U.S. patent application number 13/784522 was filed with the patent office on 2013-07-11 for method, system, and program product for determining a value of an index.
This patent application is currently assigned to BATS GLOBAL MARKETS, INC.. The applicant listed for this patent is BATS GLOBAL MARKETS, INC.. Invention is credited to Darshan Desai, Joel Nitz, Joseph Ratterman.
Application Number | 20130179324 13/784522 |
Document ID | / |
Family ID | 44278268 |
Filed Date | 2013-07-11 |
United States Patent
Application |
20130179324 |
Kind Code |
A1 |
Desai; Darshan ; et
al. |
July 11, 2013 |
METHOD, SYSTEM, AND PROGRAM PRODUCT FOR DETERMINING A VALUE OF AN
INDEX
Abstract
A method and system for determining and sending or posting an
electronic value for an index is provided. A list of sectors is
obtained. The system then accesses a database storing company
information. Eligible securities are selected, assigned to sectors
and ranked within each sector. A weight for each eligible security
is determined. An amount for the index value of the selected
eligible securities based on the weighting is calculated. The index
value may be posted or outputted electronically.
Inventors: |
Desai; Darshan; (Pacific
Palisades, CA) ; Ratterman; Joseph; (Bucyrus, KS)
; Nitz; Joel; (Overland Park, KS) |
|
Applicant: |
Name |
City |
State |
Country |
Type |
BATS GLOBAL MARKETS, INC.; |
Lenexas |
KS |
US |
|
|
Assignee: |
BATS GLOBAL MARKETS, INC.
Lenexa
KS
|
Family ID: |
44278268 |
Appl. No.: |
13/784522 |
Filed: |
March 4, 2013 |
Related U.S. Patent Documents
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Application
Number |
Filing Date |
Patent Number |
|
|
12887349 |
Sep 21, 2010 |
8392303 |
|
|
13784522 |
|
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61245882 |
Sep 25, 2009 |
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Current U.S.
Class: |
705/37 |
Current CPC
Class: |
G06Q 40/06 20130101;
G06Q 40/04 20130101 |
Class at
Publication: |
705/37 |
International
Class: |
G06Q 40/04 20060101
G06Q040/04 |
Claims
1-17. (canceled)
18. A method for determining and sending or posting an electronic
value for an index, comprising: obtaining a list of sectors;
accessing, by one or more computers, one or more electronic
databases held on one or more computer-readable media, the one or
more databases comprising for each of a plurality of securities,
identification of a company and a plurality of characteristics for
the company identified, including a current market capitalization
and current float adjusted market capitalization (FAMC) for the
company; selecting from the plurality of securities a plurality of
eligible securities, based on one or more first criteria related to
one or more of the characteristics of the respective company
associated with the respective security; assigning each of a
plurality of the respective eligible securities to a respective one
of the sectors; ranking the eligible securities, by the one or more
computers, by one or more second criteria including a current
market capitalization for the respective security; selecting, based
at least in part on the ranking, a plurality of the eligible
securities within each sector; obtaining, by the one or more
computers and an electronic network connection, a respective
current share price for each of the selected eligible securities;
determining, by the one or more computers, an FAMC factor for each
of the selected eligible securities selected based in part on the
FAMC of the respective selected eligible security and the current
share price for the respective selected eligible security so that,
for the sector assigned to the respective eligible security, a
calculation of an aggregation of weighted selected eligible
securities in that sector obtained by weighting the current share
price for each respective selected eligible security in that sector
with its respective FAMC factor, and then summing the weighted
selected eligible securities that result, is substantially equal to
an aggregation of weighted selected eligible securities in any of
the other of the sectors at a point in time, which aggregation is
equal to an initial sector value; calculating, by the one or more
computers, an amount for the index value of the selected eligible
securities based on the weighted selected eligible securities; and
posting the amount or outputting an electronic signal comprising
the amount for the index value for further electronic
dissemination.
19. A method according to claim 18, wherein ranking the securities
by market capitalization further comprises: comparing the market
capitalization of the selected eligible securities within a same
sector to obtain a ranking of securities by sector.
20. A method for administering an exchange traded fund (ETF),
comprising: obtaining a set of sectors for shares in the index and
obtaining a respective group of selected eligible securities for
each respective sector in the set of sectors; obtaining a current
float adjusted market capitalization (FAMC) for each of a plurality
of the selected eligible securities; determining, by one or more
computers, an FAMC percentage for each of the plurality of the
selected eligible securities, by dividing the current FAMC for the
respective eligible security by a total of the FAMC's of the
selected eligible securities in a respective sector of the
respective selected eligible security; obtaining, by the one or
more computers and an electronic network connection, a respective
current share price for each of the selected eligible securities;
determining, by the one or more computers, a respective current
FAMC factor for each of a plurality of the respective selected
eligible securities, by dividing an initial sector value by a value
obtained by multiplying the FAMC percentage for the respective
eligible security by a current share price for the respective
eligible security, wherein the initial sector value is the same for
all of the sectors in the index and is equal to a sum of weighted
share prices of the respective group of selected eligible
securities of the sector; calculating, by the one or more
computers, a respective current weighted selected eligible
security, for each of the respective selected eligible securities,
by applying the current FAMC factor for the respective selected
eligible security to the current share price for the respective
selected eligible security; calculating, by the one or more
computers, a current index value comprising an intra day indicative
value (IIV) by summing current weighted selected eligible
securities; disseminating electronically or having disseminated
electronically the IIV via an electronic data communication feed
and one or more computers; obtaining securities for the ETF to
become a part of the portfolio of securities; performing a creation
event, comprising: receiving an asset in relation to a creation
event associated with a respective authorized participant (AP);
issuing one or more ETF shares directly or indirectly to the
respective one AP based on the asset received; and performing a
redemption event, comprising: receiving one or more shares of the
ETF for the same or for another of the AP's; identifying securities
for the redemption event; and transferring or sending an electronic
message to transfer the identified securities directly or
indirectly to the respective AP or an agent thereof.
