US5819238A — Apparatus and accompanying methods for automatica…

Claim 1

Independent Claim 250 words

Apparatus for managing a portfolio having a set of financial securities, wherein said set comprises a plurality of said securities contained as members within a predetermined capitalization weighted index, said apparatus comprising: circuitry, responsive to signals containing data having current price information on each of said securities and on constituent securities currently contained within said index, for providing digital data containing the price information and containing share information for each of the constituent securities that currently forms the index; and a computer system, the computer system having a processor and a memory, the memory storing computer executable instructions therein, wherein the processor in response to the executable instructions and to said digital data: determines a variable weighting for each of the securities in the set so as to define a set of variable weights, distinct from a set of current capitalization weights associated with the index, such that each of the variable weights is a non-constant mathematical function of solely the current capitalization weights; and issues, in response to the set of variable weights, digital trading instructions which are in turn executed to effectuate securities transactions such that current assets held in the portfolio are to be distributed amongst the securities in the set in proportion to and as defined by the variable weights so as to dynamically rebalance the portfolio, each of said digital trading instructions representing a desired trade in a corresponding one of the securities in the set thereby defining a plurality of trades to be executed.

Claim 2

Dependent Claim 250 words

Apparatus for managing a portfolio having a set of financial securities, wherein said set comprises a plurality of said securities contained as members within a predetermined capitalization weighted index, said apparatus comprising: circuitry, responsive to signals containing data having current price information on each of said securities and on constituent securities currently contained within said index, for providing digital data containing the price information and containing share information for each of the constituent securities that currently forms the index; and a computer system, the computer system having a processor and a memory, the memory storing computer executable instructions therein, wherein the processor in response to the executable instructions and to said digital data: determines a variable weighting for each of the securities in the set so as to define a set of variable weights, distinct from a set of current capitalization weights associated with the index, such that each of the variable weights is a non-constant mathematical function of solely the current capitalization weights; and issues, in response to the set of variable weights, digital trading instructions which are in turn executed to effectuate securities transactions such that current assets held in the portfolio are to be distributed amongst the securities in the set in proportion to and as defined by the variable weights so as to dynamically rebalance the portfolio, each of said digital trading instructions representing a desired trade in a corresponding one of the securities in the set thereby defining a plurality of trades to be executed.

Claim 3

Dependent Claim 92 words

The apparatus in claim 1 wherein said each of the variable weights, V i (for i=1, 2, . . . n), is given by the following equation: ##EQU7## wherein: W 1 , W 2 , . . . , W n are the current capitalization weights for securities in the set; D i and D j are partial derivative operators with respect to i th and j th ones of the current capitalization weights, respectively; S is a twice continuously differentiable function; and n is a number of securities in the set.

Claim 4

Dependent Claim 84 words

The apparatus in claim 2 wherein the computer system has computer executable instructions for selectively operating in either a rebalancing or cash investment mode, during the rebalancing mode said variable weights are determined and, in response thereto, said digital trading instructions are issued so as to dynamically rebalance the portfolio, and during the cash investment mode at least one other digital trading trading instruction is issued so as to consume an amount of cash then existing in the portfolio that exceeds a predefined threshold.

Claim 5

Dependent Claim 32 words

The apparatus in claim 3 wherein the rebalancing mode is invoked at periodic intervals and the cash investment mode is invoked selectively whenever the cash in the portfolio exceeds the predefined threshold.

Claim 6

Dependent Claim 108 words

The apparatus in claim 3 wherein the computer system has computer executable instructions for, during operation in said cash investment mode: generating a list of possible trades for each security in the set; selecting one of the possible trades that consumes, amongst all of the possible trades, a largest amount of the cash; issuing an electronic instruction, to an electronic trading network, containing said selected one trade so as to execute said one possible trade; and removing said selected one trade from said list and repeating said selecting, issuing and removing operations, in seriatim, to generate additional trades for execution until said cash decreases below said predefined threshold.

