MX2008007892A - Using accounting data based indexing to create a portfolio of assets - Google Patents

Abstract

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.

Description

USE OF THE INDEXATION BASED ON DATA ACCOUNTING TO CREATE AN ASSET PORTFOLIO Cross reference to related applications The present application claims the benefit of US patent application No. 60 / 751,212, confirmation No. 7679, (legal document No. 43622-226758) filed on December 19, 2005 before entitled "Use of a fundamental index to create a portfolio of assets, "entitled" Use of indexation based on data accounting to create a portfolio of assets "by Robert D. Arnott, proprietary composer of the present invention, whose contents are incorporated herein by reference in its whole. The present application also claims the benefit of and is also a continuation in part of the US patent application No. 11 / 196,509, filed on August 4, 2005, which is a continuation in part of the US patent application No. 10 / 961,404, entitled "System, method and product of computational program of fundamental indexation not weighted by capitalization" for Arnott, (Legal document No.43622-208053), filed on October 12, 2004, (which claims the benefit of the application for provisional patent No. 60 / 541,733, entitled "Securitization Indexing", for Arnott, (Legal Document No. 43622-204086, formerly 51804 / FLC / A750), filed February 4, 2004), and the patent application No 10 / 159,610, entitled "Fund or Index Funds and Fundamental Securities Market Index", filed on June 3, 2002, of which all are in common with the present invention, and of which all is incorporated herein the content c as a reference in its entirety. Field of the Invention The present invention relates generally to investment of securities, and more particularly to the construction and use of indices and portfolios based on indexes. Background of the Invention Conventionally, there are several broad categories of portfolio management. A conventional category of securities portfolio management is active management where values are selected for a portfolio based individually on economic, financial, credit and / or commercial analysis; in technical trends; in cylindrical patterns; etc. Another conventional category is passive management, also called indexation, where the values in a portfolio duplicate those that make up an index. The securities in a passively managed portfolio are conventionally weighted by weighting of relative market capitalization or with equal weighting. Another conventional category of portfolio management is called improved indexation, where the characteristics of a portfolio, performance and properties are substantially dominated by the characteristics, performance and properties of the index, but with modest active deviations of the index. The present invention relates generally to the categories of passive indexing and improved portfolio management. A stock market index, intentionally, reflects an entire market or a market segment. A passive portfolio based on an index can also reflect the entire market or segment. Often each value in an index is maintained in the passive portfolio. Sometimes statistical modeling is used to create a portfolio that duplicates the profile, risk characteristics, performance characteristics, and weightings of index values, without actually having each value included in the index. (Examples may be portfolios based on the Wilshire 5000 equity index or the Lehman aggregate bonus index.) Statistical modeling is sometimes used to create the index as such to duplicate the profile, risk characteristics, and performance characteristics. performance, and weightings of values of a whole class of values. (The Lehman aggregate bond index is an example of this practice). The indices generally include all the securities within their defined markets or market segments. In most cases the indexes can include each value in the proportion that its market capitalization charges in relation to the market capitalization of all the included values. The only common exceptions to the weighting of market capitalization are the fair weighting of the included securities (for example, the Valué Line index or the equitably weighted stock index Standard Poors 500, which includes all the actions in the S & amp;; P 500 on a list basis; each share is given a fair weighting on a designated day each year) and stock price weighting, where share prices are simply added and divided by some simple divisor (for example, the Dow Jones industrial average). Conventionally, passive portfolios are formed on the basis of a weighted index using market capitalization weighting, fair weighting, or stock price weighting. The most commonly used securities market indexes are constructed using a methodology that is based either on the relative share prices of a sample of companies (such as the Dow Jones industrial average) or the relative market capitalization of a sample of companies. (such as the S &P 500 index or the FTSE 100 index). The nature of the construction of both of these types of indexes means that if the price or the market capitalization of a company increases relative to its peers, a greater weighting in the index is agreed. Alternatively, for a company whose share price or market capitalization declines relative to the other companies in the index, a lower weighting of the index is agreed. This can create a situation where the index, index funds, or investors who want their funds to follow closely an index, are forced to have higher weighting in companies whose share prices or market capitalizations have already increased and a lower weighting in companies that have seen a decrease in their share price or market capitalization. The advantages of passive investment include: a low transaction cost by maintaining a portfolio that has a renewal only when an index is reconstituted, typically once a year; a low cost of managing a portfolio that does not require analysis of individual values; and without the possibility of a portfolio suffering a loss - in relation to the market or market segment that reflects the index - due to errors of judgment in the selection of individual securities. The advantages of using market capitalization weighting as a basis for a passive portfolio include that the index (and therefore a portfolio built on it) remains continuously in equilibrium when changing market prices for the included securities, and that performance of the portfolio participates in (ie reflects) the stock market or market segment included in the index. The disadvantages of passive market capitalization weighting indices, which may be substantial, are centered on the fact that any undervalued value is sub-weighted in the index and related portfolios, while any overvalued value is over-weighted. Also, the portfolio based on market capitalization weighting follows each bubble or market crash (or segment). Finally, in general, the selection of portfolio securities is not based on criteria that reflect a better appreciation opportunity than the market or market segment in general. The most commonly used securities market indexes are constructed using a methodology that is based either on the relative share prices of a sample of companies (such as the Dow Jones industrial average) or the relative market capitalization of a sample of companies. (such as the S &P 500 index or the FTSE 100 index). The nature of the construction of both of these types of indexes means that if the price or the market capitalization of a company increases relative to its peers, a greater weighting in the index is agreed. Alternatively, for a company whose share price or market capitalization declines relative to the other companies in the index, a lower weighting of the index is agreed. This can create a situation where the index, index funds, or investors who want their funds to follow closely an index, are forced to have greater weighting in companies whose share prices or market capitalizations have already increased and a lower weighting in companies that have seen a decrease in their share price or market capitalization. Indexes based on price or market capitalization can contribute to a behavior of "hedging" by investors by effectively obliging any of the funds that try to follow these indices to have greater weight in shares by raising their price and lower weighting in actions that have come down in price. This creates unnecessary volatility, which does not represent the interest of investors. It can also generate that investment returns that have had to absorb the phenomenon of having to increase stock weights after they have risen and reduce weights after they have fallen repeatedly. Capitalization weighted indices ("capitalization weighted indices") dominate the investment industry today, with approximately $ 2 trillion "currently invested.

Unfortunately, capitalization weighted indices suffer from an inherent failure as they overweight all overvalued stocks and sub-value all sub-valued stocks. This causes the capitalization-weighted indices to perform inferiorly in relation to the indices that are immune to this disadvantage. In addition, capitalization-weighted indices are vulnerable to speculative bubbles and emotionally charged markets that can increase or reduce stock prices, respectively, unnaturally. A well-established conclusion of investment theory is that the weighting by capitalization is not of optimal average variance. This conclusion is sustained because the weighting schemes based on the market price, including capitalization weighting, overweight 100% of the overvalued shares and sub-weighted 100% of the undervalued shares. Both mathematically and empirically, this problem of over and underweight inherent in the weighting by capitalization generates a return carryback of 200 bps per year in the United States and more than 200 bps per year internationally. An example of the phenomenon comes from the recent stock market bubble of 1997-2000, when, for example, the Internet service provider Cisco comprised almost 5% of the S &P 500. At its peak in 2000, Cisco quoted at $ 70 per share. Since March 2000, Cisco has fallen to approximately 12% of its peak, dragging down the S &P 500 performance of which comprised 5%. While it is difficult or impossible to know the true fair value of a company, what is known is that if a company weight overvalued in an index is determined by market capitalization, then the company will be overweighted in the capitalization-weighted index . Over the past 40 years, the largest share by market capitalization in the S &P 500 has performed less than the average stock in the index over a 10-year period by an average of 40%. The 10 largest shares by market capitalization have performed below the average stock through the subsequent 10-year time frame by an average of 26%. However, the capitalization weighting indices continue to invest 20-30% of their value in the 10 largest shares per market capitalization, despite the fact that they perform below the average stock in the index, since the shares they are selected and weighted using market capitalization, which by its nature overestimates overvalued shares and sub-weights undervalued shares. Equally weighted indexation is a popular alternative to the weighting by capitalization but suffers from its own disadvantages. Another significant problem with equitably weighted indices is that they come from the same universes weighted by capitalization as the capitalization weighted indices. For example, the equally weighted S &P index simply re-weights the 500 shares comprising the S &P 500, maintaining the inherent bias of the capitalization weighted indices. A high turnover and associated high costs are additional problems of equitably weighted indexes. Equally weighted indices include small non-liquid stocks, which are required to maintain the same proportion of the largest and most liquid shares in the index. These small non-liquid shares must be negotiated with the same frequency as the larger shares but with a higher cost because they are less liquid. What is needed then is an improved method of weighting financial objects in a portfolio based on an index that overcomes the disadvantages of conventional solutions.

