of said overlapping financial objects in said conventionally weighted index; and
determining, by the least one computer processor, at least one financial object to purchase or to sell based on said comparing.
2. The method of claim 1, wherein said determining comprises at least one of:
determining whether to purchase or to sell, by the at least one computer processor, a long position in at least one overlapping financial object when said comparing indicates said at least one overlapping financial object is over weighted in said non-price ADBI relative to said conventionally weighted index; or
determining whether to purchase or to sell, by the at least one computer processor, a short position in at least one overlapping financial object when said comparing indicates said at least one overlapping financial object is underweighted in said non-price ADBI relative to said conventionally weighted index.
3. The method of claim 2, wherein said determining whether to purchase or to sell said long or short positions is implemented by using total return swaps.
4. The method of claim 2, wherein said long or short positions are held for at least one year.
5. The method of claim 2, further comprising rebalancing, by the at least one computer processor, the portfolio that was constructed using the ADBI.
6. The method of claim 5, wherein said rebalancing comprises: at least one of creating, by the at least one computer processor, at least one new long or short position using cash flow from new capital contributions, or altering at least one existing long or short position using cash flow from new capital contributions.
7. The method of claim 2, further comprising using leverage to obtain said long or short positions.
8. The method of claim 1, wherein said comparing comprises:
calculating a difference between said weightings.
9. The method of claim 1, wherein said comparing comprises:
calculating, by the at least one computer processor, a difference between mathematically modified values comprising at least one of arithmetically, or algebraically modified values, of said weightings.
10. The method of claim 9, wherein said mathematically modified values of said weightings comprises taking a square root of each of said weightings.
11. The method of claim 1, wherein said comparing comprises:
calculating, by at least one computer processor, a difference based on tiers of weightings using stratified sampling.
12. The method of claim 1, wherein said financial object comprises:
13. A system of determining financial objects to purchase or to sell by a programmed computer using a non-price accounting data based index (ADBI) comprising:
at least one computer processor coupled to said at least one memory, said at least one computer processor configured to use the non-price accounting data based index (ADBI),
wherein the non-price ADBI was constructed, by at least one computer processor, by at least selecting non-price ADBI constituents by at least one non-price accounting data, and by at least weighting said non-price ADBI constituents by at least one non-price accounting data,
said at least one computer processor configured to isolate outperformance of the non-price ADBI,
wherein said at least one computer processor is configured to determine overlapping financial objects appearing in both a portfolio constructed using the accounting data based index (ADBI) and a portfolio constructed using a conventionally weighted index by comparing said portfolios;
wherein said conventionally weighted index comprises an index weighted based on at least one of capitalization, equal weighting, and/or share price weighting; and wherein the non- price ADBI comprises selecting and weighting, by the at least one computer processor, based on at least one non-price accounting data based measure and not based on any of capitalization, equal weighting, and share price weighting;
said at least one computer processor configured to compare weightings of said overlapping financial objects in said ADBI with weightings of said overlapping financial objects in said conventionally weighted index; and
said at least one computer processor configured to determine at least one financial object to purchase or to sell based on said comparing.
14. The system of claim 13, wherein said financial object comprises:
15. A computer program product embodied on at least one non-transitory computer readable medium, wherein said computer program product comprises program logic, which when executed on at least one computer processor performs a method of determining financial objects to purchase or to sell by a programmed computer using a non-price accounting data based index (ADBI) comprising:
isolating, by the at least one computer, outperformance of the non-price ADBI, wherein said isolating comprises:
determining, by at least one computer processor, overlapping financial objects appearing in both a portfolio constructed using the accounting data based index (ADBI) and a portfolio constructed using a conventionally weighted index by comparing said portfolios;
determining, by the at least one computer processor, at least one financial object to purchase or to sell based on said comparing.
16. The computer program product of claim 15, wherein said financial object comprises:
The present application also claims the benefit of and is also a continuation-in-part of U.S. patent application Ser. No. 11/196,509, filed Aug. 4, 2005, which is a continuation-in-part of U.S. patent application Ser. No. 10/961,404, entitled “Non-Capitalization Weighted Fundamental Indexing System, Method and Computer Program Product,” to Arnott, filed Oct. 12, 2004, (which claims the benefit of U.S. Provisional Patent Application No. 60/541,733, entitled “Securities Indexing,” to Arnott, filed Feb. 4, 2004), and U.S. patent application Ser. No. 10/159,610, entitled “Fundamental Stock Market Index and Index Fund or Funds,” filed Jun. 3, 2002, all of which are of common assignee to the present invention, and all of the contents of which are incorporated herein by reference in their entireties.
In an exemplary embodiment, once index 110 has been generated by an analyst using the entity data 106, index 110 may be used to build investment portfolios. An investor, advisor, manager or broker may then manage the purchased financial objects such as a mutual fund, an exchange traded fund, a hedge fund or other portfolio or account of assets for one or for a plurality of individual and/or institutional investors. The investor, advisor, manager or broker may use a trading computer 104 with trading software 116 to manage one or more trading accounts 108. Alternatively, the purchased financial objects may be managed for one or more investors. In the latter case, financial objects may be purchased based on the index for inclusion in an individual or an institutional investor's portfolio. One or more trades may be effected or closed in cooperation with and via communication with an exchange host 112.
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