Claim 7

Dependent Claim 180 words

The apparatus in claim 2 wherein the computer system has computer executable instructions for: determining, in response to the share information and to the current price information for each of the securities in the index, a normalized current capitalization weighting for each of said securities in the index; determining, in response to said normalized capitalization weighting, the variable weighting for each security in the set; ascertaining a current proportion for each of said securities in the set, said current proportion being reflective of a proportion of a total value of the portfolio attributable to said each security in the set; and generating, in response to a predefined relationship between said variable weighting and said current weighting, for each corresponding one of the securities in the set, a corresponding one of the digital trading instructions, the corresponding one digital trading instruction representing an associated trade involving said corresponding one security such that a proportion of the portfolio that will be held in said one security, after said associated trade is executed, will approximate the variable weighting determined for said one security.

Claim 8

Dependent Claim 56 words

The apparatus in claim 6 wherein the computer system has computer executable instructions for: calculating a number of shares in said one security to be traded; rounding said number to a round lot of shares so as to form a rounded share number; and incorporating said rounded share number within the corresponding one digital trading instruction.

Claim 9

Dependent Claim 31 words

The apparatus in claim 2 wherein the share information comprises an identifier of each of said securities in the index and a number of shares currently outstanding for said each security.

Claim 10

Dependent Claim 76 words

The apparatus in claim 2 wherein said circuitry comprises first and second data sources for providing first and second digital data streams, respectively, wherein: said first data source comprises a satellite receiver, a radio or television receiver, or a telephonic or dedicated connection, through a computer network, to a remote server; and said second data source comprises a radio or television receiver, or a telephonic or dedicated connection, through a computer network, to a remote server.

Claim 11

Dependent Claim 56 words

The apparatus in claim 9 wherein said first data source further comprises a satellite receiver, connected to a satellite antenna, for receiving terrestrially broadcast signals distributed by satellite and containing said current price information, for producing a received signal and forming, in response to the received signal, the first digital data stream containing said price information.

Claim 12

Dependent Claim 27 words

The apparatus in claim 2 wherein the capitalization weighted index is the S & P 500, Financial Times Stock Exchange 100, TOPIX or Russell 1000 stock index.

Claim 13

Dependent Claim 16 words

The apparatus in claim 2 wherein the function S is given by the following equation: ##EQU8##

Claim 14

Dependent Claim 83 words

The apparatus in claim 12 wherein the computer system has computer executable instructions for selectively operating in either a rebalancing or cash investment mode, during the rebalancing mode said variable weights are determined and, in response thereto, said digital trading instructions are issued so as to dynamically rebalance the portfolio, and during the cash investment mode at least one other digital trading instruction is issued so as to consume an amount of cash then existing in the portfolio that exceeds a predefined threshold.

Claim 15

Dependent Claim 32 words

The apparatus in claim 13 wherein the rebalancing mode is invoked at periodic intervals and the cash investment mode is invoked selectively whenever the cash in the portfolio exceeds the predefined threshold.

Claim 16

Dependent Claim 108 words

The apparatus in claim 13 wherein the computer system has computer executable instructions for, during operation in said cash investment mode: generating a list of possible trades for each security in the set; selecting one of the possible trades that consumes, amongst all of the possible trades, a largest amount of the cash; issuing an electronic instruction, to an electronic trading network, containing said selected one trade so as to execute said one possible trade; and removing said selected one trade from said list and repeating said selecting, issuing and removing operations, in seriatim, to generate additional trades for execution until said cash decreases below said predefined threshold.