21. A method for determining and sending or posting an electronic
value for an index, comprising: obtaining a set of sectors for
shares in the index and obtaining a group of selected eligible
securities for each of the sectors in the set of sectors including
an additional selected eligible security that replaces one of the
selected eligible securities in a given sector; obtaining a current
float adjusted market capitalization (FAMC) for each of a plurality
of selected eligible securities including the additional selected
eligible security in the given sector; determining, by the one or
more computers, an FAMC percentage for each of the plurality of the
selected eligible securities, by dividing the current FAMC for the
respective eligible security by a total of the FAMC's of the
selected eligible securities in a respective sector of the
respective selected eligible security; determining, by the one or
more computers, a respective current FAMC factor for each of a
plurality of the respective selected eligible securities in sectors
other than the given sector where one of the selected eligible
security had been replaced for the sector, by dividing an initial
sector value for the period by a value obtained by multiplying the
FAMC percentage for the respective selected eligible security by a
current share price for the respective selected eligible security,
wherein the initial sector value for the period was the same for
all of the sectors in the index at an initial point in time;
calculating, by the one or more computers, a new sector value for
the given sector based on calculation of an aggregation of weighted
selected eligible securities in the given sector before the
selected eligible security was replaced; determining, by the one or
more computers, a respective current FAMC factor for each of the
respective selected eligible securities in the given sector, by
dividing the new sector value by a value obtained by multiplying
the FAMC percentage for the respective selected eligible security
in the given sector by a current share price for the respective
selected eligible security; calculating, by the one or more
computers, a respective current weighted selected eligible
security, for each of the respective selected eligible securities,
by applying the current FAMC factor for the respective eligible
security to the current share price for the respective eligible
security; calculating, by the one or more computers, a current
index value by obtaining an aggregation of current weighted
selected eligible securities; and posting or outputting an
electronic signal comprising the current index value for further
electronic dissemination.
22. A method according to claim 21, further comprising: obtaining
information about a corporate action in relation to one or more
selected eligible securities that indicates that an additional
eligible security must be selected in a given sector to replace one
of the selected eligible securities for that given sector;
obtaining the additional selected eligible security for the given
sector; and obtaining a current float adjusted market
capitalization (FAMC) for each of a plurality of selected eligible
securities including the additional selected eligible security.
23. A system for determining and sending or posting an electronic
value for an index, comprising: one or more computers configured to
perform the operations: determining, by the one or more computers,
based on a set of sectors for shares in the index and a respective
group of selected eligible securities for each respective sector in
this set of sectors and a current float adjusted market
capitalization (FAMC) for each of a plurality of the selected
eligible securities, an (FAMC) percentage for each of a plurality
of the selected eligible securities, by dividing the current FAMC
for the respective eligible security by a total of the FAMC's of
the selected eligible securities in a respective sector of the
respective selected eligible security; obtaining, by the one or
more computers and an electronic network connection, a respective
current share price for each of the selected eligible securities;
determining, by the one or more computers, a respective current
FAMC factor for each of a plurality of the respective selected
eligible securities, by dividing an initial sector value for a
period by a value obtained by multiplying the FAMC percentage for
the respective selected eligible security by a current share price
for the respective selected eligible security, wherein the initial
sector value for a period is the same for all of the sectors in the
index and is equal to a sum of weighted share prices of the
selected eligible securities of the respective sector at a given
initial point in time; calculating, by the one or more computers, a
respective current weighted selected eligible security value, for
each of the respective selected eligible securities, by applying
the current FAMC factor for the respective selected eligible
security to the current share price for the respective selected
eligible security; calculating, by the one or more computers, an
index value by summing current weighted selected eligible
securities; and posting or outputting, by the one or more
computers, an electronic signal comprising the index value for
further electronic dissemination.
Description
CROSS-REFERENCE TO RELATED PATENT APPLICATIONS
[0001] This application is a divisional application of U.S.
application Ser. No. 12/887,349, filed Sep. 21, 2010, which claims
priority to Provisional U.S. Application Ser. No. 61/245,882, filed
Sep. 25, 2009, the entire contents of which are hereby incorporated
by reference.
BACKGROUND
[0002] The present invention relates generally to the field of
economic indexes. A market index, such as a stock market index, is
a method of measuring a section of a stock market. An index may be
classified in a number of ways including by region, by exchange or
by the size of the company. Specialized indexes exist that track
the performance of a particular market or markets.
SUMMARY
[0003] It is to be understood that both the foregoing general
description and the following detailed description are exemplary
and explanatory only, and are not restrictive of the claimed
subject matter.
[0004] According to one embodiment, a method for determining and
sending or posting an electronic value for an index, comprises the
steps of obtaining a set of sectors for shares in the index and
obtaining a respective group of selected eligible securities for
each respective sector in the set of sectors; obtaining a current
float adjusted market capitalization (FAMC) for each of a plurality
of the selected eligible securities; determining, by one or more
computers, an FAMC percentage for each of the plurality of the
selected eligible securities, by dividing the current FAMC for the
respective eligible security by a total of the FAMC's of the
selected eligible securities in a respective sector of the
respective selected eligible security; obtaining, by the one or
more computers and an electronic network connection, a respective
current share price for each of the selected eligible securities;
determining, by the one or more computers, a respective current
FAMC factor for each of a plurality of the respective selected
eligible securities, by dividing an initial sector value for a
period by a value obtained by multiplying the FAMC percentage for
the respective selected eligible security by a current share price
for the respective selected eligible security, wherein the initial
sector value for a period is the same for all of the sectors in the
index and is equal to a sum of weighted share prices of the
selected eligible securities of the respective sector at a given
initial point in time; calculating, by the one or more computers, a
respective current weighted selected eligible security value, for
each of the respective selected eligible securities, by applying
the current FAMC factor for the respective selected eligible
security to the current share price for the respective selected
eligible security; calculating, by the one or more computers, an
index value by summing current weighted selected eligible
securities; and posting or outputting an electronic signal
comprising the index value for further electronic
dissemination.
