Patent ID: 7366692

Claim:
A method for generating an index of fundamental investment returns in asset classes that comprise the index, including commercial asset classes, comprising the steps of: (a) selecting a representative set of assets, where each said asset is grouped into a respective one of a plurality of asset classes; (b) for any time t including the present time, time t being at the close of a holding period h, generating a rule based on market prices at a plurality of times preceding time t to determine a position for each of said assets for a succeeding holding period h+1; (c) computing the position for each of said assets for said succeeding holding period h+1 in accordance with said rule, wherein the position indicates whether each particular asset is long or short; (d) obtaining market prices for each of said assets at the beginning and end of said succeeding holding period h+1; (e) computing with the computer a return for each of said assets for said succeeding holding period h+1, said return being a function of the position for said succeeding holding period h+1 and the market prices at the beginning and end of said succeeding holding period h+1 determined in steps (c) and (d); (f) averaging the returns computed in step (e) for all the selected assets in each of said plurality of asset classes, the average for each of said asset classes is the return for that asset class; and (g) computing and outputting with the computer the index by combining the returns for each asset class.