Claim 17

Dependent Claim 180 words

The apparatus in claim 12 wherein the computer system has computer executable instructions for: determining, in response to the share information and to the current price information for each of the securities in the index, a normalized current capitalization weighting for each of said securities in the index; determining, in response to said normalized capitalization weighting, the variable weighting for each security in the set; ascertaining a current proportion for each of said securities in the set, said current proportion being reflective of a proportion of a total value of the portfolio attributable to said each security in the set; and generating, in response to a predefined relationship between said variable weighting and said current weighting, for each corresponding one of the securities in the set, a corresponding one of the digital trading instructions, the corresponding one digital trading instruction representing an associated trade involving said corresponding one security such that a proportion of the portfolio that will be held in said one security, after said associated trade is executed, will approximate the variable weighting determined for said one security.

Claim 18

Dependent Claim 56 words

The apparatus in claim 16 wherein the computer system has computer executable instructions for: calculating a number of shares in said one security to be traded; rounding said number to a round lot of shares so as to form a rounded share number; and incorporating said rounded share number within the corresponding one digital trading instruction.

Claim 19

Dependent Claim 31 words

The apparatus in claim 12 wherein the share information comprises an identifier of each of said securities in the index and a number of shares currently outstanding for said each security.

Claim 20

Dependent Claim 76 words

The apparatus in claim 12 wherein said circuitry comprises first and second data sources for providing first and second digital data streams, respectively, wherein: said first data source comprises a satellite receiver, a radio or television receiver, or a telephonic or dedicated connection, through a computer network, to a remote server; and said second data source comprises a radio or television receiver, or a telephonic or dedicated connection, through a computer network, to a remote server.

Claim 21

Dependent Claim 56 words

The apparatus in claim 19 wherein said first data source further comprises a satellite receiver, connected to a satellite antenna, for receiving terrestrially broadcast signals distributed by satellite and containing said current price information, for producing a received signal and forming, in response to the received signal, the first digital data stream containing said price information.

Claim 22

Dependent Claim 27 words

The apparatus in claim 12 wherein the capitalization weighted index is the S & P 500, Financial Times Stock Exchange 100, TOPIX or Russell 1000 stock index.

Claim 23

Dependent Claim 21 words

The apparatus in claim 2 wherein function S is given by the following equation: ##EQU9## where: p is a predefined constant.

Claim 24

Dependent Claim 83 words

The apparatus in claim 22 wherein the computer system has computer executable instructions for selectively operating in either a rebalancing or cash investment mode, during the rebalancing mode said variable weights are determined and, in response thereto, said digital trading instructions are issued so as to dynamically rebalance the portfolio, and during the cash investment mode at least one other digital trading instruction is issued so as to consume an amount of cash then existing in the portfolio that exceeds a predefined threshold.

Claim 25

Dependent Claim 32 words

The apparatus in claim 23 wherein the rebalancing mode is invoked at periodic intervals and the cash investment mode is invoked selectively whenever the cash in the portfolio exceeds the predefined threshold.

Claim 26

Dependent Claim 108 words

The apparatus in claim 23 wherein the computer system has computer executable instructions for, during operation in said cash investment mode: generating a list of possible trades for each security in the set; selecting one of the possible trades that consumes, amongst all of the possible trades, a largest amount of the cash; issuing an electronic instruction, to an electronic trading network, containing said selected one trade so as to execute said one possible trade; and removing said selected one trade from said list and repeating said selecting, issuing and removing operations, in seriatim, to generate additional trades for execution until said cash decreases below said predefined threshold.

Claim 27

Dependent Claim 180 words

The apparatus in claim 22 wherein the computer system has computer executable instructions for: determining, in response to the share information and to the current price information for each of the securities in the index, a normalized current capitalization weighting for each of said securities in the index; determining, in response to said normalized capitalization weighting, the variable weighting for each security in the set; ascertaining a current proportion for each of said securities in the set, said current proportion being reflective of a proportion of a total value of the portfolio attributable to said each security in the set; and generating, in response to a predefined relationship between said variable weighting and said current weighting, for each corresponding one of the securities in the set, a corresponding one of the digital trading instructions, the corresponding one digital trading instruction representing an associated trade involving said corresponding one security such that a proportion of the portfolio that will be held in said one security, after said associated trade is executed, will approximate the variable weighting determined for said one security.

