Research Affiliates, LLC Patent applications |
Patent application number | Title | Published |
20140046872 | METHOD OF COMBINING DEMOGRAPHY, MONETARY POLICY METRICS, AND FISCAL POLICY METRICS FOR SECURITY SELECTION, WEIGHTING AND ASSET ALLOCATION - A system, method and computer program product may combine metrics, and may use metrics to select or weight an index, select or weight a portfolio of financial objects, or be used to perform asset allocation. Financial and non-financial metrics may be used. Metrics based on accounting data, or other non-price metrics such as, e.g., demography, monetary policy metrics, and/or fiscal policy metrics, may be used. A combination of metrics may be used. Indexes may be built with combinations of metrics other than market capitalization weighting, price weighting or equal weighting. Once built, an index may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted and price-weighted indexes, in which price of a security contributes in a substantial way to calculation of weight of that security in the index or the portfolio, and equal weighting weighted indexes. Indexes may be constructed to minimize volatility. | 02-13-2014 |
20130117199 | USING ACCOUNTING DATA BASED INDEXING TO CREATE A LOW VOLATILITY PORTFOLIO OF FINANCIAL OBJECTS - A system, method and computer program product creates an index based on accounting data, or a portfolio of financial objects based on the index where the portfolio is weighted according to accounting data. Indexes may be built with metrics other than market capitalization weighting, price weighting or equal weighting. Financial and non-financial metrics may be used to build indexes to create passive investment systems. A combination of financial non-market capitalization metrics may be used with non-financial metrics to create passive investment systems. Once built, the index may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted and price-weighted indexes, in which price of a security contributes in a substantial way to calculation of weight of that security in the index or the portfolio, and equal weighting weighted indexes. The indexes may be constructed to minimize volatility. | 05-09-2013 |
20120246094 | SYSTEM, METHOD & COMPUTER PROGRAM PRODUCT FOR CONSTRUCTING AN OPTIMIZED FACTOR PORTFOLIO - A system, method or computer program product for electronically constructing data indicative of an investible risk factor portfolio is disclosed. The method may include: constructing, by a processor(s), data indicative of an optimized factor portfolio, which may include: receiving data about a plurality of monthly returns for multiple years for a universe of asset classes; receiving data about investment returns; extracting a plurality of orthogonal risk factors, at least one factor characteristic, and an asset class-factor translation matrix by principal component analysis (PCA) from the data about the universe of asset classes; and optimizing to determine the optimized factor portfolio; constructing an investible custom mimicking portfolio based on the optimized factor portfolio, and any portfolio constraints, or any portfolio specifications, may include rebuilding using the asset class-factor translation matrix and an optimization process based on investment returns; and providing data indicative of the custom mimicking investible portfolio. | 09-27-2012 |
20120215717 | USING ACCOUNTING DATA BASED INDEXING TO CREATE A PORTFOLIO OF FINANCIAL OBJECTS - A system, method and computer program product creates an index based on accounting based data, as well as a portfolio of financial objects based on the index where the portfolio is weighted according to accounting based data. A passive investment system may be based on indices created from various metrics. The indexes may be built with metrics other than market capitalization weighting, price weighting or equal weighting. Non-financial metrics may also be used to build indexes to create passive investment systems. Additionally, a combination of financial non-market capitalization metrics may be used along with non-financial metrics to create passive investment systems. Once the index is built, it may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted indexes and price-weighted indexes, in which the price of a security contributes in a substantial way to the calculation of the weight of that security in the index or the portfolio, and equal weighting weighted indexes. Valuation indifferent indexes avoid overexposure to overvalued securities and underexposure to undervalued securities, as compared with conventional capitalization-weighted and price-weighted. | 08-23-2012 |
20100287116 | Non-capitalization weighted indexing system, method and computer program product - An investment system based on indices created from various metrics is disclosed. The indexes may be built by selecting from a universe of assets, a subset using selection metrics primarily substantially independent of market capitalization weighting, price weighting or equal weighting. These metrics may include, but are not limited to book value, sales, revenue, debt to equity adjusted sales, earnings, earnings per share, EBITDA, income, income growth rate, any dividends, any dividends per share, any dividend yield, any distribution to holders, buybacks, cumulative retained cashflow, earnings before interest, tax, depreciation and amortization, employees, demographics, etc. Non-financial metrics may also be used to build indexes, which may be used to create investment systems. Additionally, a combination of financial non-market capitalization metrics may be used along with non-financial metrics to create passive investment systems. Once the index is built, it may be used as a basis to purchase securities for a portfolio. As the data underlying the indexes change because of, e.g., economic activity, the index may be updated and may be used as a basis to rebalance the portfolio. Several time periods may be averaged. Alternatively, the index can be rebalanced when a pre-determined threshold is reached, or on a periodic or aperiodic basis. Specifically excluded are widely-used capitalization-weighted indexes and price-weighted indexes, in which the price of a security contributes in a substantial way to the selection of the constituents in the index or the portfolio. Valuation indifferent indexes of the present invention avoid overexposure to overvalued securities and underexposure to undervalued securities, as compared with conventional capitalization-weighted and price-weighted. | 11-11-2010 |