[0005] According to another embodiment, the method for determining
and sending or posting an electronic value for an index, further
comprises obtaining information about a corporate action in
relation to one or more of the selected eligible securities that
indicates that an additional eligible security must be selected in
a given sector to replace one of the selected eligible securities;
obtaining the additional eligible security for the given sector;
calculating or obtaining, by the one or more computers, a new
sector value for the given sector based on calculation of an
aggregation of the weighted selected eligible securities in the
given sector before the corporate action; determining, by the one
or more computers, a respective current FAMC factor for the
respective selected eligible securities including the additional
eligible security in the given sector, by dividing the new sector
value by a value obtained by multiplying the FAMC percentage for
the respective eligible security by the current share price for the
respective eligible security; calculating, by the one or more
computers, a respective current weighted selected eligible
security, for each of the respective selected eligible securities,
by applying the current FAMC factor for the respective eligible
security to the current share price for the respective eligible
security; and calculating, by the one or more computers, the
current index value by summing the current weighted selected
eligible securities.
[0006] According to yet another embodiment, the information about a
corporate event indicates a merger of two of the selected eligible
securities to form a single entity or one of the selected eligible
securities has a share price that has fallen below a threshold
value.
[0007] According to still another embodiment, calculating the new
sector value for the given sector comprises summing the weighted
selected eligible securities in the given sector before the
corporate action.
[0008] According to one embodiment, applying the current FAMC
factor comprises multiplying the current FAMC factor by the current
share price.
[0009] According to another embodiment, the method for determining
and sending or posting an electronic value for an index, further
comprises determining, by the one or more computers, a relative
sector value for each of the sectors reflecting or derived from a
current value determined for each of the sectors relative to a
sector value of the other sectors; and posting or outputting
electronically the current sector values.
[0010] According to yet another embodiment, an equal number of
selected eligible securities are in each sector.
[0011] According to still another embodiment, the method for
determining and sending or posting an electronic value for an
index, further comprises accessing, by one or more computers, one
or more electronic databases held on one or more computer-readable
media, the one or more databases comprising for each of a plurality
of securities, identification of a company and a plurality of
characteristics for the company identified, including a current
market capitalization and current float adjusted market
capitalization (FAMC) for the company; selecting from the plurality
of securities a plurality of eligible securities, based on one or
more first criteria related to one or more of the characteristics
of the respective company associated with the respective security;
assigning each respective one of a plurality of the eligible
securities to a respective one from a set of sectors; ranking the
eligible securities, by the one or more computers, by one or more
second criteria including a current market capitalization for the
respective security; and for each respective sector, selecting,
based at least in part on the ranking, a plurality of the eligible
securities in the respective sector to comprise the group of
selected eligible securities for the respective sector.
[0012] According to one embodiment, the one or more databases
further comprises at least one of company financial performance
information and market data.
[0013] According to another embodiment, the step of selecting a
plurality of eligible securities further comprises: identifying
companies offering at least one selected from the group of common
stock, tracking stock, real estate investment trusts (REITs), or
business development companies (BDCs); and classifying at least one
of the common stock, tracking stock, real estate investment trusts
(REITs), or business development companies (BDCs) of the identified
companies as an eligible security.
[0014] According to still another embodiment, each respective
sector in the list of sectors comprises a group of companies that
share one or more common characteristics.
[0015] According to yet another embodiment, the step of assigning
each of the securities to a sector further comprises: assigning
each security to a sector based on at least one of a company
profile, core business, product segmentation or leading revenue
stream associated with the company for the security.
[0016] According to one embodiment, the step of selecting the
securities based on the one or more first criteria further
comprises selecting companies that are both: incorporated and
domiciled in the United States of America or designated as an
approved foreign entity (AFE); and have a share price of at least
one U.S. dollar.
[0017] According to another embodiment, market capitalization is
calculated by the share price of the security multiplied by shares
outstanding.
[0018] According to still another embodiment, the float is defined
as a total number of liquid shares publicly owned and available for
trading, not including shares held by insiders, restricted shares,
or shares held by other stagnant shareholders such as the
government and employee stock ownership programs.
[0019] According to yet another embodiment, current sector values
are periodically set to be substantially equal and set to an update
value determined by dividing a current value of the index by the
number of sectors for the index.
[0020] According to one embodiment, the amount for the index value
may not be a monetary value, but rather a relative value that has
significance as it relates to itself.
[0021] According to another embodiment, a method for determining
and sending or posting an electronic value for an index, comprises
obtaining a list of sectors; accessing, by one or more computers,
one or more electronic databases held on one or more
computer-readable media, the one or more databases comprising for
each of a plurality of securities, identification of a company and
a plurality of characteristics for the company identified,
including a current market capitalization and current float
adjusted market capitalization (FAMC) for the company; selecting
from the plurality of securities a plurality of eligible
securities, based on one or more first criteria related to one or
more of the characteristics of the respective company associated
with the respective security; assigning each of a plurality of the
respective eligible securities to a respective one of the sectors;
ranking the eligible securities, by the one or more computers, by
one or more second criteria including a current market
capitalization for the respective security; selecting, based at
least in part on the ranking, a plurality of the eligible
securities within each sector; obtaining, by the one or more
computers and an electronic network connection, a respective
current share price for each of the selected eligible securities;
determining, by the one or more computers, an FAMC factor for each
of the selected eligible securities selected based in part on the
FAMC of the respective selected eligible security and the current
share price for the respective selected eligible security so that,
for the sector assigned to the respective eligible security, a
calculation of an aggregation of weighted selected eligible
securities in that sector obtained by weighting the current share
price for each respective selected eligible security in that sector
with its respective FAMC factor, and then summing the weighted
selected eligible securities that result, is substantially equal to
an aggregation of weighted selected eligible securities in any of
the other of the sectors at a point in time, which aggregation is
equal to an initial sector value; calculating, by the one or more
computers, an amount for the index value of the selected eligible
securities based on the weighted selected eligible securities; and
posting the amount or outputting an electronic signal comprising
the amount for the index value for further electronic
dissemination.
[0022] According to still another embodiment, ranking the
securities by market capitalization further comprises: comparing
the market capitalization of the selected eligible securities
within a same sector to obtain a ranking of securities by
sector.