Claim 28

Dependent Claim 56 words

The apparatus in claim 26 wherein the computer system has computer executable instructions for: calculating a number of shares in said one security to be traded; rounding said number to a round lot of shares so as to form a rounded share number; and incorporating said rounded share number within the corresponding one digital trading instruction.

Claim 29

Dependent Claim 31 words

The apparatus in claim 22 wherein the share information comprises an identifier of each of said securities in the index and a number of shares currently outstanding for said each security.

Claim 30

Dependent Claim 76 words

The apparatus in claim 22 wherein said circuitry comprises first and second data sources for providing first and second digital data streams, respectively, wherein: said first data source comprises a satellite receiver, a radio or television receiver, or a telephonic or dedicated connection, through a computer network, to a remote server; and said second data source comprises a radio or television receiver, or a telephonic or dedicated connection, through a computer network, to a remote server.

Claim 31

Dependent Claim 56 words

The apparatus in claim 29 wherein said first data source further comprises a satellite receiver, connected to a satellite antenna, for receiving terrestrially broadcast signals distributed by satellite and containing said current price information, for producing a received signal and forming, in response to the received signal, the first digital data stream containing said price information.

Claim 32

Dependent Claim 34 words

The apparatus in claim 22 wherein the capitalization weighted index is the S & P 500, Financial Times Stock Exchange 100, TOPIX or Russell 1000 stock index and p has a value of 0.76.

Claim 33

Dependent Claim 83 words

The apparatus in claim 1 wherein the computer system has computer executable instructions for selectively operating in either a rebalancing or cash investment mode, during the rebalancing mode said variable weights are determined and, in response thereto, said digital trading instructions are issued so as to dynamically rebalance the portfolio, and during the cash investment mode at least one other digital trading instruction is issued so as to consume an amount of cash then existing in the portfolio that exceeds a predefined threshold.

Claim 34

Dependent Claim 32 words

The apparatus in claim 32 wherein the rebalancing mode is invoked at periodic intervals and the cash investment mode is invoked selectively whenever the cash in the portfolio exceeds the predefined threshold.

Claim 35

Dependent Claim 180 words

The apparatus in claim 1 wherein the computer system has computer executable instructions for: determining, in response to the share information and to the current price information for each of the securities in the index, a normalized current capitalization weighting for each of said securities in the index; determining, in response to said normalized capitalization weighting, the variable weighting for each security in the set; ascertaining a current proportion for each of said securities in the set, said current proportion being reflective of a proportion of a total value of the portfolio attributable to said each security in the set; and generating, in response to a predefined relationship between said variable weighting and said current weighting, for each corresponding one of the securities in the set, a corresponding one of the digital trading instructions, the corresponding one digital trading instruction representing an associated trade involving said corresponding one security such that a proportion of the portfolio that will be held in said one security, after said associated trade is executed, will approximate the variable weighting determined for said one security.

Claim 36

Dependent Claim 56 words

The apparatus in claim 34 wherein the computer system has computer executable instructions for: calculating a number of shares in said one security to be traded; rounding said number to a round lot of shares so as to form a rounded share number; and incorporating said rounded share number within the corresponding one digital trading instruction.

Claim 37

Dependent Claim 101 words

The apparatus in claim 1 wherein the computer system has computer executable instructions for: generating a list of possible trades for each security in the set; selecting one of the possible trades that consumes, amongst all of the possible trades, a largest amount of the cash; issuing an electronic instruction, to an electronic trading network, containing said selected one trade so as to execute said one possible trade; and removing said selected one trade from said list and repeating said selecting, issuing and removing operations, in seriatim, to generate additional trades for execution until said cash decreases below said predefined threshold.

Claim 38

Dependent Claim 31 words

The apparatus in claim 1 wherein the share information comprises an identifier of each of said securities in the index and a number of shares currently outstanding for said each security.

