公开(公告)号：US08560414B2

公开(公告)日：2013-10-15

申请号：US12857479

申请日：2010-08-16

申请人： Robert D. Arnott

发明人： Robert D. Arnott

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/06

摘要： A computer program product embodied on a computer readable medium may enable a computer processor to perform a method for generating a correlated investment. The method may include the steps of: discounting to present value one or more future liabilities at a discount rate of a bond that matures at the same time as the future liabilities; generating a correlated investment using an original investment amount and/or leverage funds; monitoring market information about a bond market and/or inflation using a computer; and recalibrating the correlated investment using the computer according to the market information and/or inflation, including: recommending at least one of buying or selling portions of the correlated investment securities and/or portfolio as indicated by the market and/or inflation information. The future liabilities may be of a duration greater than the duration of the longest available bond issued by an applicable sovereign.

摘要翻译： 体现在计算机可读介质上的计算机程序产品可以使计算机处理器执行用于产生相关投资的方法。 该方法可以包括以下步骤：以与未来负债同时成熟的债券贴现率贴现现值一个或多个未来负债; 使用原始投资金额和/或利用资金产生相关投资; 使用计算机监控关于债券市场和/或通货膨胀的市场信息; 以及根据市场信息和/或通货膨胀重新校正相关投资，其中包括：建议由市场和/或通货膨胀信息所指示的相关投资证券和/或投资组合的购买或出售部分中的至少一个。 未来的负债可能持续时间大于适用主权国家发行的最长可用债券的期限。

公开(公告)号：US08533081B2

公开(公告)日：2013-09-10

申请号：US12256778

申请日：2008-10-23

申请人： Jason Hsu ,  Vitali Kalesnik

发明人： Jason Hsu ,  Vitali Kalesnik

IPC分类号： G06Q40/00

CPC分类号： G06Q40/04 ,  G06Q40/06

摘要： A system, method and computer program product provides for portfolio analysis in one or more exemplary periods. The method may includes determining weight and return measures between a plurality of assets based upon the likely performance of the assets. The method may also includes determining at least one allocation measure (AM) of the plurality of assets, and decomposing the at least one allocation measure (AM) respectively into at least one static allocation (SA) measure and at least one dynamic allocation (DA) measure. The method may also include determining at least one variance measure (VM); and decomposing the at least one variance measure (VM) into at least one static variance (SV) measure and at least one dynamic variance (DV) measure. The measure may also include attributing performance of the active portfolio of the at least one active portfolio manager across the SA, DA, SV and DV.

摘要翻译： 系统，方法和计算机程序产品在一个或多个示例性周期中提供投资组合分析。 该方法可以包括基于资产的可能表现来确定多个资产之间的权重和回报度量。 所述方法还可以包括确定所述多个资产中的至少一个分配度量（AM），并且将所述至少一个分配度量（AM）分别分解为至少一个静态分配（SA）度量和至少一个动态分配（DA ）测量。 该方法还可以包括确定至少一个方差度量（VM）; 以及将所述至少一个方差测量（VM）分解成至少一个静态方差（SV）度量和至少一个动态方差（DV）度量。 该措施还可以包括归属于SA，DA，SV和DV中的至少一个活动投资组合管理器的主动投资组合的表现。

公开(公告)号：USRE44098E1

公开(公告)日：2013-03-19

申请号：US13569200

申请日：2012-08-08

申请人： Robert D. Arnott ,  Paul C. Wood

发明人： Robert D. Arnott ,  Paul C. Wood

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q40/00 ,  G06Q40/04

摘要： 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.

摘要翻译： 系统，方法和计算机程序产品基于基于会计的数据创建索引，以及基于根据基于会计数据加权投资组合的指数的财务对象组合。 被动投资系统可以基于从各种指标创建的指数。 指数可以用除市值加权，价格权重或相等权重之外的指标构建。 非财务指标也可用于构建指标来创建被动投资系统。 此外，金融非市值资本指标的组合可以与非财务指标一起使用，以创建被动投资系统。 一旦该指数建成，它可能被用作为投资组合购买证券的基础。 具体排除的是广泛使用的资本化加权指数和价格加权指数，其中证券的价格以实质的方式贡献于计算指数或投资组合中该证券的权重，以及相等的加权权重指数。 估值无关的指标避免过度暴露于高估的证券和低估的低估证券，与传统的资本化加权和价格加权相比。

公开(公告)号：US20080288416A1

公开(公告)日：2008-11-20

申请号：US11931913

申请日：2007-10-31

申请人： Robert D. Arnott ,  Paul C. Wood

发明人： Robert D. Arnott ,  Paul C. Wood

IPC分类号： G06Q40/00 ,  G06F12/00

CPC分类号： G06Q30/02 ,  G06Q40/00 ,  G06Q40/06

摘要： 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.