[0023] According to yet another embodiment, a method for
administering an exchange traded fund (ETF), comprises obtaining a
set of sectors for shares in the index and obtaining a respective
group of selected eligible securities for each respective sector in
the set of sectors; obtaining a current float adjusted market
capitalization (FAMC) for each of a plurality of the selected
eligible securities; determining, by one or more computers, an FAMC
percentage for each of the plurality of the selected eligible
securities, by dividing the current FAMC for the respective
eligible security by a total of the FAMC's of the selected eligible
securities in a respective sector of the respective selected
eligible security; obtaining, by the one or more computers and an
electronic network connection, a respective current share price for
each of the selected eligible securities; determining, by the one
or more computers, a respective current FAMC factor for each of a
plurality of the respective selected eligible securities, by
dividing an initial sector value by a value obtained by multiplying
the FAMC percentage for the respective eligible security by a
current share price for the respective eligible security, wherein
the initial sector value is the same for all of the sectors in the
index and is equal to a sum of weighted share prices of the
respective group of selected eligible securities of the sector;
calculating, by the one or more computers, a respective current
weighted selected eligible security, for each of the respective
selected eligible securities, by applying the current FAMC factor
for the respective selected eligible security to the current share
price for the respective selected eligible security; calculating,
by the one or more computers, a current index value comprising an
intra day indicative value (IIV) by summing current weighted
selected eligible securities; disseminating electronically or
having disseminated electronically the IIV via an electronic data
communication feed and one or more computers; obtaining securities
for the ETF to become a part of the portfolio of securities;
performing a creation event, comprising: receiving an asset in
relation to a creation event associated with a respective
authorized participant (AP); issuing one or more ETF shares
directly or indirectly to the respective one AP based on the asset
received; and performing a redemption event, comprising: receiving
one or more shares of the ETF for the same or for another of the
AP's; identifying securities for the redemption event; and
transferring or sending an electronic message to transfer the
identified securities directly or indirectly to the respective AP
or an agent thereof.
[0024] According to one embodiment, a method for determining and
sending or posting an electronic value for an index, is disclosed,
comprising: obtaining a set of sectors for shares in the index and
obtaining a group of selected eligible securities for each of the
sectors in the set of sectors including an additional selected
eligible security that replaces one of the selected eligible
securities in a given sector; obtaining a current float adjusted
market capitalization (FAMC) for each of a plurality of selected
eligible securities including the additional selected eligible
security in the given sector; determining, by the one or more
computers, an FAMC percentage for each of the plurality of the
selected eligible securities, by dividing the current FAMC for the
respective eligible security by a total of the FAMC's of the
selected eligible securities in a respective sector of the
respective selected eligible security; determining, by the one or
more computers, a respective current FAMC factor for each of a
plurality of the respective selected eligible securities in sectors
other than the given sector where one of the selected eligible
security had been replaced for the sector, by dividing an initial
sector value for the period by a value obtained by multiplying the
FAMC percentage for the respective selected eligible security by a
current share price for the respective selected eligible security,
wherein the initial sector value for the period was the same for
all of the sectors in the index at an initial point in time;
calculating, by the one or more computers, a new sector value for
the given sector based on calculation of an aggregation of weighted
selected eligible securities in the given sector before the
selected eligible security was replaced; determining, by the one or
more computers, a respective current FAMC factor for each of the
respective selected eligible securities in the given sector, by
dividing the new sector value by a value obtained by multiplying
the FAMC percentage for the respective selected eligible security
in the given sector by a current share price for the respective
selected eligible security; calculating, by the one or more
computers, a respective current weighted selected eligible
security, for each of the respective selected eligible securities,
by applying the current FAMC factor for the respective eligible
security to the current share price for the respective eligible
security; calculating, by the one or more computers, a current
index value by obtaining an aggregation of current weighted
selected eligible securities; and posting or outputting an
electronic signal comprising the current index value for further
electronic dissemination.
[0025] According to another embodiment, determining and sending or
posting an electronic value for an index further comprises
obtaining information about a corporate action in relation to one
or more selected eligible securities that indicates that an
additional eligible security must be selected in a given sector to
replace one of the selected eligible securities for that given
sector; obtaining the additional selected eligible security for the
given sector; obtaining a current float adjusted market
capitalization (FAMC) for each of a plurality of selected eligible
securities including the additional selected eligible security.
[0026] According to a further embodiment, a system is disclosed for
determining and sending or posting an electronic value for an
index, comprising: one or more computers configured to perform the
operations: determining, by the one or more computers, based on a
set of sectors for shares in the index and a respective group of
selected eligible securities for each respective sector in this set
of sectors and a current float adjusted market capitalization
(FAMC) for each of a plurality of the selected eligible securities,
an (FAMC) percentage for each of a plurality of the selected
eligible securities, by dividing the current FAMC for the
respective eligible security by a total of the FAMC's of the
selected eligible securities in a respective sector of the
respective selected eligible security; obtaining, by the one or
more computers and an electronic network connection, a respective
current share price for each of the selected eligible securities;
determining, by the one or more computers, a respective current
FAMC factor for each of a plurality of the respective selected
eligible securities, by dividing an initial sector value for a
period by a value obtained by multiplying the FAMC percentage for
the respective selected eligible security by a current share price
for the respective selected eligible security, wherein the initial
sector value for a period is the same for all of the sectors in the
index and is equal to a sum of weighted share prices of the
selected eligible securities of the respective sector at a given
initial point in time; calculating, by the one or more computers, a
respective current weighted selected eligible security value, for
each of the respective selected eligible securities, by applying
the current FAMC factor for the respective selected eligible
security to the current share price for the respective selected
eligible security; calculating, by the one or more computers, an
index value by summing current weighted selected eligible
securities; and posting or outputting, by the one or more
computers, an electronic signal comprising the index value for
further electronic dissemination.
BRIEF DESCRIPTION OF THE DRAWINGS
[0027] Features, aspects and advantages of the present invention
will become apparent from the following description, appended
claims, and the accompanying exemplary embodiments shown in the
drawings, which are briefly described below.