Claim 39

Dependent Claim 76 words

The apparatus in claim 1 wherein said circuitry comprises first and second data sources for providing first and second digital data streams, respectively, wherein: said first data source comprises a satellite receiver, a radio or television receiver, or a telephonic or dedicated connection, through a computer network, to a remote server; and said second data source comprises a radio or television receiver, or a telephonic or dedicated connection, through a computer network, to a remote server.

Claim 40

Dependent Claim 56 words

The apparatus in claim 38 wherein said first data source further comprises a satellite receiver, connected to a satellite antenna, for receiving terrestrially broadcast signals distributed by satellite and containing said current price information, for producing a received signal and forming, in response to the received signal, the first digital data stream containing said price information.

Claim 41

Dependent Claim 27 words

The apparatus in claim 1 wherein the capitalization weighted index is the S & P 500, Financial Times Stock Exchange 100, TOPIX or Russell 1000 stock index.

Claim 42

Independent Claim 262 words

A method for managing a portfolio having a set of financial securities, wherein said set comprises a plurality of said securities contained as members within a predetermined capitalization weighted index, said method comprising the steps of: providing, in response to signals containing data having current price information on each of said securities and on constituent securities currently contained within said index, digital data containing the price information and containing share information for each of the constituent securities that currently forms the index; and in a computer system having a processor and a memory, the memory storing computer executable instructions therein, wherein the method further comprises the steps, in response to the stored instructions and the digital data, of, in the processor: determining a variable weighting for each of the securities in the set so as to define a set of variable weights, distinct from a set of current capitalization weights associated with the index, such that each of the variable weights is a non-constant mathematical function of solely the current capitalization weights issuing, in response to the set of variable weights, digital trading instructions such that current assets held in the portfolio are to be distributed amongst the securities in the set in proportion to and as defined by the variable weights so as to dynamically rebalance the portfolio, each of said digital trading instructions representing a desired trade in a corresponding one of the securities in the set thereby defining a plurality of trades to be executed; and executing each of said digital trading instructions so as to effectuate the trades.

Claim 43

Independent Claim 262 words

A method for managing a portfolio having a set of financial securities, wherein said set comprises a plurality of said securities contained as members within a predetermined capitalization weighted index, said method comprising the steps of: providing, in response to signals containing data having current price information on each of said securities and on constituent securities currently contained within said index, digital data containing the price information and containing share information for each of the constituent securities that currently forms the index; and in a computer system having a processor and a memory, the memory storing computer executable instructions therein, wherein the method further comprises the steps, in response to the stored instructions and the digital data, of, in the processor: determining a variable weighting for each of the securities in the set so as to define a set of variable weights, distinct from a set of current capitalization weights associated with the index, such that each of the variable weights is a non-constant mathematical function of solely the current capitalization weights issuing, in response to the set of variable weights, digital trading instructions such that current assets held in the portfolio are to be distributed amongst the securities in the set in proportion to and as defined by the variable weights so as to dynamically rebalance the portfolio, each of said digital trading instructions representing a desired trade in a corresponding one of the securities in the set thereby defining a plurality of trades to be executed; and executing each of said digital trading instructions so as to effectuate the trades.

Claim 44

Dependent Claim 91 words

The method in claim 41 wherein said each of the variable weights, V i (for i=1, 2, . . . n), is given by the following equation: ##EQU10## wherein: W 1 , W 2 , . . . , W n are the current capitalization weights for securities in the set; D i and D j are partial derivative operators with respect to i th and j th ones of the current capitalization weights; S is a twice continuously differentiable function; and n is a number of securities in the set.