Brief Description of the Invention In an exemplary embodiment of the present invention, a system is described, method and computer program for construction of indexes and / or portfolio weighting. Preferred embodiments of the present invention can use indexing based on accounting data, for example, measures based on firm-size accounting data, rather than market capitalization, to build a stock index. By avoiding the inherent valuation bias of capitalization-weighted indices, indices based on accounting data (ADBI) can outperform capitalization-weighted indices by up to 200 bps in the United States and by more than 250 bps international, based on extensive supporting evidence (until 1962 in the United States and until 1988 internationally). An example mode can use four specific measures in the ADBI construction: book equity value; earnings (fresh cash flow); sales; and gross dividends. An ADBI construction strategy can offer several advantages. For example, ADBI may perform better than capitalization-weighted indices. Additionally, ADBI can adapt to different strategies. ADBI can be used to build company indexes, large or small, indices of the industrial sector, geographical indexes and others. ADBI can also effectively limit portfolio risk by providing the benefits of traditional capitalization weighted indices, while generating incrementally higher returns with somewhat lower volatility than comparable capitalization weighted indices. ADBI can also provide protection against bubbles and market trends because the weighting of an action in the index is immune to errors in stock valuation. In an exemplary embodiment, the present invention may be a method of constructing a portfolio of financial objects, including the steps of: purchasing a portfolio of a plurality of similar financial objects to obtain and / or create a similar portfolio, wherein the performance of the portfolio of similar financial objects substantially reflects the performance of an index-based portfolio based on accounting data without substantially replicating the portfolio based on an accounting-based index. The modality may also include: obtaining and / or using a risk model for the replication portfolio of financial objects, where the risk model reflects a risk model of the index based on accounting data. The performance of the portfolio of similar financial objects can substantially reflect the performance of the index-based portfolio based on accounting data without substantially replicating financial objects and / or weights in the portfolio based on the index based on accounting data. The risk model can be substantially similar to the Fama-French factors, where the Fama-French factors can include at least one size effect, value effect, and / or momentum effect. An end-of-business object may include: at least one interest in at least one of: a good; an obligation; a tracking portfolio; a financial instrument and / or a value, wherein the financial instrument and / or the value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, a call, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: investment-free funds, a traded exchange fund (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or other investments managed separately and / or assembled. In another exemplary embodiment, the present invention may be a method of constructing a portfolio of financial objects, including the steps of: purchasing a plurality of financial objects in accordance with weights substantially similar to the weights of an index based on accounting data, where the performance of the plurality of financial objects substantially reflects the performance of the index based on accounting data without substantially using the same financial objects in the index based on accounting data. The financial object may include: at least one unit of interest in at least one of: a good; a responsibility; a tracking portfolio; a financial instrument and / or a value, where the financial instrument and / or the value denotes a debt, an interest of equity, and / or a hybrid; a derivative contract; including at least one of: a future, a forwarding, a placement, a call, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and without import if such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: investment-free funds, a traded exchange fund (ETF), a fund of funds, a mutual fund, a fund, closed , an investment vehicle, and / or other investments managed separately and / or assembled. In another exemplary embodiment, the present invention may be a method of constructing a portfolio of financial objects, including the steps of: determining overlapping financial objects that appear in both the index based on accounting data (ADBI) and a conventional weighted index, wherein the conventionally weighted index includes a weighted index based on at least one of capitalization, equitable weighting, and / or stock price, and wherein the ADBI may include weighting based on at least one factor based on accounting data and not based on any capitalization index, fair weighting, and / or stock price weighting; compare weights of overlapping financial objects in the ADBI with weights of the financial overlapping objects in the conventionally weighted index; and buy at least one financial item based on the comparison. The purchase may include at least: buying a long position in at least one overlapping financial object when the comparison indicates that at least one overlapping financial object is over weighted in the weighted non-capitalization index relative to the conventional index; and / or purchasing a short position in at least one overlapping financial object when the comparison indicates that at least one overlapping financial object is undervalued at the weighted index of. no capitalization relative to the conventional index. The purchase of the long and / or short positions can be implemented by using total return swaps. Long and / or short positions can be maintained for one year. The modality can also include rebalancing the portfolio. The rebalancing may include: at least one of creating new long and / or short positions using cash flow from new capital contributors, and / or altering existing long and / or short positions using cash flow from new capital contributors . The modality may also include using influences to obtain long and / or short positions. The comparison may include calculating a difference between the weights, and / or calculating a difference between arithmetically modified values of the weights. The arithmetically modified values of the weights can include square roots of the weights. The comparison may include calculating a difference based on weighting levels using stratified sampling. The financial object may include: at least one of a unit of interest in at least one of: a good; an obligation; a tracking portfolio; a financial instrument and / or a value, wherein the financial instrument and / or the value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, a call, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: investment-free funds, a traded exchange fund (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or other investments managed separately and / or assembled. In another exemplary embodiment, the present invention may be a method of constructing a portfolio of financial objects, including the steps of: determining non-overlapping financial objects that appear only in an index based on accounting data (ADBI) or a conventional weighted index , wherein the conventionally weighted index includes a weighted index based on at least one of capitalization, equitable weighting, and / or stock price weighting, and wherein the ADBI may include weighting based on at least one factor based on accounting data and not based on any capitalization index, fair weighting, and / or stock price weighting; weight the non-overlapping financial objects in the ADBI by weighting based on accounting data; weight the non-overlapping financial objects that appear only in the conventionally weighted index by conventional weighting; and buy at least one financial object based on the weighting. Weighting based on accounting data can include: (a) collection of data about a plurality of financial objects; (b) selecting a plurality of financial objects to create an index of financial objects; and (c) weighting each of the plurality of financial objects selected in the index based on an objective scale measurement based on accounting data of a company associated with each of the financial objects of the plurality, wherein the weighting it may include: (i) weighting at least one of the financial objects of the plurality based on accounting data; and (ii) weight differently to the weighting based on at least one of market capitalization, fair weighting, and / or stock price weighting. The modality may further include weighting each of the financial objects of the plurality, wherein each of the financial objects may include: at least one unit of interest in at least one of: a good; an obligation; a tracking portfolio; a financial instrument and / or a value, wherein the financial instrument and / or the value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, a call, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: investment-free funds, a traded exchange fund (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or other investments managed separately and / or assembled. The modality may further include weighting each of the financial objects of the plurality, wherein each of the financial objects may include an action. Objective measures of scale may include weighting based on any dividend, book value, cash flow, and / or earnings. The modality can also include equal weighting of each objective scale measurement. The modality can also include weighting based on the objective scale measurement, where the objective scale measurement can include a company size measurement associated with each of the financial objects of the plurality. The company size measurement can include at least one of: inventory, earnings, sales, entry, accounting entry, taxable entry, profit growth rate, pre-tax earnings and interest (EBIT), earnings before interest, taxes, depreciation and amortization (EBITDA), retention gains, number of employees, capital expenditures, wages, book value, goods, fixed assets, current goods, quality of goods, operative goods, intangible assets, dividends, gross dividends , dividend yields, cash flow, liabilities, losses, long-term liabilities, short-term liabilities, liquidity, long-term debt, short-term debt, bonds, corporate bonds, net worth, shareholder equity, good will, development, charity and research expenses, costs, costs of goods sold (COGS), and / or research and development costs. The financial object may include: at least one unit of interest in at least one of: a good; an obligation; a tracking portfolio; a financial instrument and / or a value, wherein the financial instrument and / or the value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, a call, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: investment-free funds, a traded exchange fund (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or other investments managed separately and / or assembled. In another exemplary embodiment, the present invention may be a method, implemented in a data processing system, including the steps of: creating an index based on accounting data (ADBI) based on accounting data including: selecting a universe of financial objects, and selecting a subgroup of the universe based on the accounting data to obtain the ADBI; create a portfolio of financial objects using the ADBI, including weighting the financial objects in the portfolio according to a value measurement of a company associated with each financial object in the portfolio. The universe can include at least one of: a sector; a market; a market sector; an industry sector; a geographical sector; an international sector; a sub-industrial sector; a government issue; and / or a financial object exempt from taxes. Accounting-based data used in weighting as a measure of the company's value associated with the financial object may include at least one of: any dividend; gain; Cash Flow; and / or nominal value. The data based on accounting can be weighted in a relative manner depending on the geography of the company associated with the financial object. The financial object may include: at least one unit of interest in at least one of: a good; an obligation; a tracking portfolio; a financial instrument and / or a value, wherein the financial instrument and / or the value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, a call, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: investment-free funds, a traded exchange fund (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or other investments managed separately and / or assembled.