摘要翻译： 系统，方法和计算机程序产品基于基于会计的数据创建索引，以及基于根据基于会计数据加权投资组合的指数的财务对象组合。 被动投资系统可以基于从各种指标创建的指数。 指数可以用除市值加权，价格权重或相等权重之外的指标构建。 非财务指标也可用于构建指标来创建被动投资系统。 此外，金融非市值资本指标的组合可以与非财务指标一起使用，以创建被动投资系统。 一旦该指数建成，它可能被用作为投资组合购买证券的基础。 具体排除的是广泛使用的资本化加权指数和价格加权指数，其中证券的价格以实质的方式贡献于计算指数或投资组合中该证券的权重，以及相等的加权权重指数。 估值无关的指标避免过度暴露于高估的证券和低估的低估证券，与传统的资本化加权和价格加权相比。

公开(公告)号：US20050197944A1

公开(公告)日：2005-09-08

申请号：US11050458

申请日：2005-02-04

申请人： Robert Arnott

发明人： Robert Arnott

IPC分类号： G06F17/60

CPC分类号： G06Q40/06 ,  G06Q40/00 ,  G06Q40/02

摘要： A method and apparatus for investing is set forth. Taking the present value of a future liability as the starting point, interest bearing securities or derivatives may be purchased that may have a duration less than that of the future liability, but are purchased in sufficient multiples of so that the duration of the investment, times the multiple, equals the duration of the future liability. The securities or derivatives of less duration will in almost all cases have associated interest rates that are less than that of a similar security or derivative whose duration matches that of the future liabilities. As duration decreases for the available securities or derivatives, interest rates of each will also decrease, but not as rapidly the rate of decrease in duration. By using leverage, securities or derivatives can be purchased in amounts such that the duration of the investment will match that of the future liabilities, but the total amount of interest available from the leveraged investment will exceed that for a similar instrument whose duration matches that of the future liabilities.

摘要翻译： 阐述了投资的方法和设备。 以未来负债的现值为起点，可能购买可能持有时间少于未来负债期限的有息证券或衍生工具，但以足够倍数购买投资期限 该倍数等于未来负债的期限。 几乎所有情况下的证券或衍生工具几乎在所有情况下的相关利率都低于其持续时间与未来负债相匹配的类似担保或衍生工具的利率。 随着可用证券或衍生工具的持续时间减少，每个利率也将下降，但持续时间下降的速度不会很快。 通过使用杠杆作用，证券或衍生工具可以按照投资期限与未来负债相一致的方式进行购买，但杠杆投资可获得的利息总额将超过其期限与 未来负债。

公开(公告)号：US20130117199A1

公开(公告)日：2013-05-09

申请号：US13593415

申请日：2012-08-23

申请人： Robert D. Arnott ,  Feifei Li ,  Paul C. Wood

发明人： Robert D. Arnott ,  Feifei Li ,  Paul C. Wood

IPC分类号： G06Q40/06

CPC分类号： G06Q40/06 ,  G06Q40/04

摘要： A system, method and computer program product creates an index based on accounting data, or a portfolio of financial objects based on the index where the portfolio is weighted according to accounting data. Indexes may be built with metrics other than market capitalization weighting, price weighting or equal weighting. Financial and non-financial metrics may be used to build indexes to create passive investment systems. A combination of financial non-market capitalization metrics may be used with non-financial metrics to create passive investment systems. Once built, the index may be used as a basis to purchase securities for a portfolio. Specifically excluded are widely-used capitalization-weighted and price-weighted indexes, in which price of a security contributes in a substantial way to calculation of weight of that security in the index or the portfolio, and equal weighting weighted indexes. The indexes may be constructed to minimize volatility.

摘要翻译： 系统，方法和计算机程序产品将根据会计数据或财务对象组合，根据会计数据对投资组合加权的指数进行创建。 指数可以用除市值加权，价格加权或相等权重之外的指标构建。 可以使用财务和非财务指标来构建指标来创建被动投资系统。 金融非市值资本指标的组合可以与非财务指标一起使用，以创建被动投资系统。 一旦建成，该指数可用作为投资组合购买证券的基础。 具体排除的是广泛使用的资本化加权和价格加权指数，其中安全性的价格有力地计算指数或投资组合中该证券的权重，以及相等的加权权重指数。 可以构建索引以最小化挥发性。

公开(公告)号：US08374939B2

公开(公告)日：2013-02-12

申请号：US12752159

申请日：2010-04-01

申请人： Robert D. Arnott ,  Paul Christopher Wood

发明人： Robert D. Arnott ,  Paul Christopher Wood

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/12

摘要： 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.