Claim 45

Dependent Claim 84 words

The method in claim 42 further comprising the steps, in the computer system, of selectively operating in either a rebalancing or cash investment mode, wherein during the rebalancing mode: determining said variable weights and, issuing, in response to said variable weights, said digital trading instructions so as to dynamically rebalance the portfolio, and during the cash investment mode: issuing at least one other digital trading instruction so as to consume an amount of cash then existing in the portfolio that exceeds a predefined threshold.

Claim 46

Dependent Claim 38 words

The method in claim 43 further comprising the steps, in the computer system, of: invoking the rebalancing mode at periodic intervals; and invoking the cash investment mode selectively whenever the cash in the portfolio exceeds the predefined threshold.

Claim 47

Dependent Claim 106 words

The method in claim 43 further comprising the steps, in the computer system during said cash investment mode, of: generating a list of possible trades for each security in the set; selecting one of the possible trades that consumes, amongst all of the possible trades, a largest amount of the cash; issuing an electronic instruction, to an electronic trading network, containing said selected one trade so as to execute said one possible trade; and removing said selected one trade from said list and repeating said selecting, issuing and removing operations, in seriatim, to generate additional trades for execution until said cash decreases below said predefined threshold.

Claim 48

Dependent Claim 180 words

The method in claim 42 further comprising the steps, in the computer system of: determining, in response to the share information and to the current price information for each of the securities in the index, a normalized current capitalization weighting for each of said securities in the index; determining, in response to said normalized capitalization weighting, the variable weighting for each security in the set; ascertaining a current proportion for each of said securities in the set, said current proportion being reflective of a proportion of a total value of the portfolio attributable to said each security in the set; and generating, in response to a predefined relationship between said variable weighting and said current weighting, for each corresponding one of the securities in the set, a corresponding one of the digital trading instructions, the corresponding one digital trading instruction representing an associated trade involving said corresponding one security such that a proportion of the portfolio that will be held in said one security, after said associated trade is executed, will approximate the variable weighting determined for said one security.

Claim 49

Dependent Claim 66 words

The method in claim 46 further comprising the steps, in the computer system during said instruction generating step and during said rebalancing mode, of: calculating a number of shares in said one security to be traded; rounding said number to a round lot of shares so as to form a rounded share number; and incorporating said rounded share number within the corresponding one digital trading instruction.

Claim 50

Dependent Claim 31 words

The method in claim 42 wherein the share information comprises an identifier of each of said securities in the index and a number of shares currently outstanding for said each security.

Claim 51

Dependent Claim 27 words

The method in claim 42 wherein the capitalization weighted index is the S & P 500, Financial Times Stock Exchange 100, TOPIX or Russell 1000 stock index.

Claim 52

Dependent Claim 16 words

The method in claim 42 wherein the function S is given by the following equation: ##EQU11##

Claim 53

Dependent Claim 84 words

The method in claim 50 further comprising the steps, in the computer system, of selectively operating in either a rebalancing or cash investment mode, wherein during the rebalancing mode: determining said variable weights and, issuing, in response to said variable weights, said digital trading instructions so as to dynamically rebalance the portfolio, and during the cash investment mode: issuing at least one other digital trading instruction so as to consumes an amount of cash then existing in the portfolio that exceeds a predefined threshold.

Claim 54

Dependent Claim 38 words

The method in claim 51 further comprising the steps, in the computer system, of: invoking the rebalancing mode at periodic intervals; and invoking the cash investment mode selectively whenever the cash in the portfolio exceeds the predefined threshold.

Claim 55

Dependent Claim 106 words

The method in claim 51 further comprising the steps, in the computer system during said cash investment mode, of: generating a list of possible trades for each security in the set; selecting one of the possible trades that consumes, amongst all of the possible trades, a largest amount of the cash; issuing an electronic instruction, to an electronic trading network, containing said selected one trade so as to execute said one possible trade; and removing said selected one trade from said list and repeating said selecting, issuing and removing operations, in seriatim, to generate additional trades for execution until said cash decreases below said predefined threshold.