In another exemplary embodiment, the present invention may be a computer-implemented method for construction and management of an index and at least one index fund containing a portfolio of financial objects based on the index, wherein the weighting of the index is Based on data based on accounting instead of stock prices or market capitalization or equitable weighting, the method implemented by computer includes the steps of: creating an index, and at least one index fund that contains a portfolio of financial objects , in the constituent weights of the companies that issue the financial objects in the index fund are based on accounting-based data with respect to the companies associated with the financial objects, where the data based on accounting can include any dividend, flow of cash, earnings, and / or face value. The modality may also include: creating the index, and the at least one index fund containing a portfolio of financial objects where the constituent weights are based on any accounting data rate, or any data manipulation based on accounting, that are contained within a standard annual report and company accounts. The modality may also include: creating the index, and the at least one index fund containing a portfolio of financial objects where the constituent weights are based on any data rate based on accounting per share, or any manipulation of data based in accounting, which are contained within a standard annual report and company accounts. The modality may also include: managing a data index based on accounting, and at least one index fund that contains a portfolio of financial objects based on the index including: altering the relative weights of the financial objects within the at least an index fund when changing the accounting data that concerns the companies associated with financial objects. The alteration may include at least one of: altering based on at least one of: changes in relative weights of financial objects in the index; and / or changes in financial objects that are members of the index outside of the sampling changes; and / or alter at least one when, and / or after at least one company associated with a financial object of the index reports its accounting information. The financial object may include: at least one unit of interest in minus one of: a good; an obligation; a tracking portfolio; a financial instrument and / or a value, wherein the financial instrument and / or the value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, a call, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: investment-free funds, a traded exchange fund (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or other investments managed separately and / or assembled. The company size measurement may include at least one of: a company's financial rate; a data rate based on accounting; a data rate based on accounting per share; a first accounting data rate with respect to a second set of data based on accounting; a liquidity rate; an operating capital rate; a current rate; a fast rate; a cash rate; a property renewal rate; a reception renewal fee; an average collection period rate; an inventory renewal rate; an inventory period rate; an influence rate; a debt rate; a debt to equity ratio; a rate of interest coverage; a rate of return; a common equity return rate (ROCE); profit margin rate; Earnings per share (EPS) rate; Gross profit margin rate; a rate of return on goods; a rate of return in equity; a dividend policy rate; a dividend yield rate; a rate of payment ratio; a capital market analysis rate; a price to earnings ratio (PE); and / or a book-to-book market rate. Additional features and advantages of the invention, as well as the structure and operation of various embodiments of the invention, are described below in detail with reference to the accompanying drawings. BRIEF DESCRIPTION OF THE DRAWINGS The foregoing and other features and advantages of the invention will be apparent from the following more particular description of exemplary embodiments of the invention, as illustrated in the accompanying drawings. In the drawings, similar reference numbers generally indicate identical, functionally similar, and / or structurally similar elements. "The drawing in which an element appears for the first time is indicated by the digits on the left in the corresponding reference number. An exemplary embodiment is discussed below in the detailed description of the following drawings: Figure 1 is a deployment chart of a generation index and process of use according to an exemplary embodiment of the present invention; Figure 2 is a process flow diagram of an index generation process according to an exemplary embodiment of the present invention; Figure 3 is a process flow diagram of index usage according to an exemplary embodiment of the present invention; Figure 4 is a process flow diagram of a method for creating a portfolio of financial objects; and Figure 5 is a process flow diagram of a method of building an ADBI and a portfolio of financial objects using the ADBI. DETAILED DESCRIPTION OF THE INVENTION Various exemplary embodiments of the invention including a preferred embodiment are discussed in detail below. While specific implementations are discussed, it should be understood that this is done only for illustration purposes. A person skilled in the relevant art can recognize that other components, configurations, accounting data, and rates can be used without departing from the spirit and scope of the invention. An exemplary embodiment of the invention can be implemented in a computing device, processor (s), computer (s) and / or communication devices. The computer, in an exemplary embodiment, may comprise one or more central processing units (CPUs) or processors, which may be coupled to a bus. The processor can, for example, access a main memory via the bus. The computer may be coupled to an input / output subsystem (I / O) such as, but not limited to, a network interface card (NIC), or a modem to access a network. The computer can also be coupled to a second memory directly via the bus, or by means of main memory, for example. The secondary memory may include, for example, but not limited to, a disk storage unit or other storage medium. Exemplary storage units may include, but are not limited to, a magnetic storage device such as, for example, a hard disk, an optical storage device such as, for example, a one-write drive and multiple readings (WORM). ), or a compact disc drive (CD), or a magnetic optical device. Another type of secondary memory may include a removable disk storage device, which may be used in conjunction with a removable storage medium, such as a CD-ROM, a floppy disk or flash memory unit, etc. In general, the disk storage unit can store an application program for operating the computer system commonly referred to as an operating system. The disk storage unit can also store documents from a database (not shown). The computer can interact with the I / O subsystems and disk storage unit via bus. The bus can also be coupled to a screen for output, and input devices such as, but not limited to, a keyboard, and a mouse or other pointing / selecting device. In this document, the terms "computer program medium" and "computer readable medium" can be used to refer generally to means such as, for example, but not limited to, a removable storage disk drive, an installed hard disk on the hard drive, and signals etc. These computer program products can provide computer system software. The invention can be directed to such computer programs. References to "one modality", "one modality," "exemplary modality," "several modalities," etc. they may indicate that the embodiments of the invention so described may include a particular feature, structure, or characteristic but not all modalities necessarily include the particular feature, structure, or quality. In addition, the repeated use of the phrase "in a modality", or "in an exemplary modality", does not necessarily reflect the same modality, although they may. In the following description and claims, the terms "coupled" and "connected" together with their derivatives, can be used. It should be understood that these terms are not presented as synonyms. Instead, in particular modes, "connected" can be used to indicate that two or more elements are in direct physical or electrical contact. "Coupling" can mean that two or more elements are in direct physical or electrical contact. However, "coupled" can also mean that two or more elements are not in direct contact, but still cooperate or interact with each other. An algorithm here, and generally, is considered a self-consistent sequence of acts or operations that lead to a desired result. These include physical manipulations of physical quantities. Usually, but not necessarily, these quantities take the form of electrical or magnetic signals capable of being stored, transferred, combined, compared, and manipulated in another way. Sometimes it has proved convenient, mainly for reasons of common use, to refer to these signals as bits, values, elements, symbols, characters, terms, numbers or the like. It should be understood, however, that all these terms and the like should be associated with the appropriate physical quantities and are merely convenient labels applied to these quantities. Unless it is specifically stated differently, as it is apparent from the following discussions, it is appreciated that throughout the discussions of specification the use of terms such as "processing", "computation", "calculations", " "determine", or similar, refers to the action and / or processes of a computer or computer system, or common electronic computing device, that manipulate and / or transform data represented as physical quantities, such as electronic records within the system of computation and / or memories in other data similarly represented as physical quantities within the memories registers or other devices of storage, transmission or visualization of the computational system. In a similar manner, the term "processor" can refer to any device or portion of a device that processes electronic data from registers and / or memory to transform that electronic data into other electronic data that can be stored in registers and / or memory. A "computing platform" may comprise one or more processors. Modes of the present invention can include apparatuses to perform the operations of this. An apparatus can be constructed specifically for the desired purposes, or it can comprise a general-purpose device selectively activated or reconfigured by a program stored in the device. Build indexes based on accounting data A financial object can include: at least one unit of interest in at least one of: a good; an obligation; a tracking portfolio; a financial instrument and / or a value, wherein the financial instrument and / or the value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, a call, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such contract, for accounting purposes, is considered a good or liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: investment-free funds, a traded exchange fund (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or other investments managed separately and / or assembled.