[0028] FIG. 1 is a schematic block diagram of one embodiment.
[0029] FIG. 2 is a schematic block diagram of an electronic system
for implementing one or more embodiments.
[0030] FIG. 3 is a flow chart for implementing one or more
embodiments.
[0031] FIG. 4 is a flow chart for implementing one or more
embodiments.
[0032] FIG. 5 is a flow chart for implementing one or more
embodiments.
[0033] FIG. 6 is a flow chart for implementing one or more
embodiments.
[0034] FIG. 7 is a flow chart for implementing one or more
embodiments.
[0035] FIG. 8 is a flow chart for implementing one or more
embodiments.
[0036] FIG. 9 is a flow chart for implementing one or more
embodiments.
DETAILED DESCRIPTION OF EMBODIMENTS
[0037] Embodiments of the disclosure will be described below with
reference to the accompanying drawings. It should be understood
that the following description is intended to describe exemplary
embodiments, and not to limit the claimed subject matter.
[0038] FIG. 1 is a block diagram showing an index value management
system (IVMS) 100. The IVMS 100 is operably connected to a database
110. The database 110 is configured to store information. The
stored information can be retrieved by the IVMS 100. In addition,
the IVMS 100 may store data in the database 110. According to one
embodiment, the IVMS 100 may also be connected to a client 120. The
client 120 is configured to receive or obtain signals (e.g.,
information, data, etc.) from the IVMS 100 and provide it to a user
in a perceptible format (e.g., via a display screen, audibly, in
print, etc.)
[0039] FIG. 2 is a block diagram showing an embodiment of an IVMS
100 of FIG. 1, generally designated by reference number 200,
according to an exemplary embodiment of the present invention. In
one embodiment, the IVMS 200 according to the present invention may
be communicatively coupled to one or more networks 205, such as the
Internet, to communicate information therethrough to interested or
authorized parties. The IVMS 200 may also or alternatively be
communicatively coupled to a network 205 comprising a closed
network (e.g., an intranet), and thereby communicate information to
a limited amount of receivers, potentially with an enhanced level
of security. The IVMS 200 may be configured to communicate, via the
one or more networks 205, with other respective computer systems
(e.g., database 110 or client 120).
[0040] The communication interface 295 may provide data
communication through one or more networks 205 to other data
devices. The network 205 may represent a generic network, which may
correspond to a local area network (LAN), a wireless LAN, an
Ethernet LAN, a token ring LAN, a wide area network (WAN), the
Internet, a proprietary network, an intranet, a telephone network,
a wireless network, to name a few and any combination thereof.
Depending on the nature of the network employed for a particular
application, the network 205 may be implemented accordingly. The
network 205 serves the purpose of delivering information between
connected parties.
[0041] The IVMS 200 may be used in some embodiments to implement a
computing platform for providing computer-implemented operations,
for example, via a server and the one or more networks 205. An
exemplary IVMS 200 may operate under the control of
computer-executable instructions (computer software) to carry out
the process steps described herein. Computer-executable
instructions comprise, for example, instructions and data which
cause a general or special purpose computer system or processing
device to perform a certain function or group of functions.
Computer software for the IVMS 200 may comprise, in an embodiment,
a set of software objects and/or program elements including
computer-executable instructions collectively having the ability to
execute in a single processor, or independently in a plurality of
processors, a thread or logical chain of process steps, and permit
the flow of data inputs/outputs therebetween.
[0042] The IVMS 200 may be implemented as, or include, one or more
personal computers, workstations, notebook computers, servers,
mobile computing devices, handheld devices, multi-processor
systems, networked personal computers, minicomputers, mainframe
computers, personal data assistants, Internet appliances (e.g., a
computer designed to connect to a network, especially the Internet,
etc.), or controllers.
[0043] The IVMS 200 may comprise, in one embodiment, a bus 210 or
other communication component that couples the various system
elements 220-295, and may be configured to communicate information
between the various system elements 220-295.
[0044] As shown in FIG. 2, one or more computer processors 220 may
be configured to process and handle information and execute
instructions, and may be coupled with the bus 210. The management
system 200 also may include a main memory 250, such as a Random
Access Memory (RAM) or other dynamic storage device, coupled to the
bus 210 for storing information and instructions to be executed by
the one or more processors 220. The main memory 250 also may be
used for storing temporary variables or other intermediate
information during execution of instructions by the one or more
processors 220.
[0045] The management system 200 further may include a Read-Only
Memory (ROM) 230 or other static storage device (e.g., EPROM,
EAROM, EEPROM, PROM, flash, and the like) coupled to the bus 210
for storing static information and instructions for the one or more
processors 220. Furthermore, a storage device 240, such as a
magnetic disk or optical disk, such as a CD-ROM or other optical
media may be provided and coupled to the bus 210 for storing
information and instructions.
[0046] In addition to the ROM 230, one or more databases 260
(represented in FIG. 1 as database 110) may be coupled to the bus
210 for storing static information and software instructions.
Information stored in or maintained using the database 260 may be
provided in conformance with a database management system format
such as, but not limited to, the Structured Query Language (SQL)
format. Database query and access instructions, for example, in the
form of one or more scripts, may be used which, when executed by a
processor such as the processor 220, serve to store and retrieve
data maintained in the database 260 according to the instructions
contained in the script, and the data fields to be accessed, as
well as their arrangement.
[0047] Furthermore, the IVMS 200 may comprise application software
instructions which may comprise a user interface portion for
generating interactive pages or display screens by which a user may
provide data to and receive information from the management system
200 and the database 260 using a human-machine interface such as a
graphical user interface (GUI). Interactive pages may include user
dialog boxes for accepting user entered information. In particular,
the (GUI) portion may prompt the user to enter data by providing an
interactive dialog box or message box instructing the user to enter
particular data, or to select from among a multitude of options
provided using a pull-down menu. A user may interact with the IVMS
200 via the graphical user interface provided by the GUI portion by
using a pointing device and/or other data entry device. The GUI
portion may place the output of the IVMS 200 in a format for
presentation to a user via a display 290, discussed below. In at
least one embodiment, the GUI may be implemented as a sequence of
programming language instructions.