Claim 56

Dependent Claim 180 words

The method in claim 50 further comprising the steps, in the computer system of: determining, in response to the share information and to the current price information for each of the securities in the index, a normalized current capitalization weighting for each of said securities in the index; determining, in response to said normalized capitalization weighting, the variable weighting for each security in the set; ascertaining a current proportion for each of said securities in the set, said current proportion being reflective of a proportion of a total value of the portfolio attributable to said each security in the set; and generating, in response to a predefined relationship between said variable weighting and said current weighting, for each corresponding one of the securities in the set, a corresponding one of the digital trading instructions, the corresponding one digital trading instruction representing an associated trade involving said corresponding one security such that a proportion of the portfolio that will be held in said one security, after said associated trade is executed, will approximate the variable weighting determined for said one security.

Claim 57

Dependent Claim 66 words

The method in claim 54 further comprising the steps, in the computer system during said instruction generating step and during said rebalancing mode, of: calculating a number of shares in said one security to be traded; rounding said number to a round lot of shares so as to form a rounded share number; and incorporating said rounded share number within the corresponding one digital trading instruction.

Claim 58

Dependent Claim 31 words

The method in claim 50 wherein the share information comprises an identifier of each of said securities in the index and a number of shares currently outstanding for said each security.

Claim 59

Dependent Claim 27 words

The method in claim 50 wherein the capitalization weighted index is the S & P 500, Financial Times Stock Exchange 100, TOPIX or Russell 1000 stock index.

Claim 60

Dependent Claim 21 words

The method in claim 42 wherein function S is given by the following equation: ##EQU12## where: p is a predefined constant.

Claim 61

Dependent Claim 84 words

The method in claim 58 further comprising the steps, in the computer system, of selectively operating in either a rebalancing or cash investment mode, wherein during the rebalancing mode: determining said variable weights and, issuing, in response to said variable weights, said digital trading instructions so as to dynamically rebalance the portfolio, and during the cash investment mode: issuing at least one other digital trading instruction so as to consume an amount of cash then existing in the portfolio that exceeds a predefined threshold.

Claim 62

Dependent Claim 106 words

The method in claim 59 further comprising the steps, in the computer system during said cash investment mode, of: generating a list of possible trades for each security in the set; selecting one of the possible trades that consumes, amongst all of the possible trades, a largest amount of the cash; issuing an electronic instruction, to an electronic trading network, containing said selected one trade so as to execute said one possible trade; and removing said selected one trade from said list and repeating said selecting, issuing and removing operations, in seriatim, to generate additional trades for execution until said cash decreases below said predefined threshold.

Claim 63

Dependent Claim 38 words

The method in claim 58 further comprising the steps, in the computer system, of: invoking the rebalancing mode at periodic intervals; and invoking the cash investment mode selectively whenever the cash in the portfolio exceeds the predefined threshold.

Claim 64

Dependent Claim 180 words

The method in claim 58 further comprising the steps, in the computer system of: determining, in response to the share information and to the current price information for each of the securities in the index, a normalized current capitalization weighting for each of said securities in the index; determining, in response to said normalized capitalization weighting, the variable weighting for each security in the set; ascertaining a current proportion for each of said securities in the set, said current proportion being reflective of a proportion of a total value of the portfolio attributable to said each security in the set; and generating, in response to a predefined relationship between said variable weighting and said current weighting, for each corresponding one of the securities in the set, a corresponding one of the digital trading instructions, the corresponding one digital trading instruction representing an associated trade involving said corresponding one security such that a proportion of the portfolio that will be held in said one security, after said associated trade is executed, will approximate the variable weighting determined for said one security.

Claim 65

Dependent Claim 66 words

The method in claim 62 further comprising the steps, in the computer system during said instruction generating step and during said rebalancing mode, of: calculating a number of shares in said one security to be traded; rounding said number to a round lot of shares so as to form a rounded share number; and incorporating said rounded share number within the corresponding one digital trading instruction.