Figure 1 shows an exemplary deployment diagram 100 of an index generation and process of use according to an exemplary embodiment of the present invention. According to the exemplary embodiment, an analyst can use a computer system 102 to generate an index 110. The analyst can do this by using analysis software 114 to examine data 106 about entities that offer different types of financial objects that can be traded by investors. An example of an entity that can offer financial objects can be a public company whose shares are traded on the stock exchange. However, the present invention also applies to any entity that may have any type of financial object that may be marketed where information about the entity and / or its financial object is available (or may be made available) for analysis. In an exemplary embodiment, once the index 110 has been generated by an analyst using the entity data 106, the index 110 can be used to construct investment portfolios. An investor, advisor, administrator or broker can then manage the financial objects acquired as a mutual fund, an electronically traded fund, a closed fund or another portfolio or account of securities for one or a plurality of individual and / or institutional investors. The investor, assessor, administrator or broker may use a commercial computer 104 with commercial software 116 to administer one or more trading accounts 108. Alternatively, acquired financial objects may be administered to one or more investors. In this case, financial objects can be purchased based on the index for inclusion in a portfolio of individual or institutional investors. One or more transactions can be made or closed in cooperation with and through communication with the host of the stock exchange 112. Figure 2 shows a process flow diagram 200 of an index generation process according to an exemplary embodiment of the present invention. In an exemplary embodiment, beginning in block 202, to generate index 110, an analyst using analysis software 114 can access entity data 106 about various entities that have financial objects that are marketed. For example, public companies must disclose information about certain aspects of their operations. This information can be aggregated for a plurality of entities. The corresponding market sectors and indices can then be identified and generated using the aggregated data. In a bit more detail, an index 110 can be generated by normalizing the entity data for a particular non-market capitalization measure in block 208. The process ends in block 210. Once the index 110 is generated, according to an exemplary mode, the index 110 can be used to follow the commercial sector defined by the measurement or to create a portfolio of financial objects offered by the entities whose information was used to generate the index. For example, in an exemplary embodiment of the invention a method of constructing an unweighted portfolio by capitalizing financial objects may include, for example, gathering data about various financial objects; select a group of financial objects to create the index of financial objects; select a group of financial objects selected in the index based on an objective scale measurement of each member of the group of financial objects, where the weighting can include weighting all or a sub-group of financial objects, and weighting different from weighting market capitalization, fair weighting, or stock price weighting. In an exemplary embodiment, the weighting of each member of the group of financial objects may include weighting financial objects of any of several types. Examples of the various types of financial objects may include, for example, but not limited to, type of action; type of comfort; a type of future contract; a type of bonus; a type of mutual fund; a closed fund type; a type of fund of funds; a type of fund traded on the exchange (ETF); a type of good derivative; and any other portfolio or account of financial objects. The weighting may also include, for example, but not limited to, negative weighting of any of the various types of financial objects. In accordance with exemplary embodiments of the present invention, the index 110 may be weighted based on an objective scale measurement, wherein the objective scale measurement may include a measurement related to an underlying asset. The financial object may include a municipality, a municipality issuing bonds, or a convenience. An objective measure of scale associated with the financial object may include a combination of rates of: profit, profitability, sales, total sales, export sales, domestic sales, net sales, gross sales, operating margin, retained earnings, earnings per share, nominal value, nominal value adjusted for inflation, nominal value adjusted for replacement cost, nominal value adjusted for liquidation value, dividends, goods, tangible goods, intangible assets, fixed assets, property, plant, equipment, charity, value of replacement of goods, value of liquidation of assets, liabilities, long-term liabilities, short-term liabilities, net value, expenses in research and development, reimbursement accounts, earnings before interest, taxes, dividends, and amortization (EBITDA) , accounts payable, cost of goods sold (CGS), debt rate, budget, capital budget, effective budget, budget This includes direct work, superior factory budget, operating budget, sales budget, inventory method, type of shares offered, liquidity, nominal gain, fiscal gain, capitalization of profits, capitalization of charity, capitalization of interest, capitalization of profit, capital expenditures, cash, compensation, employee renewal, higher costs, credit rating, growth rate, dividends, dividends per share, dividend yield, tax rate, company liquidation value, cash capitalization, capitalization of profits, capitalization of income, cash flow, and / or expected future cash flow. You can also use proportions. In an exemplary mode, the weighting of financial objects in the index based on objective measurements of scale can include a proportion of any combination of objective measurements of scale of the financial object different from the proportions based on weighting of financial objects based on capitalization - market, fair weighting, or weighting by share price. For example, the proportion of any combination of objective scale measures may include, for example, but not limited to, current ratio, debt ratio, fixed expenses as percentage of sales, or proportion of debt load in service. In an exemplary embodiment, the portfolio of financial objects may include, for example, but not limited to, one or more of, a fund; a mutual fund; a fund of funds; an asset account; u n Stock Exchange Fund (ETF); a separate account, a joint consortium, a limited partnership or another legal entity, fund or account. In an exemplary mode, a measure of the size of the company may include at least one of or a combination of gross income, sales, profits, earnings before interest and taxes (EBIT), earnings before interest, taxes, depreciation and amortization. (EBITDA), number of employees, nominal value, assets, liabilities, net worth, cash flow, or dividends. In an exemplary mode, the company size measurement can include a demographic measurement of the financial object. The demographic measurement of the financial object may include, for example, one of, or any combination of one or more of a non-financial measurement, a measurement unrelated to the market, a number of employees, floor space, office space, or other demographic characteristics of the financial object. In an exemplary mode, the weighting can be based on the objective measurement of scale, where the measurement can include a geographical measurement. The geographic measurement in an exemplary mode may include a geographic measurement different from the weight of gross domestic product (GDP). Fig. 3 shows an exemplary process flow diagram 300 of an index usage process according to an exemplary embodiment of the present invention. The process begins in block 302. An index 310 can be received from an index generation process and can be used to determine the identity and quantity of securities to be purchased for a portfolio in block 304, in accordance with an exemplary embodiment. The securities can be purchased, in block 306, from a stock exchange 314 or another market and can be held in account for an investor or group of investors in the trading accounts 308. The index 310 can be updated, but without limited to, periodically and can be used as a basis to rebalance the portfolio, in accordance with an exemplary modality. According to another exemplary embodiment, the portfolio can be rebalanced when, for example, a predetermined threshold is reached. In this way, a portfolio can be created and maintained based on an index that is not market capitalization. The rebalancing can be based on financial objects that reach a threshold condition or value. For example, but without limitation, rebalancing may occur upon reaching a threshold such as, for example, "when the portfolio of financial objects increases in commercial value by 20%" or "when financial objects in a sub-category within the portfolio exceed 32% of the portfolio size "or" when a president of the United States is chosen from a party other than the incumbent, "etc. The rebalancing can occur periodically, for example, quarterly, or annually. The present invention, in an exemplary embodiment, can be used for investment management, or establishment of an investment portfolio reference point. Another exemplary embodiment of the present invention may include an index based on accounting data (ADBI) such as, for example, but not limited to, a fundamental index (FUNDAMENTAL INDEX ™) and index funds or funds. This exemplary embodiment may use a new series of accounting data based on stock exchange indexes where the index weights may be determined by company accounting data such as, but not limited to, the relative size of the earnings of A company, or its pre-exceptional earnings, or sales, or return on investment or any accounting article based on accounting data, or proportion, can help address some of the problems expressed above. An index that is weighted in the company's accounting data, instead of the stock price, or market capitalization or equitable weighting, can have a stabilizing element within it that can