[0048] A data entry device 270, including alphanumeric and other
keys, or a pointing device such as a mouse or trackball, or a
scanner, to name a few, may be coupled to the bus 210 for
communicating information and command selections to the processor
220. The data entry device 270 may be coupled to the bus 210 via an
interface (not shown), wherein the interface may be, for example, a
serial port, an RS-232 port, or the like. In addition, the
interface may be a wireless interface and provide connection-less
communication via, for example, Bluetooth communication.
[0049] The IVMS 200 may be coupled via the bus 210 to a display or
printer 290 for outputting information to a computer user. In
addition, a user may use the display (e.g., touch screen) or
printer (e.g., scanner) to provide information to the management
system 200. In one embodiment, the display 290 may be a Cathode Ray
Tube (CRT) display, a Liquid Crystal Display (LCD), a plasma
display, an LED display, a projector, or other suitable display,
capable of displaying information. The printer may be a local or
remote printer.
[0050] According to at least one embodiment of the present
invention, the various program operations as described herein may
be provided by the IVMS 200 in response to the one or more
processors 220 executing one or more sequences of computer-readable
instructions contained in the main memory 250. Such instructions
may be read into the main memory 250 from another computer-readable
medium, such as the ROM 230, the storage device 240, or the
database 260. Execution of the sequences of instructions contained
in the main memory 250 may cause the one or more processors 220 to
perform the process steps described herein. It should be
appreciated that an embodiment of the IVMS 200 may perform fewer or
additional processes as compared to those described herein. As
noted, the one or more processors 220 may be arranged in a
multi-processing arrangement. Alternatively, hard-wired circuitry
may be used in place of or in combination with software
instructions to implement the invention. Thus, embodiments of the
invention are not limited to any specific combination of hardware
circuitry and software.
[0051] The term "computer-readable medium" or "computer-readable
storage medium," as used herein refers to any medium that is
computer-readable and participates in providing instructions to the
processor 220 for execution. Such a medium may be removable or
non-removable and may take many forms, including, but not limited
to, non-volatile media and volatile media. Non-volatile media
include, for example, optical or magnetic disks, such as the
storage device 240. Volatile media include dynamic memory, such as
the main memory 250. Common forms of computer-readable media
include, for example, floppy disk, a flexible disk, hard disk,
magnetic tape, any other magnetic medium, a Compact Disc Read Only
Memory (CD ROM), Digital Video Disc (DVD) or any other optical
medium, punch cards, paper tape, any other physical medium with
patterns of holes, a Random Access Memory (RAM), a Programmable
Read Only Memory (PROM), an Erasable Programmable Read Only Memory
(EPROM), a Flash EPROM, any other memory chip or cartridge, or any
other tangible medium from which a computer can read computer
instructions. Combinations of the above are also included within
the scope of computer-readable media. Machine-executable
instructions comprise, for example, instructions and data which
cause a general purpose computer, special purpose computer, or
special purpose processing machine to perform a certain function or
group of functions. It should be appreciated that the one or more
databases 260, the main memory 250, the storage device 240, and the
ROM 230 may, in some embodiments, be described as a
"computer-readable medium" or a "computer-readable storage
medium."
[0052] The IVMS 200 also comprises a communication interface 295
coupled to the bus 210 and providing one-way, two-way or multi-way
data communication with the network 205, or directly with other
devices. For example, the communication interface 295 may comprise
a modem, a transceiver, an Integrated Services Digital Network
(ISDN) card, a WAN card, an Ethernet interface, or the like, to
provide a data communication connection to a corresponding type of
communication medium. As another example, the communication
interface 295 may comprise a LAN card to provide a data
communication connection to a compatible LAN. Wireless links may
also be implemented. In such wireless links, communication
interface 295 may communicate with a base station communicatively
coupled to a network server. In any such implementation, the
communication interface 295 sends and receives electrical,
electromagnetic, radio, infrared, laser, or optical signals that
carry digital data streams representing various types of
information. Any combination of the above interfaces may also be
implemented.
[0053] In one embodiment, the communication interface 295 may
provide a connection through a local network to a host computer or
to data equipment operated by an Internet Service Provider (ISP).
The ISP may in turn provide data communication services through a
worldwide packet data communication network such as the Internet.
These networks use electrical, electromagnetic, or optical signals
that carry digital data streams.
[0054] In one embodiment, the communication interface 295 may be
communicatively coupled to a web server configured to generate and
output web content that is suitable for display using a web browser
at a computing device. In an embodiment, the server may generate
and transmit requested information through the communication
interface 295 to a requesting terminal via Hypertext Transfer
Markup Language (HTML) formatted pages, eXtensible Markup Language
(XML) formatted pages, or the like, which may be provided as World
Wide Web pages that may enable navigation by hyperlinks. The server
program may be used to receive commands and data from the clients'
terminals, and financial entity terminals, and third party database
terminals, etc., access and process data from various sources, and
output computer-executable instructions and data using the network
205.
[0055] According to one embodiment, a method for determining and
sending or posting an electronic value for an index is shown in
FIGS. 3 and 4. According to one embodiment, an index value is a
value calculated from set of prices or a quantity related to market
performance (e.g., the stock market index). It should be understood
that the specific steps described below may be performed by one or
more computers and/or processors configured as described above, or
in some cases manually.
[0056] According to FIG. 3, in step 300, a set of sectors for
shares in the index and a respective group of selected eligible
securities for each respective sector in the set of sectors is
obtained. According to one embodiment, each respective sector in
the list of sectors defines a group of companies that share one or
more common characteristics. Table 1 shows an exemplary list of
sector classifications. The list of sectors can be obtained by any
means, including but not limited to, downloading, communication
from a third party or may be created manually and keyed into the
system, or may be created automatically by an automated sort
operation based on one or more characteristics per sector. In one
embodiment, a list of ten sectors is created. The example ten
sectors listed below are weighted equally at inception (discussed
in detail below) and are again weighted equally at a subsequent
time, such as an annual reconstitution.
