Patent ID: 7769653

Claim:
A method of constructing a value index and a growth index for a group of securities, the method comprising, with a computer device: receiving, by the computer device over a computer network, data regarding each security in the group of securities from an external data source; determining, with the computer device, a value of each variable in a group of variables for each security in the group of securities, wherein determining the value of each variable includes (i) determining a value of each value variable in the group of variables and (ii) determining a value of each growth variable in the group of variables; determining, with the computer device, a standardized score of each value and growth variable for each security, wherein determining the standardized score of each value and growth variable includes (i) winsorizing the values for each value and growth variable and (ii) standardizing the winsorized values, wherein standardizing the winsorized values includes determining a z-score, and wherein determining the z-score includes (i) determining a winsorized per share value, (ii) determining a free float-adjusted market capitalization weighted market mean, and (iii) determining a free float-adjusted market capitalization weighted market standard deviation; determining, with the computer device, an overall value standardized score and an overall growth standardized score for each security; determining, with the computer device, a value inclusion factor and a growth inclusion factor for each security based on the overall value standardized score and the overall growth standardized score for each security, wherein the value inclusion factor for a security represents a proportion of the security's free-float adjusted market capitalization to be allocated to the value index and the growth inclusion factor for a security represents a proportion of the security's free-float adjusted market capitalization to be allocated to the growth index, wherein the value inclusion factor for each security is equal to or greater than zero and less than or equal to one, and the growth inclusion factor for each security is equal to or greater than zero and less than or equal to one, wherein a sum of the value inclusion factor and the growth inclusion factor for each security is equal to one; and allocating, with the computer device, a set of the securities in the group of securities to at least one of the value index and the growth index based on the overall value standardized score, the overall growth standardized score, the value inclusion factor, and the growth inclusion factor for each security, wherein, for each security in the set, a proportion of the security's free-float adjusted market capitalization that is allocated to the value index is based on the value inclusion factor for the security and a proportion of the security's free-float adjusted market capitalization that is allocated to the growth index is based on the growth inclusion factor for the security.