help remove the superfluous volatility generated by the companies. Indices constructed only on the basis of market price or capitalization. Over a medium to long term, such indices based on accounting data have the potential to have a better performance than the indexes based on market capitalization, and can do so with less volatility. The exemplary inventive method can create a new class of stock market indexes and index funds that can be implemented in, for example, but not limited to, a computing device or a processor, or as a computer software or hardware, or as an algorithm This new class of stock market indexes can base their weightings on the accounting data of the companies that make up that index. A possible version of a stock market index based on accounting data can be an index that is based on the relative size of a sample of the company's pre-exceptional earnings. If the chosen sampling of companies was determined to be one hundred and the criteria based on accounting data that the index administrator decided to use was "higher pre-exceptional earnings, "then the index may contain, for example, the one hundred largest companies as defined by the size of their pre-exceptional earnings, as an example, if the total pre-exceptional earnings of the hundred largest companies, as measured for pre-exceptional earnings, were 100 dollars, pounds or other currency, in a defined period (such as a quarter or year) and in the same period of time the pre-exceptional earnings of the theoretical company "A" outside of $ 2, then the theoretical company A would be assigned a 2% weight in the index based on accounting data, in an exemplary mode, if the theoretical company B had pre-exceptional earnings of &1.5 in the same period of time would then have a weighting of 1.5% in the index based on accounting data in accordance with an exemplary mode. The weights of the index can be managed based on how the fundamentals of the companies inside or outside the sampling of the chosen index can change. As an example, the index administrator could choose to rebalance the weights from time to time such as, but not limited to, periodically, not periodically, quarterly, by changing the pre-exceptional earnings of the company, and / or on a annual, etc., and enter your choice in, for example, a computational device. If, for example, at the time of the next rebalancing period the total pre-exceptional gains of the one hundred largest companies, measured by their pre-exceptional gains, would have increased to &120, and the theoretical company A would now have pre-earnings -except for &1.2, the computing device could calculate the weight of the company in the index based on accounting data such as, for example, the index based on accounting data at 1% of 2% in the previous period. Creating such indices based on accounting data can give an investor the opportunity to follow, or invest, passively in an index that can be anchored to the economic properties of the companies that comprise it. This new index construction technique based on accounting data by a computational device can produce an index and index fund products related to increased stability and with an increasingly rational economic behavior compared to known investment methods. Indexing based on accounting data In an exemplary mode, a computational device can create a stock market index based on accounting data (ADBI) such as, for example, a stock market index based on accounting data using either data points based on accounting data with respect to a company or group of companies that can be found in an annual company report and in their accounts. In an exemplary mode, the computational device can create an index of companies based on the relative size of the company's sales, assets, profits, cash flow or shareholder equity. In addition, the computational device may also create the ADBI using a proportion of any of the data concerning a company or group of companies that may be contained in a company report and in its accounts. In an exemplary mode, this could include the relative size of the return of financial objects from a selection of companies, their return or investment, or their return on capital compared to their cost of capital. Once the index administrator has decided and entered which criteria based on accounting data to use and how many constituents the administrator who wants to include in the index can decide, the computational device can create the index in the following way. If, for example, the index administrator decides to build a stock market index based on accounting data of one hundred constituent members and decides to use pre-exceptional gains as the criterion based on chosen accounting data, the computing device can create the index as follows. First, the computational device can perform a search to find what are the one hundred largest listed companies defined by the size of their pre-exceptional gains. Once the computational device has identified this information, the computational device can be ready to build the index. Companies can be accorded index weights based on the relative size of their pre-exceptional earnings. If the combined pre-exceptional earnings of the hundred companies is $ 100 and the theoretical company A has exceptional earnings of $ 2, then it can have an index weight of 2%. Once the hundred companies have been assigned their weights, the computational device can begin to calculate the future performance of the index by changing the share prices of the different companies in the index day by day. This can be achieved by assuming an initial value for the index, or index portfolio, and then calculating how each of the constituents of the index can perform next. The computational device can then rebalance the index weights by changing the data points based on accounting data over time as desired by the investor. For example, if at the end of the next season of company reports the pre-exceptional earnings of the hundred largest companies have grown from $ 100 to $ 120 and the pre-exceptional earnings of the theoretical company have declined from $ 2 to $ 1.2, the device computational can determine its weight in the index that would decline from $ 2 in the period before $ 1 in the current period. Also, some of the original companies in the first hundred can be eliminated from the index if their pre-exceptional earnings fall below a certain level while new companies that were not included in the original sampling can be included. The computational device, under the direction of an investor, may choose to rebalance the weights of the index, for example, but without limitation, by reporting the individual companies' pre-exceptional earnings on a quarterly basis, and / or waiting until the majority of Companies have reported their pre-exceptional earnings and then adjusted them simultaneously. Also, the computational device, under the direction of an investor, may elect to determine the weights based on, for example, but not limited to, either the total nominal amount of pre-exceptional profit each quarter or on a cumulative rolling basis. Constructing a stock market index in accordance with an exemplary embodiment of the invention using company account data based on accounting data or a proportion, or manipulation of that data can provide a series of genuine alternatives for investors who want to invest in a passive style with a simultaneous concentration on fundamentals that are considered important. For example, according to an exemplary modality, an investor may always want to have an index of North American or foreign equities that are, for example, the five hundred largest companies measured by sales, or by profits, or by growth in sales, or by return. of investment, or any type of data of company accounts based on accounting data or a proportion of this data. Long-term and short-term action strategies An exemplary embodiment of the present invention can take long or short positions based on a certain degree to what indexation based on accounting data suggests about whether the equities are over- or undervalued. Figure 4 illustrates an exemplary process flow diagram 400 of a method of creating a portfolio of financial objects according to one embodiment of the present invention. In block 402 the process begins. In block 404, a determination is made of overlapping financial objects that appear in both the index based on accounting data (ADBI) 410 and a conventional weighted index 412. In block 406, the weights of overlapping financial objects in the ADBI they are compared with the weights of overlapping financial objects in the conventionally weighted index. Then, in block 408, one or more of the overlapping financial objects can be acquired based on the result of the comparison. In the alternative, exemplary embodiments of the present invention may determine non-overlapping financial objects that appear in only one of either an index based on accounting data (ADBI) or a conventionally weighted index when comparing financial objects in an ADBI with financial objects in a conventionally weighted index. Non-overlapping financial objects that appear only in the ADBI can be weighted by weighting based on accounting data. Non-overlapping financial objects that appear only in the conventionally weighted index can be weighted by conventional weighting. Financial objects can then be acquired based on the resulting weights. In an exemplary mode, an index of the 1000 largest North American equities, weighted by accounting data, can overlap an index of the 1000 largest North American companies weighted by capitalization in approximately 80%. 20% of non-overlapping companies can guide the 2.0% increase in return on an index based on accounting data such as, but not limited to, the fundamental research affiliate index (RAFI ™) available from Research Affiliates, LLC. Pasadena, CA, against an index weighted by capitalization. A long-term strategy according to an exemplary embodiment of the invention is designed to influence this 20% of companies that do not overlap, and can capture the expected alpha from indexation based on accounting data. An exemplary strategy of long-short-term US equity can be approximately beta and dollar-neutral and can replace or complement market-neutral or long-term strategies, or as part of a series of alternative portfolio strategies.