TABLE-US-00001 TABLE 1 Sector Classification Industrials and
Manufacturing Financials Business Services Consumer Services Basic
Materials Utilities Alternative Resources and Energy Healthcare and
Pharmaceuticals Consumer Goods Technology & Communication
[0057] In the example sectors shown in Table 1, the Industrials and
Manufacturing sector includes companies that manufacture
non-consumer goods. The Financials sector includes investment
services, banks, REITs, insurance providers and credit card
issuers. The Consumer Services sector includes companies that
specialize in media and entertainment, non-branded retail, travel
and education. The Consumer Goods sector includes branded retail,
branded products and homebuilders. Companies in the Basic Materials
sector specialize in agriculture, chemicals, forest products,
mineral and mining and metals. The Utilities sector includes power
plants, electricity, gas and water. Companies in the Alternative
Resources and Energy sector focus on renewable energy, exploration,
energy services, energy equipment and energy transportation. The
Healthcare and Pharmaceuticals sector includes healthcare equipment
and supplies, healthcare providers, healthcare benefits and
services and pharmaceutical companies. Companies in the Technology
and Communications sector focus on hardware, software, telephony
and interne products and services. Finally, the Business Services
sector includes companies involved in the transportation of goods,
marketing and advertising, consulting and outsourcing.
[0058] Selection of the eligible securities is shown in greater
detail in FIG. 5. According to one embodiment, in step 500, company
information for a variety of companies is obtained via access to
information stored in the electronic database 110. In step 505,
eligible securities for each sector are determined based on one or
more characteristics of the associated company. In one embodiment,
in order to determine eligible securities, companies are identified
that offer at least one selected from the group of common stock,
tracking stock, real estate investment trusts (REITs), or business
development companies (BDCs). According to one embodiment,
identified companies must be incorporated and domiciled in the
United States of America or designated as an approved foreign
entity (AFE); and have a share price of at least one U.S. dollar.
In one embodiment, the companies use the GAAP or International
Financial Reporting accounting standard for determining their
financial data. Next, at least one of the common stock, tracking
stock, real estate investment trusts (REITs) securities, or
business development companies (BDCs) securities, of the identified
companies are classified as an eligible security. According to one
embodiment, companies with multiple class stock are eligible for
membership, however the market capitalization for each class of
stock is aggregated to ensure proper weighting.
[0059] According to one embodiment, in step 510, respective
securities are assigned to a respective sector based on at least
one of a company profile, core business, product segmentation or
leading revenue stream (i.e., the most effective method that a
company uses to earn and collect money) associated with the company
for the security. This information can be obtained from, for
example, the electronic database 110, the Internet or filed reports
with the SEC, to name a few. In one embodiment, the Better
Alternative Sector Exposure Standard (BASES) is used to help define
a sector for each security. In one embodiment, an equal number of
equities are assigned to each sector.
[0060] According to one embodiment, in step 515, the eligible
securities are ranked. In order to rank the eligible securities,
one or more criteria such as, for example, its market
capitalization, is used. In one embodiment, market capitalization
is calculated by multiplying a share price by a number of shares
outstanding. In one embodiment, securities within the same sector
are ranked relative to each other. For example, companies within
the sector of Industrials and Manufacturing may have a rank of
1-390. Companies within the sector of Financials may have a rank of
1-964.
[0061] Reconstitution of the eligible securities is performed
periodically, such as for example, annually. In one embodiment,
securities are re-ranked by market capitalization. Securities that
fall below a minimum value of market capitalization may be removed
from the index at any time. In addition, a security may be removed
for other reasons such as bankruptcy or an exchange delisting.
According to one embodiment, removed securities are replaced as
soon as possible.
[0062] In step 520, a plurality of eligible securities within each
sector is selected based at least in part on the ranking. In one
embodiment, an equal number of equities are assigned to each
sector. According to one embodiment, the securities are assigned
such that there are 100 companies represented in each of 10
sectors, thus creating a 1000 company index. According to one
embodiment, only the companies ranked 1-100 in each sector become
part of the index. According to one embodiment, a security will be
subsequently eliminated from the index if its market capitalization
falls below a ranking of 125 within its respective sector. A
security with a ranking of 101 to 125 is generally retained.
[0063] Next, as shown in step 305 of FIG. 3, a current float
adjusted market capitalization (FAMC) for each of a plurality of
the selected eligible securities is obtained. According to one
embodiment, an electronic database 110 is accessed by the
management system 200 through one or more networks 205. For
example, an electronic database like Bloomberg or a similar service
may be accessed for data on the respective companies. The
electronic database 110 stores information for a number of
securities. For each security, the electronic database 110 may
store company information/characteristics, financial performance
information and/or market data. In addition, the electronic
database 110 stores a current market capitalization and in one
embodiment, a current float adjusted market capitalization (FAMC)
for the security.
[0064] Float in the term "current Float adjusted market
capitalization" is defined as a total number of liquid shares
publicly owned and available for trading, not including shares held
by insiders, restricted shares, or shares held by other stagnant
shareholders such as the government and employee stock ownership
programs. Market capitalization may be calculated, in one
embodiment, by multiplying a current share price of the security by
shares outstanding. According to one embodiment, float shares and
current share price data are available and may be obtained on one
or more electronic databases 110. At inception, the current share
price is the inception share price.
[0065] Accordingly, the current FAMC for each of the selected
eligible securities is obtained by, for example, the calculation
shown in equation 1.
Float Adjusted Market Capitalization(FAMC)=Float
Shares.times.Current Share price. (1)
[0066] Subsequently, as shown in step 310, a computer implemented
operation determines an FAMC percentage for each of the selected
eligible securities, by dividing the current FAMC for the
respective eligible security by a total of the FAMC's of the
selected eligible securities in the respective sector of the
respective selected eligible security.
FAMC %=FAMC=Aggregate Sum of FAMCs of selected eligible securities
in the Sector. (2)
[0067] In step 315, a respective current share price for each of
the selected eligible securities is obtained. According to one
embodiment, the share price is obtained from a third party via an
electronic network connection.
