Patent ID: 8380605

Claim:
A computer implemented method of generating a cross-sectional volatility index, the method comprising: (a) identifying a population of assets having predetermined characteristics to form an index; (b) capturing, with at least one processor, market capitalization data for each of the assets in the index; (c) weighting, with the at least one processor, each asset in the index according to its market capitalization; (d) capturing, with the at least one processor, returns for each asset over a predetermined period; (e) calculating, with the at least one processor, using the weightings and the returns for each asset, the weighted return dispersion for the index over the predetermined period, to form an XSV Index, using the formula: XSV = ∑ i ⁢ w i ⁡ ( r i - R ) 2 Where, w i =the capitalization weight of stock i, r i =the total return of stock i for the period for which XSV is calculated, R = ∑ i ⁢ w i ⁢ r i wherein the XSV Index is a measure of discrepancy in volatility among the assets in the index during the period.