Indexing based on accounting data can use economic measures of company size when building indexes. Using economic measures based on accounting data you can use economic measures of company size when building indexes. Using economic measures based on firm-size accounting data can create an index that is indifferent to price. The indices based on accounting data can avoid failures inherent to the weighted indexes in capitalization (price). Weighted-by-capitalization indices will naturally overestimate overvalued stocks and sub-weighted undervalued stocks. Indexes based on accounting data can more accurately estimate a true fair value of a company, allowing the weighting of a company's stock in the index to rise or fall only to the extent that the underlying economic value of the issuing company can climb or najar. ADBI Portfolio Construction Figure 5 illustrates a flow process diagram 500 of a method of building an ADBI and a portfolio of financial objects using the ADBI, beginning in block 502. In block 504, the ADBI 510 is created. Create the ADBI may include, in block 506, selecting a universe of financial objects, and, in block 508, selecting a subgroup of the universe based on the accounting data to obtain the ADBI 510. Then, in block 512 , a portfolio of financial objects is created using the ADBI 510, including weighting the financial objects in the portfolio according to a value measurement of a company associated with each financial object in the portfolio. To build an index based on exemplary accounting data (ADBI), such as, but not limited to, the fundamental index of research affiliates (RAFI ™), a number of financial objects, for example 1000 North American equities, can be selected and / or weighted based on the following four form size measurements based on accounting data: nominal equity value, free cash flow, sales, and gross dividends. An exemplary mode of an index based on accounting data such as, but not limited to, the RAFI ™ index may first weight all North American equities with each of the four measures based on firm-size accounting data as shown in the table below. explain above. According to an exemplary mode, an optimal relative weighting among the four factors can differ by geography of the stock market from which equities are selected such as, for example, an equitable weighting can be optimal in a country or industrial sector, while a relative weighting among the factors may make sense in another country or industry sector. The index can then compute a general weight for each asset by weighing equally each of the four measures based on accounting data of the firm size according to an exemplary mode. For example, assume that a company has the following weights: 2.8% of the total North American nominal values, 2% of the total North American cash flow, 3% of the total North American sales, and 2.2% of the total North American dividends. Equally weighting these four measures of firm size based on accounting (in this case, nominal value, cash flow, sales and dividends) can produce a weighting of 2.5%. According to an example modality, for companies that have never paid dividends, the dividends from the calculation of the accounting-based weighting could be excluded. Finally, in an exemplary mode the 1000 equities with the weights based on the highest accounting data can be selected and weighted in the RAFT ™ portfolio equal to their weighting based on weighting data. In accordance with another exemplary modality, an index based on accounting data such as, for example, but not limited to RAFI ™ can be constructed using aggregate measures (not per share) of firm size. For example, RAFI ™ may use the total cash flow of the firm instead of the cash flow per share and the total nominal value instead of the nominal value per share in its construction. In an exemplary mode, the accounting data may include the following four factors: nominal value, sales / earnings, cash flow and dividends. In another exemplary embodiment, only one or more of these factors may be used. In another exemplary embodiment, additional factors may be used, such as, for example, accounting data. In an exemplary mode, the weights of each of these factors can be relatively equal, by exercising 25% of each face value, sales / earnings, cash flow and dividends. In an exemplary mode, if there are no dividends, then the other three factors can be weighted equally, in this case 33% each of face value, betas / gains, and cash flow. In another exemplary embodiment, the dividends may be weighted in a larger portion such as, for example, but not limited to, weighting dividends at 50% and face value, sales gains, and cash flow at 1/6 each, etc. In an exemplary mode, the weights may be the same, depending on the country or place of origin or the industrial sector of the share or other financial object. In another exemplary mode, the weights may vary depending on the country of origin or the industrial sector of the share or other financial object. In another exemplary embodiment, the weights may vary based on other factors, such as, for example, but not limited to, types of goods, industrial sectors, geographical sectors, sizes of companies, profitability of companies, amount of profit generated by the company, etc. An index based on accounting data may be available in several varieties to meet the unique needs of different classes of retail and institutional investors, including, but not limited to, such as enhanced portfolios, stock exchange traded funds (ETFs). , open end mutual funds, portfolios administered by taxes, a collection of financial objects managed collectively but followed separately, and closed mutual funds. Several North American and international investment managers can offer, for example, but not limited to, a set of products. A limited partnership or other fund or account that invests in assets based on an index based on accounting data, such as, for example, the research affiliates fundamentals index, LP (RAFI LP) may increase the alpha generated by indexation based in accounting data in the United States through improvements or improvements, including, but not limited to, monthly cash rebalancing and quality of profits and corporate authority filters. Of the additional improvements available through the LP, one can expect to add 40-70 bps of annual over-performance above the 200 bps of annual over-performance that can be achieved through the use of data-based indexing. of accounting in the construction of the portfolio. A limited company or other fund or account that invests in goods based on an international ADBI LP such as, RAFI International LP (RAFI ™ -I) can apply indexation based on accounting data to the international equity space in an exemplary manner to create an improved portfolio of, for example, but not limited to, 1000 international equities (es-US). RAFI-I can be expected to outperform capitalization-weighted indices by approximately 250 bps per year. Like the other fundamental RA RA index, RAFI-I is an improved portfolio that can use monthly cash rebalancing and corporate quality and profit quality filters to improve the performance of the international RAFI index. Mutual open funds can manage financial objects that employ a fixed income and drinking alpha strategy using the index based on accounting data (ADBI) in accordance with an exemplary mode. An exchange commercial fund (ETF) of ADBI, as for example but limited to POWESHARES TTSE RAFI US 100 ETF portfolio (symbol: PRF) can meet the needs of investors interested in low cost means to access the power of indexation based on accounting data in another modality copy. Another exemplary modality includes a closed fund that implements indexation based on accounting data such as, for example, Canadian Fundamental Income 100, a mutual closed fund of 100 stocks based on accounting data in Canada that attracted investments from minority and industrial investors in 2005, one of the most complicated closed markets in recent history, demonstrating the strength of the indexing strategy based on accounting data. Indexing based on long-short-term accounting data (ADBI-LS) Indexing based on long-short-term accounting data (ADBI-LS) such as, for example, but not limited to, RAFL-LS, is a long-short North American equity strategy that influences ADBI such as RAFI ™ innovation. The North American RAFI 1000 portfolio is designed to perform better than Russell 1000 (and the S &; P 500) of around 200 bps per year. By taking long-term stocks that have a greater weighting in the North American RAFI portfolio 1000 relative to the Russell 1000 and in the short term in the shares that are sub-weighted in the North American RAFI 1000 relative to the Russell 1000, the RAFI-LS strategy captures the process alfa RAFI and improve that alpha source. ADBI-LS such as, for example, RAFI-LS according to an exemplary modality, is designed to be practically neutral to the dollar and neutral beta, but not neutral to the sector. The sector bet can be significant if the ADBI strategy determines that a sector is substantially overvalued. In general, the overlap between the American RAFI ADBI 1000 and the Russell 1000 index based on capitalization can be approximately 75%. This can give weights of 25% for the long portfolio and weights of 25% for the short portfolio. The portfolio can be applied to 300% long and 300% short, which can magnify the RAFI alpha and portfolio volatility. Tactically influence can be applied, and can vary from about 200% long / short to about 400% long / short according to exemplary modalities. ADBI-LS such as, for example, RAFI-LS according to an exemplary modality can be designed to achieve an annual volatility of 15-25%. The volatility of the exemplary RAFI-LS, since its introduction, has been approximately 15%. In accordance with an exemplary mode, ADBI-LS, such as, for example, RAFI-LS can use influence in both its short and long term positions. On average, $ 100 invested in RAFI-LS can result in a long notional position of $ 300 and a short notional position of $ 300. Implementation of the long and short positions of an ADBI-LS According to an exemplary model, it is not necessarily necessary to directly maintain long or short positions in the underlying shares, nor is it