US008620789B2 (12) United States Patent (10) Patent N0.: US 8,620,789 B2 Arnott et a1. (45) Date of Patent: Dec. 31, 2013 (54) USING ACCOUNTING DATA BASED (56) References Cited INDEXING TO CREATE A LOW VOLATILITY PORTFOLIO OF FINANCIAL OBJECTS U.S. PATENT DOCUMENTS 4,334,270 A 6/1982 Towers (75) Inventors: Robert D. Arnott, Newport Beach, CA 4,751,640 A 6/1988 Lucas et a1. (US); Paul Christopher Wood, Waltham (GB); Feifei Li, Irvine, CA (US) (Continued) FOREIGN PATENT DOCUMENTS (73) Assignee: Research Af?liates, LLC, Newport Beach, CA (U S) EP 1351179 A1 10/2003 GB 2393532 3/2004 Notice: Subject to any disclaimer, the term of this (Continued) patent is extended or adjusted under 35 OTHER PUBLICATIONS U.S.C. 154(b) by 0 days. Fundamental Indexation, Robert Arnott, 2004; 36-pages. (21) Appl. No.: 13/593,415 (Continued) Primary Examiner * Gregory Johnson (22) Filed: Aug. 23, 2012 (74) Attorney, Agent, or Firm * Ralph P. Albrecht; ATFirm, PLLC (65) Prior Publication Data (57) ABSTRACT US 2013/0117199 A1 May 9, 2013 A system, method and computer program product creates an index based on accounting data, or a portfolio of ?nancial objects based on the index where the portfolio is weighted Related US. Application Data according to accounting data. Indexes may be built with met rics other than market capitalization weighting, price weight (63) Continuation-in-part of application No. 13/216,238, ing or equal weighting. Financial and non-?nancial metrics ?led onAug. 23, 201 1, which is a continuation-in-part may be used to build indexes to create passive investment of application No. 11/931,913, ?led on Oct. 31, 2007, systems. A combination of ?nancial non-market capitaliza tion metrics may be used with non-?nancial metrics to create (Continued) passive investment systems. Once built, the index may be used as a basis to purchase securities for a portfolio. Speci? (51) Int. Cl. cally excluded are widely-used capitalization-weighted and G06Q 40/00 (2012.01) price-weighted indexes, in which price of a security contrib (52) US. Cl. utes in a substantial way to calculation of weight of that USPC ............................ .. 705/35; 705/36 R; 705/37 security in the index or the portfolio, and equal weighting Field of Classi?cation Search weighted indexes. The indexes may be constructed to mini (58) miZe volatility. USPC .................................................... .. 705/35i37 See application ?le for complete search history. 37 Claims, 11 Drawing Sheets ANALYSlS PROGRAM ANALVST [ 716 104 L ; SOFTWARE T531 EXCHANGE HOST QNVESTOR US 8,620,789 B2 Page 2 Related US. Application Data 6,018,722 1/2000 Ray et a1. 6,021,397 2/2000 Jones et a1. (63) noW Pat. No. 8,005,740, Which is a 6,049,772 4/2000 Payne et a1. continuation-in-part of application No. 11/509,002, 6,052,673 4/2000 Leon et a1. ?led onAug. 24, 2006, noW Pat. 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