Patent ID: 8620789

Claim:
A method of constructing a low volatility index comprising: selecting a geographic subset of a plurality of securities selected from a universe of securities wherein said geographic subset comprises selecting at least one security having a lowest beta from a plurality of securities ranked in order of beta from securities of each geography of said universe; weighting said geographic subset of securities using a low volatility factor, comprising: weighting by computing a multiplicative product of a weight of the given geography's security and said low volatility factor, and reweighting or normalizing said weights of said geographic subset of said plurality of securities to make the geographic subset of securities at least one of: country or region neutral, relative to the weights of said starting universe to form a geographic portfolio (GP) strategy; selecting a sector subset of a plurality of securities selected from said universe of securities wherein said sector subset comprises selecting at least one security having a lowest beta from a plurality of securities ranked in order of beta from each sector of said universe securities; weighting said sector subset of securities using a low volatility, comprising: weighting by computing a multiplicative product of an weight of the given sector security and said low volatility factor, and reweighting or normalizing said weight of said sector subset of securities to make the sector subset of securities sector neutral relative to the starting universe weight to form a sector portfolio (SP) strategy; and averaging said geographic portfolio (GP) strategy and said sector portfolio (SP) strategy to obtain final low volatility index weights.