necessary to access a direct line of credit for the influence of the portfolio. Instead of this, in accordance with an exemplary mode, derivatives, such as full return swaps, can be used to implement short and long positions. It may be possible to achieve a minimum counterpart default risk exposure by entering into swaps with large Wall Street firms in an exemplary manner. Investors of an ADBI-LS may not physically sell any US equity; instead of these; investors can merely maintain OTC derivative contracts. This can provide both tax benefits and efficiency in investment logistics. ADBI-LP such as, for example, RAFI-LP ™, can be a full-market ADBI. ADBI-LS such as, for example RAFI-LS ™, can be a fund that uses the differences between the company weights in ADBI such as, for example, RAFITM and in a weighted index by capitalization to establish short and long positions in accordance with an exemplary modality. ADBI-LS can be designed to be dollar neutral and beta equity neutral in an exemplary mode. Therefore, one would expect that the ADBI-LS returns mostly do not correlate with the equity market return in an exemplary mode. However, the ADBI may not be market neutral in the traditional sense as it is not neutral to the industry in an exemplary manner. The ADBI-LS does not match positions, and therefore is different from traditional short-long equity strategies where, for example, but not limited to, a short position of General Motors (GM) is paired with a long Ford position. . Instead, ADBI-LS can acquire both long and long positions based on the relative difference between the ADB index and, for example, the FUNDAMENTAL INDEX ™ (fundamental index) weights and those of a capitalization-weighted index, such as for example, but not limited to, the Russell 1000. An exemplary modality of ADBI-LS can be rebalanced periodically or non-periodically. For example, on average, ADBi-ls, such as, for example, the RAFI-LS portfolio, can keep their long-short bets for approximately one year. The cash flow of new capital contributed to the strategy can be used to rebalance the portfolio to create new long-short bets or alter existing ones according to an exemplary mode. In an exemplary embodiment, the present invention may be a method for constructing a portfolio of financial objects, comprising: purchasing a portfolio of a plurality of imitation financial objects to obtain and / or create an imitation portfolio, wherein the portfolio of Imitation financial objects substantially reflects the performance of the index-based portfolio based on accounting data without substantially replicating the portfolio based on the index based on accounting data. The method can also obtain and / or use a risk model in which the risk model reflects an index risk model based on accounting data. The risk model can be substantially similar to the Fama-French factors, where the Fama-Fench factors can comprise at least one side effect (for example, when the small capitalization beats the large capitalization), the effect of value (per example, when the high B / P beats the low B / P), and / or momentum effect (for example when the strong momentum overcomes the long momentum, for example 10 years or more). The performance of the portfolio of imitation financial objects may substantially reflect the performance of the portfolio based on the accounting-based data without substantially replicating the financial objects and / or weightings in the portfolio based on the index based on accounting data.

In another exemplary embodiment, the present invention may include acquiring a plurality of financial objects in accordance with weights substantially similar to the weightings of an index based on accounting data (ADBI), wherein the performance of financial objects substantially reflects the performance of the ADBI without substantially using the same financial objects in the ADBI. While several modalities of the present invention have been described above, it should be understood that they have been represented as examples only, and not as limitation. Thus, the amplitude and spectrum of the present invention should not be limited by any of the exemplary embodiments described above, but should then be defined only in accordance with the following claims and claims.

Claims (40)

1. CLAIMS 1. A method to build a portfolio of financial objects, comprising: acquiring a portfolio of a plurality of imitative financial objects to obtain and / or create an imitative portfolio, where the performance of said portfolio of financial objects substantially reflects the performance of a portfolio based on an index based on accounting data without substantially replicating said portfolio based on an index based on accounting data. The method of claim 1m further comprising: obtaining and / or using a risk model for said portfolio of imitative financial objects, wherein said risk model reflects a risk model of said index based on accounting data. The method of claim 1, wherein said performance of said portfolio of imitative financial objects substantially reflects the performance of said portfolio based on an index based on accounting data without substantially replicating the financial objects and / or weights in said portfolio based on in index based on accounting data. The method of claim 1, wherein said financial objects comprise: at least one unit of interest in at least one of: a good; a responsibility; a tracking portfolio; a financial instrument and / or value, wherein said financial instrument and / or said value denotes a debt, equity interest, and / or hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether said contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: a closed fund, a commercial securities fund (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or any other type of investments managed jointly or separately. 5. A method for constructing a portfolio of financial objects, comprising: acquiring a plurality of financial objects according to weights substantially similar to the weights of an index based on accounting data, wherein the performance of said plurality of financial objects reflects substantially the performance of said index based on accounting data using substantially the same financial objects in said index based on accounting data. The method of claim 5, wherein said financial object comprises: at least one unit of interest in at least one of: a good; a responsibility; a tracking portfolio; a financial instrument and / or a value, wherein said financial instrument and / or said value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: a closed fund, a goodwill of securities (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or any other type of investments managed jointly and / or separately. 7. A method for building a portfolio of financial objects, comprising: determining overlapping financial objects that appear both in the index based on accounting data (ADBI) and a conventionally weighted index, where said conventionally weighted index comprises a weighted index at least one of capitalization, equitable weighting, and / or share price, and wherein said ADBI comprises weighting based on at least one factor based on accounting data and not based on any of capitalization, fair weighting, and / or stock price weighting index; comparing weights of said overlapping financial objects in said conventionally weighted index; and buy at least one financial object based on said comparison. The method of claim 7, wherein said acquisition comprises at least one of: acquiring a long position in at least one overlapping financial object wherein said comparison indicates that said at least one overlapping financial object is overweighted in said index not weighted by capitalization with respect to said conventional index; and / or acquiring a short position in at least one overlapping financial object where said comparison indicates that said overlapping financial object is sub-valued in said non-weighted index by capitalization with respect to said conventional index. The method of claim 8, wherein said acquisition of said long and / or short positions is implemented using total return permutations. The method of claim 8, wherein said long and / or short positions are conserved for one year. The method of claim 8, further comprising rebalancing the portfolio. The portfolio of claim 11, wherein rebalancing comprises: at least one of creating new long and / or short positions using cash flow of new capital contributions, and / or altering long, and / or short positions using flow of cash from new capital contributions. The method of claim 7, further comprising using influences to obtain said long and / or short positions. The method of claim 7, wherein said comparison comprises: calculating a difference between said weights. The method of claim 7, wherein said comparison comprises: calculating a difference between arithmetically modified values of said weights. The method of claim 15, wherein said arithmetically modified values of said weights comprise square roots of said weights. The method of claim 7, wherein said comparison comprises: calculating a difference based on weight levels using stratified sampling. The method of claim 7, wherein said financial objects comprise: at least one unit of interest in at least one of: a good; a responsibility; a tracking portfolio; a financial instrument and / or a value, wherein said financial instrument and / or said value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: a closed fund, a goodwill of securities (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or any other type of investments managed jointly and / or separately. 