Patent ID: 8694402

Claim:
A method of constructing a low volatility index comprising: selecting, by at least one processor, a geographic subset of a plurality of securities selected from a universe of securities wherein said geographic subset comprises: selecting, by the at least one processor, at least one security having at least one low volatility measure from a plurality of securities ranked in order of said at least one low volatility measure from securities of each geography of said universe of securities; weighting, by the at least one processor, said geographic subset of said plurality of securities using at least one measure of company size to make said geographic subset of securities at least one of: country or region neutral, relative to weights of said starting universe to form a geographic portfolio (GP) strategy; selecting, by the at least one processor, a sector subset of a plurality of securities selected from said universe of securities wherein said sector subset comprises: selecting, by the at least one processor, at least one security having a low volatility measure from a plurality of securities ranked in order of said at least one low volatility measure from securities of each sector of said universe of securities; weighting, by the at least one processor, said sector subset of securities based on at least one measure of company size to make the sector subset of securities sector neutral relative to the starting universe weight to form a sector portfolio (SP) strategy; and mathematically combining, by the at least one processor, said geographic portfolio (GP) strategy and said sector portfolio (SP) strategy to obtain final low volatility index weights.