摘要翻译： 系统，方法和计算机程序产品基于基于会计的数据创建索引，以及基于根据基于会计数据加权投资组合的指数的财务对象组合。 被动投资系统可以基于从各种指标创建的指数。 指数可以用除市值加权，价格权重或相等权重之外的指标构建。 非财务指标也可用于构建指标来创建被动投资系统。 此外，金融非市值资本指标的组合可以与非财务指标一起使用，以创建被动投资系统。 一旦该指数建成，它可能被用作为投资组合购买证券的基础。 具体排除的是广泛使用的资本化加权指数和价格加权指数，其中证券的价格以实质的方式贡献于计算指数或投资组合中该证券的权重，以及相等的加权权重指数。 估值无关的指标避免过度暴露于高估的证券和低估的低估证券，与传统的资本化加权和价格加权相比。

公开(公告)号：US20120215717A1

公开(公告)日：2012-08-23

申请号：US13216238

申请日：2011-08-23

申请人： Robert D. Arnott ,  Paul C. Wood

发明人： Robert D. Arnott ,  Paul C. Wood

IPC分类号： G06Q40/06

CPC分类号： G06Q40/06

摘要： 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.

摘要翻译： 系统，方法和计算机程序产品基于基于会计的数据创建索引，以及基于根据基于会计数据加权投资组合的指数的财务对象组合。 被动投资系统可以基于从各种指标创建的指数。 指数可以用除市值加权，价格权重或相等权重之外的指标构建。 非财务指标也可用于构建指标来创建被动投资系统。 此外，金融非市值资本指标的组合可以与非财务指标一起使用，以创建被动投资系统。 一旦该指数建成，它可能被用作为投资组合购买证券的基础。 具体排除的是广泛使用的资本化加权指数和价格加权指数，其中证券的价格以实质的方式贡献于计算指数或投资组合中该证券的权重，以及相等的加权权重指数。 估值无关的指标避免过度暴露于高估的证券和低估的低估证券，与传统的资本化加权和价格加权相比。

公开(公告)号：US07792719B2

公开(公告)日：2010-09-07

申请号：US10961404

申请日：2004-10-12

申请人： Robert D. Arnott

发明人： Robert D. Arnott

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q40/00 ,  G06Q40/04

摘要： A passive investment system based on indices created from various metrics is disclosed. The indexes may be built by selecting and weighting securities by an objective measure of scale such as accounting metrics rather than market capitalization weighting, price weighting or equal weighting. Various financial, accounting, and non-financial metrics may be used to build an index. 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.

摘要翻译： 披露了基于各种指标创建的指标的被动投资系统。 这些指数可以通过选择和加权证券，通过客观的衡量标准，如会计指标，而不是市值加权，价格权重或相等的权重。 可以使用各种财务，会计和非财务指标来构建索引。 此外，金融非市值资本指标的组合可以与非财务指标一起使用，以创建被动投资系统。 一旦该指数建成，它可能被用作为投资组合购买证券的基础。

公开(公告)号：US20070055598A1

公开(公告)日：2007-03-08

申请号：US11509002

申请日：2006-08-24

申请人： Robert Arnott ,  Paul Wood

发明人： Robert Arnott ,  Paul Wood

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/12

摘要： 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.

摘要翻译： 系统，方法和计算机程序产品基于基于会计的数据创建索引，以及基于根据基于会计数据加权投资组合的指数的财务对象组合。 被动投资系统可以基于从各种指标创建的指数。 指数可以用除市值加权，价格权重或相等权重之外的指标构建。 非财务指标也可用于构建指标来创建被动投资系统。 此外，金融非市值资本指标的组合可以与非财务指标一起使用，以创建被动投资系统。 一旦该指数建成，它可能被用作为投资组合购买证券的基础。 具体排除的是广泛使用的资本化加权指数和价格加权指数，其中证券的价格以实质的方式贡献于计算指数或投资组合中该证券的权重，以及相等的加权权重指数。 估值无关的指标避免过度暴露于高估的证券和低估的低估证券，与传统的资本化加权和价格加权相比。