19. A method to build a portfolio of financial objects, which comprises: determining non-overlapping financial objects that appear only in one of either an index based on accounting data (ADBI) or a conventionally weighted index when comparing financial objects in an ADBI with financial objects in a conventionally weighted index, wherein said conventionally weighted index comprises conventional weighting based on at least one of capitalization, equitable weighting, and / or stock price weighting, and wherein said ADBI comprises weighting based on data from accounting in at least one factor based on accounting data and not based on any capitalization index, fair weighting, and / or weighting based on share price. weighting said non-overlapping financial objects that appear only in said ADBI by weighting based on accounting data; Weighing said non-overlapping financial objects that appear only in said conventionally weighted index by means of said conventional weighting, and acquiring financial objects based on said weights. The method according to claim 19, wherein said weighting based on accounting data comprises: (a) gathering data about a plurality of financial objects; (b) selecting a plurality of financial objects to create an index of financial objects; and (c) weighting each of said financial objects of the plurality selected in the index based on an objective scale measurement based on accounting data of a company stacked with each of said financial objects of the plurality, wherein said weighting comprises : (i) weighting at least one of said financial objects of the plurality based on accounting data; and (ii) weight differently to weighting based on at least market capitalization, fair weighting, and / or stock price weighting. The method according to claim 20, wherein said (c) comprises weighting each of said financial objects of the plurality, wherein each of said financial objects comprises: at least one unit of interest in at least one of: a good; a responsibility; a tracking portfolio; a financial instrument and / or a value, wherein said financial instrument and / or said value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: a closed fund, a goodwill of securities (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or any other type of investments managed jointly and / or separately. 22. The method according to claim 20, wherein said (c) comprises weighting each of the plurality of objects, wherein each of the plurality of said financial objects comprises an action. The method according to claim 20, wherein said objective scale measurements comprise weighting based on either dividend, nominal value, cash flow, and / or profit. 24. The method of claim 23, further comprising equally weighting each objective scale measurement. The method of claim 20, wherein (c) comprises weighting based on said objective scale measurement, wherein said objective scale measurement comprises a company size measurement associated with each of the financial objects of the plurality. 26. The method of claim 25, wherein said measuring company size comprises at least one of: inventory, profits, sales, revenues, nominal income, revenue growth rate, earnings before interest and taxes (EBIT). , earnings before interest, taxes, depreciation and amortization (EBITDA), retention gains, number of employees, capital expenditures, wages, nominal value, goods, fixed assets, current goods, quality of goods, operative goods, intangible assets, dividends , gross dividends, dividend yields, cash flow, liabilities, losses, long-term liabilities, short-term liabilities, liquidity, long-term debt, short-term debt, bonds, corporate bonds, net worth, shareholder equity, charity, research and development expenses, costs, cost of goods sold (COGS), and / or research and development costs. The method of claim 19 wherein said financial object comprises: at least one unit of interest in at least one of: an asset; a responsibility; a tracking portfolio; a financial instrument and / or a value, wherein said financial instrument and / or said value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether the contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: a closed fund, a goodwill of securities (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or any other type of investments managed jointly and / or separately. 28. A method, implemented in a data processing system, comprising: creating an index based on accounting data (ADBI) based on accounting data that includes: selecting a universe of financial objects, and selecting a subset of said universe based on said accounting data to obtain the ADBI; create a portfolio of financial objects using said ADBI, including weighting the financial objects in said portfolio according to the value of a company associated with each financial object in said portfolio. 29. The method according to claim 28, wherein said universe comprises at least one of: a sector; a market; a market sector; an industrial sector; a geographical sector; an international sector; a sub-industrial sector; a government issue; and / or a financial object exempt from taxes. 30. The method according to claim 28, wherein said accounting-based data based on weighting as a measure of the value of the company associated with the financial object, comprises at least one of: any d ividendo; ga nancies; Cash Flow; and / or nominal value. 31. The method according to claim 30, 3n wherein said accounting-based data are weighted relative to the geography associated with the financial object. 32. The method of claim 28, wherein said financial object comprises: at least one unit of interest in at least one of: a good; a responsibility; a tracking portfolio; a financial instrument and / or a value, wherein said financial instrument and / or said value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: a closed fund, a goodwill of securities (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or any other type of investments managed jointly and / or separately. 33. A computer-implemented method for building and managing an index and at least one index fund that contains a portfolio of financial objects based on the index, where the weighting of the index is based on accounting-based data instead of stock prices or market capitalization or equitable weighting, where the method implemented by computer includes: creating an index, and at least an index fund that contains a portfolio of financial objects, where the constituent weights of the issuing companies of financial objects in the index fund they are based on accounting-based data with respect to companies associated with financial objects, where the accounting-based data comprise any dividends, cash flow, profits, and / or face value 34. The method implemented by computer of claim 33, wherein the computer-implemented method comprises of: creating said index, and said at least one index fund containing a portfolio of financial objects where the constituent weights are based on any proportion of data based on accounting, or any manipulation of data based on accounting, which is contained within accounts and an annual standard company report. 35. The computer implemented method of claim 33, wherein the computer implemented method comprises: creating said index, and said at least one index fund containing a portfolio of financial objects where the constituent weights are based on any proportion of data based on accounting per share, or any manipulation of data based on accounting, content within the accounts or annual standard report of a company. 36. The computer implemented method of claim 33, wherein the method implemented by computer comprises: administering an index of data based on accounting, and at least one index fund containing the portfolio of financial objects based on the index that includes: altering the relative weights of financial objects within at least one index fund by changing accounting-based data concerning companies associated with financial objects. 37. The computer implemented method of claim 36, wherein the alteration comprises at least or not of: alters the basis at least not of: changes in the relative weights of fine objects in the index; and / or changes in financial objects that are members of the index outside of the sampling changes; and / or alter in time of at least some time, and / or after at least one company associated with a financial object of the index reports its accounting information. 38. The method of claim 33, wherein said financial object comprises: at least one unit of interest in at least one of: an asset; a responsibility; a tracking portfolio; a financial instrument and / or a value, wherein said financial instrument and / or said value denotes a debt, an equity interest, and / or a hybrid; a derivative contract, including at least one of: a future, a forwarding, a placement, an option, a swap, and / or any other transaction related to a fluctuation of an underlying asset, regardless of the prevailing value of the contract, and regardless of whether such a contract, for accounting purposes, is considered a good or a liability; A background; and / or an investment entity or account of any kind, including an interest in, or rights related to: a closed fund, a goodwill of securities (ETF), a fund of funds, a mutual fund, a closed fund, an investment vehicle, and / or any other type of investments managed jointly and / or separately. 39. The method of claim 25, wherein said measure of company size comprises at least one of: a financial proportion of a company; a proportion of data based on accounting; a proportion of data based on accounting per share; a ratio of a first data based on accounting with respect to a second data based on accounting; a proportion of liquidity; a proportion of operating capital; a current proportion; a fast proportion; a proportion of cash; a proportion of the renovation of goods; a rate of renewal of reception; an average proportion of collection period; an average proportion of collection period; a proportion of inventory renewal; a proportion of inventory period; a proportion of influences; a proportion of debt; a proportion of debt-equity; a proportion of coverage of interest; a proportion of profitability; a proportion of return in common equity (ROCE); a proportion of profit margin; a proportion of earnings per share (EPS); a ratio of gross profit margin; a proportion of return on goods; a return ratio in equity; a dividend policy ratio; a dividend yield ratio; a payment ratio; a proportion of capital market analysis; a ratio of profits to price (PE); and / or a market-to-book ratio. 40. The method of claim 2, wherein the risk model is substantially similar to the Fama-French factors, where the Fama-French factors comprise at least one of size effect, value effect, and / or effect. of momentum.