20100262563 | SYSTEM, METHOD AND COMPUTER PROGRAM PRODUCT USING TECHNIQUES TO MIMIC AN ACCOUNTING DATA BASED INDEX AND PORTFOLIO OF ASSETS - A system, method and computer program product creates an index based on accounting based data, as well as a portfolio of financial objects based on the index where the portfolio is weighted according to accounting based data. A passive investment system may be based on indices created from various metrics. The indexes may be built with metrics other than market capitalization weighting, price weighting or equal weighting. Non-financial metrics may also be used to build indexes to create passive investment systems. Additionally, a combination of financial non-market capitalization metrics may be used along with non-financial metrics to create passive investment systems. Once the index is built, it may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted indexes and price-weighted indexes, in which the price of a security contributes in a substantial way to the calculation of the weight of that security in the index or the portfolio, and equal weighting weighted indexes. Valuation indifferent indexes avoid overexposure to overvalued securities and underexposure to undervalued securities, as compared with conventional capitalization-weighted and price-weighted. | 10-14-2010 |
20100191628 | 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, as amended - A system, method and computer program product creates an index based on accounting based data, as well as a portfolio of financial objects based on the index where the portfolio is weighted according to accounting based data. A passive investment system may be based on indices created from various metrics. The indexes may be built with metrics other than market capitalization weighting, price weighting or equal weighting. Non-financial metrics may also be used to build indexes to create passive investment systems. Additionally, a combination of financial non-market capitalization metrics may be used along with non-financial metrics to create passive investment systems. Once the index is built, it may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted indexes and price-weighted indexes, in which the price of a security contributes in a substantial way to the calculation of the weight of that security in the index or the portfolio, and equal weighting weighted indexes. Valuation indifferent indexes avoid overexposure to overvalued securities and underexposure to undervalued securities, as compared with conventional capitalization-weighted and price-weighted. | 07-29-2010 |
20100063942 | SYSTEM, METHOD, AND COMPUTER PROGRAM PRODUCT FOR MANAGING A VIRTUAL PORTFOLIO OF FINANCIAL OBJECTS - A system, method and/or computer program product for managing an index and/or a portfolio of financial objects. An index may be created, which may include selecting financial objects based on accounting data and/or weighting the financial objects based on accounting data. A portfolio may be created based on the index. A plurality of investment managers may manage a plurality of accounts for a plurality of investors. The investors may directly hold assets in the accounts so that the investors may take advantage of any tax benefits generated by transactions using the assets in the accounts. An investor(s) may have one or more accounts and thus one or more managers. A manager may have one or more investors and thus one or more accounts to manage. A virtual mutual fund manager may use a holdings matrix and a lot matrix to track the asset lots in the accounts. When a manager wishes to make a trade affecting an investor, the virtual mutual fund manager may determine which asset lots held by the investor should be used to execute the trade. Optionally, each investor may be associated with a tax-managed account. The tax-managed account may be used by the virtual fund manager to make deferred “paper” trades thereby avoiding certain adverse tax consequences that may be created when an investor has multiple managers. Optionally, each investor may allow loss-harvesting trades to be executed on his or her behalf in circumstances where such trades may reduce the investor's tax obligations. | 03-11-2010 |
20090119228 | SYSTEM AND METHOD FOR DYNAMIC VALUE ADDED ATTRIBUTION - A system, method and computer program product provides for portfolio analysis in one or more exemplary periods. The method includes determining weight and return measures between a plurality of assets based upon the likely performance of the assets. It also includes determining at least one allocation measure (AM) of the plurality of assets, and decomposing the at least one allocation measure (AM) respectively into at least one of a static allocation (SA) measure and a dynamic allocation (DA) measure. | 05-07-2009 |
20080288416 | USING ACCOUNTING DATA BASED INDEXING TO CREATE A PORTFOLIO OF FINANCIAL OBJECTS - A system, method and computer program product creates an index based on accounting based data, as well as a portfolio of financial objects based on the index where the portfolio is weighted according to accounting based data. A passive investment system may be based on indices created from various metrics. The indexes may be built with metrics other than market capitalization weighting, price weighting or equal weighting. Non-financial metrics may also be used to build indexes to create passive investment systems. Additionally, a combination of financial non-market capitalization metrics may be used along with non-financial metrics to create passive investment systems. Once the index is built, it may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted indexes and price-weighted indexes, in which the price of a security contributes in a substantial way to the calculation of the weight of that security in the index or the portfolio, and equal weighting weighted indexes. Valuation indifferent indexes avoid overexposure to overvalued securities and underexposure to undervalued securities, as compared with conventional capitalization-weighted and price-weighted. | 11-20-2008 |