Claim 66

Dependent Claim 31 words

The method in claim 58 wherein the share information comprises an identifier of each of said securities in the index and a number of shares currently outstanding for said each security.

Claim 67

Dependent Claim 34 words

The method in claim 58 wherein the capitalization weighted index is the S & P 500, Financial Times Stock Exchange 100, TOPIX or Russell 1000 stock indices and p has a value of 0.76.

Claim 68

Dependent Claim 84 words

The method in claim 41 further comprising the steps, in the computer system, of selectively operating in either a rebalancing or cash investment mode, wherein during the rebalancing mode: determining said variable weights and, issuing, in response to said variable weights, said digital trading instructions so as to dynamically rebalance the portfolio, and during the cash investment mode: issuing at least one other digital trading instruction so as to consume an amount of cash then existing in the portfolio that exceeds a predefined threshold.

Claim 69

Dependent Claim 38 words

The method in claim 66 further comprising the steps, in the computer system, of: invoking the rebalancing mode at periodic intervals; and invoking the cash investment mode selectively whenever the cash in the portfolio exceeds the predefined threshold.

Claim 70

Dependent Claim 106 words

The method in claim 66 further comprising the steps, in the computer system during said cash investment mode, of: generating a list of possible trades for each security in the set; selecting one of the possible trades that consumes, amongst all of the possible trades, a largest amount of the cash; issuing an electronic instruction, to an electronic trading network, containing said selected one trade so as to execute said one possible trade; and removing said selected one trade from said list and repeating said selecting, issuing and removing operations, in seriatim, to generate additional trades for execution until said cash decreases below said predefined threshold.

Claim 71

Dependent Claim 180 words

The method in claim 41 further comprising the steps, in the computer system of: determining, in response to the share information and to the current price information for each of the securities in the index, a normalized current capitalization weighting for each of said securities in the index; determining, in response to said normalized capitalization weighting, the variable weighting for each security in the set; ascertaining a current proportion for each of said securities in the set, said current proportion being reflective of a proportion of a total value of the portfolio attributable to said each security in the set; and generating, in response to a predefined relationship between said variable weighting and said current weighting, for each corresponding one of the securities in the set, a corresponding one of the digital trading instructions, the corresponding one digital trading instruction representing an associated trade involving said corresponding one security such that a proportion of the portfolio that will be held in said one security, after said associated trade is executed, will approximate the variable weighting determined for said one security.

Claim 72

Dependent Claim 61 words

The method in claim 69 further comprising the steps, in the computer system during said instruction generating step of: calculating a number of shares in said one security to be traded; rounding said number to a round lot of shares so as to form a rounded share number; and incorporating said rounded share number within the corresponding one digital trading instruction.

Claim 73

Dependent Claim 31 words

The method in claim 41 wherein the share information comprises an identifier of each of said securities in the index and a number of shares currently outstanding for said each security.

Claim 74

Dependent Claim 27 words

The method in claim 41 wherein the capitalization weighted index is the S & P 500, Financial Times Stock Exchange 100, TOPIX or Russell 1000 stock index.

Annuity Stage	Window Opens	Payment Deadline	Surcharge Period Until	Estimated Fee	Status
3.5 Years (Year 4)	2001-10-05	2002-04-06	2002-10-06	$2000.00	Window Closed / Lapsed
7.5 Years (Year 8)	2005-10-05	2006-04-06	2006-10-06	$3760.00	Window Closed / Lapsed
11.5 Years (Year 12)	2009-10-05	2010-04-06	2010-10-06	$7700.00	Window Closed / Lapsed

Apparatus and accompanying methods for automatically modifying a financial portfolio through dynamic re-weighting based on a non-constant function of current capitalization weights

Abstract

Inventors

Bibliographic Details

Claims Analysis

References Cited (Backward Citations)

USPTO Annuity & Maintenance Windows

Assigned Categories & Tags

Assign Category Tag