WO2005076812A3 - Non-capitalization weighted indexing system, method and computer program product - Google Patents

Non-capitalization weighted indexing system, method and computer program product Download PDF

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Publication number
WO2005076812A3
WO2005076812A3 PCT/US2005/002345 US2005002345W WO2005076812A3 WO 2005076812 A3 WO2005076812 A3 WO 2005076812A3 US 2005002345 W US2005002345 W US 2005002345W WO 2005076812 A3 WO2005076812 A3 WO 2005076812A3
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WO
WIPO (PCT)
Prior art keywords
portfolio
security
target
weights
weight
Prior art date
Application number
PCT/US2005/002345
Other languages
French (fr)
Other versions
WO2005076812A2 (en
Inventor
Robert D Arnott
Original Assignee
Res Affiliates Llc
Robert D Arnott
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Family has litigation
First worldwide family litigation filed litigation Critical https://patents.darts-ip.com/?family=34811464&utm_source=google_patent&utm_medium=platform_link&utm_campaign=public_patent_search&patent=WO2005076812(A3) "Global patent litigation dataset” by Darts-ip is licensed under a Creative Commons Attribution 4.0 International License.
Priority to AU2005213293A priority Critical patent/AU2005213293A1/en
Priority to EA200600013A priority patent/EA200600013A1/en
Priority to EP05712005A priority patent/EP1733352A4/en
Priority to KR1020067017949A priority patent/KR101179346B1/en
Priority to GB0616163A priority patent/GB2426098A/en
Application filed by Res Affiliates Llc, Robert D Arnott filed Critical Res Affiliates Llc
Priority to BRPI0505680-2A priority patent/BRPI0505680A/en
Priority to NZ549656A priority patent/NZ549656A/en
Priority to CA002530764A priority patent/CA2530764A1/en
Priority to JP2006552146A priority patent/JP5503839B2/en
Publication of WO2005076812A2 publication Critical patent/WO2005076812A2/en
Priority to IL172792A priority patent/IL172792A0/en
Publication of WO2005076812A3 publication Critical patent/WO2005076812A3/en
Priority to AU2010236045A priority patent/AU2010236045A1/en

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

Apparatus and methods for automatically modifying a financial portfolio having a pre-defined universe of securities, such as, e.g., an index fund, that tracks a given capitalization weighted index, through dynamic re-weighting of a position held in each such security. Specifically, in a computer system (50, 60), a target weight is accorded to each such security, relative to others in the portfolio, in proportion to a non-constant function of current capitalization weights of the securities in the index. Once these target weights are determined, then, in response to both the target weight of each such security and an actual weight, as a proportion of the portfolio, in which that security is currently held, a trade will be generated by the system in order to conform, within a predefined band, the actual weight to the target weight so as to rebalance the holdings in the portfolio. The system can selectively operate in either one of two modes: a dynamic rebalancing mode for calculating new target weights and issuing appropriate trades, or a cash investment mode for issuing one or more trade(s) to consume excess cash then held in the portfolio.
PCT/US2005/002345 2004-02-04 2005-01-27 Non-capitalization weighted indexing system, method and computer program product WO2005076812A2 (en)

Priority Applications (11)

Application Number Priority Date Filing Date Title
JP2006552146A JP5503839B2 (en) 2004-02-04 2005-01-27 Index management systems, methods, and computer program products that are not market capitalization weighted
NZ549656A NZ549656A (en) 2004-02-04 2005-01-27 Non-capitalization weighted indexing system, method and computer program product
EP05712005A EP1733352A4 (en) 2004-02-04 2005-01-27 Non-capitalization weighted indexing system, method and computer program product
KR1020067017949A KR101179346B1 (en) 2004-02-04 2005-01-27 Non-capitalization weighted indexing system, method and computer program product
GB0616163A GB2426098A (en) 2004-02-04 2005-01-27 Non-capitalization weighted indexing system, method and computer program product
AU2005213293A AU2005213293A1 (en) 2004-02-04 2005-01-27 Valuation Indifferent Non-Capitalization Weighted Index and Portfolio
BRPI0505680-2A BRPI0505680A (en) 2004-02-04 2005-01-27 computer program system, method and product for indexing weighted non-capitalization
EA200600013A EA200600013A1 (en) 2004-02-04 2005-01-27 SYSTEM, METHOD AND COMPUTER SOFTWARE PRODUCT FOR THE CONSTRUCTION OF INDEX WELCOMED NOT BASED ON CAPITALIZATION
CA002530764A CA2530764A1 (en) 2004-02-04 2005-01-27 Non-capitalization weighted indexing system, method and computer program product
IL172792A IL172792A0 (en) 2004-02-04 2005-12-22 Non-capitalization weighted indexing system, method and computer program product
AU2010236045A AU2010236045A1 (en) 2004-02-04 2010-10-27 Valuation indifferent non-capitalization weighted index and portfolio

Applications Claiming Priority (4)

Application Number Priority Date Filing Date Title
US54173304P 2004-02-04 2004-02-04
US60/541,733 2004-02-04
US10/961,404 US7792719B2 (en) 2004-02-04 2004-10-12 Valuation indifferent non-capitalization weighted index and portfolio
US10/961,404 2004-10-12

Publications (2)

Publication Number Publication Date
WO2005076812A2 WO2005076812A2 (en) 2005-08-25
WO2005076812A3 true WO2005076812A3 (en) 2007-05-03

Family

ID=34811464

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2005/002345 WO2005076812A2 (en) 2004-02-04 2005-01-27 Non-capitalization weighted indexing system, method and computer program product

Country Status (14)

Country Link
US (1) US7792719B2 (en)
EP (1) EP1733352A4 (en)
JP (1) JP5503839B2 (en)
KR (1) KR101179346B1 (en)
CN (1) CN101052963A (en)
AU (2) AU2005213293A1 (en)
BR (1) BRPI0505680A (en)
CA (1) CA2530764A1 (en)
EA (1) EA200600013A1 (en)
GB (1) GB2426098A (en)
IL (1) IL172792A0 (en)
NZ (1) NZ549656A (en)
WO (1) WO2005076812A2 (en)
ZA (1) ZA200608265B (en)

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US8374939B2 (en) 2002-06-03 2013-02-12 Research Affiliates, Llc System, method and computer program product for selecting and weighting a subset of a universe to create an accounting data based index and portfolio of financial objects
USRE44362E1 (en) 2002-06-03 2013-07-09 Research Affiliates, Llc Using accounting data based indexing to create a portfolio of financial objects
US8694402B2 (en) 2002-06-03 2014-04-08 Research Affiliates, Llc Using accounting data based indexing to create a low volatility portfolio of financial objects

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