Patent ID: 7383219

Claim:
A method for modifying a portfolio of assets to track an index of assets, comprising: (a) identifying a set of factors having data values that are correlated with an aggregate market value for the index; (b) calculating, for each of the factors, a correlative value for the portfolio relative to said each factor, thereby obtaining a correlative profile for the portfolio; (c) obtaining, for each of the factors, a correlative value for the index relative to said each factor, i.e., a correlative profile for the index; (d) calculating a measure of divergence between the correlative profile for the portfolio and the correlative profile for the index; and (e) modifying the portfolio by at least one of buying and selling assets so as to minimize the measure of the divergence between the correlative profile for the portfolio and the correlative profile for the index, subject to any other constraints, wherein the correlative value for an item relative to a given factor is a measure of a tendency of the aggregate market value of the item to change based on a change in the data value for said given factor.