[0068] In step 320, the system determines a current FAMC factor for
each of the selected eligible securities, by dividing an initial
sector value for a period by a value obtained by multiplying the
FAMC percentage for the respective eligible security by the current
share price for the respective eligible security. According to one
embodiment, the initial sector value for the period is the same for
all of the sectors in the index and is equal to a sum of weighted
share prices of the selected eligible securities of the respective
sector at a given initial point in time. The FAMC factor is
calculated as follows:
FAMC factor=Initial Sector Value/(FAMC %.times.Current Share
price). (3)
[0069] Note that the FAMC factor calculation will change for
selected eligible securities in a given sector if a corporate
action or event has occurred that required a replacement of one of
the original selected eligible securities selected for an index
inception or selected for a re-equalization for the index. For this
calculation, a current sector value for the given sector will be
used instead of the initial sector value, and may be calculated, in
one embodiment at a time before the corporate action.
[0070] Outstanding shares are monitored to ensure an accurate
balance of the equities within each sector. Changes in the
outstanding number of shares affects the current FAMC factor of a
security. Generally, the number of shares of securities associated
with mergers and acquisitions, stock splits and spin-offs are
updated on the effective date of the transaction. According to one
embodiment, the current FAMC factor for securities associated with
secondary offerings, buy-backs, stock dividends, special dividends
and other updates is updated periodically, e.g., weekly, monthly,
etc.
[0071] In step 325, a computer implemented operation calculates the
respective current weighted selected eligible security value for
each of the respective eligible securities by applying the current
FAMC factor for the respective eligible security to the current
share price for the respective eligible security. According to one
embodiment, the current FAMC factor is multiplied by the current
share price to obtain the current weight of the selected eligible
security.
[0072] Next, as shown in step 330, a computer implemented operation
calculates an index value by summing current weighted selected
eligible securities.
[0073] According to one embodiment, in step 335, an amount for the
index value may be posted to a webpage maintained on a server. Note
that the amount may, but need not be a monetary amount, but rather
may be a relative value that has significance as it relates to
itself. In another embodiment, the index value is transmitted or
otherwise outputted via an electronic signal for further electronic
dissemination. The eligible securities that make up each sector may
also be made available as well as the sector values. Access to the
website may be restricted or the information published on the
website may be publicly available.
[0074] Also, a sector value may be calculated and disseminated. A
sector value for a respective sector is equal to the sum of the
weighted eligible securities of the respective sector. As noted,
the weighting is accomplished by multiplying the respective FAMC
for the respective selected eligible security in the respective
sector by a current share price for the respective eligible
security. At inception of the index for a given period, the sector
values of the different sectors are set to be equal. In one
embodiment, an initial sector value is 1000. Accordingly, for ten
sectors the inception value or base value for a period of the index
is 10,000. At the end of the period, e.g., a year, for example, the
sector values are reset to be equal. In one embodiment, the re-set
initial sector value is equal to the most recent index value
divided by the number of sectors.
[0075] According to one embodiment, the system may also determine a
relative sector value for each respective sector reflecting or
derived from a current sector value for the respective sector
relative to an overall value of the index, or relative to its
initial value for that period. This relative sector value may be
outputted electronically. The current sector value is calculated by
aggregating the current value of the 100 securities associated with
the 100 companies within a sector. The current value of the index
is calculated by adding the 10 sectors together.
[0076] As noted, the system is configured to periodically obtain or
calculate by computer the FAMC factor for each eligible security in
order to recalculate the value of the index. Accordingly, the
system can account for a case where a corporate action has taken
place which causes a number of shares for the respective selected
eligible security to change, thereby causing a change in the FAMC.
Examples of corporate actions include, but are not limited to
mergers, stock splits, stock dividends, company additions or
deletions to a sector, share buybacks, IPOs and spin-offs.
[0077] Additionally, information about a corporate action (e.g.,
merger of two companies in the sector, or the share price of the
selected eligible security falling below one U.S. dollar) may cause
a requirement to replace one of the selected eligible
securities.
[0078] Referring to FIG. 4, an embodiment is disclosed for
calculating the index when one of the selected eligible securities
in the index must be replaced. In step 400, information is obtained
about a corporate action in relation to one or more of the selected
eligible securities that indicates that an additional eligible
security must be selected in a given sector to replace one of the
selected eligible securities. Note that this information may be
received over the network 205, or by mail, or by FAX, or by
telephone, to name a few.
[0079] Specifically, the information about a corporate event may
indicate a merger of two of the selected eligible securities to
form a single entity, or that one of the selected eligible
securities has a share price that has fallen below a threshold
value, e.g., $1 dollar.
[0080] In step 405, an additional eligible security is selected or
obtained for the given sector. This selection may be based at least
in part on the ranking of the securities in the respective
sector.
[0081] In block 410, a new sector value for the given sector is
calculated/obtained based, in one embodiment, on a calculation
comprising a summing of the weighted selected eligible securities
in the given sector before the corporate action.
[0082] In step 415, the system determines a current FAMC factor for
each of the selected eligible securities. The system determines a
current FAMC factor for each of the selected eligible securities
including the additional eligible security in the given sector, by
dividing the new sector value by a value obtained by multiplying
the FAMC percentage for the respective eligible security by the
current share price for the respective eligible security. The FAMC
percentage is calculated as set forth above.
[0083] Note that the initial sector value for the period will be
used in determining the FAMC factor for the selected eligible
securities in sectors where there has been no change in the make-up
of the securities in the sector. Accordingly, in step 415, a
computer-implemented operation is disclosed of determining, by the
one or more computers, a respective current FAMC factor for each of
a plurality of the respective selected eligible securities in
sectors other than a given sector where a selected eligible
security was replaced for the sector. In one embodiment, this FAMC
factor may be calculated by dividing an initial sector value for
the period by a value obtained by multiplying the FAMC percentage
for the respective selected eligible security by a current share
price for the respective selected eligible security, wherein the
initial sector value for the period is the same for all of the
sectors in the index except currently for the given sector and is
equal to a sum of weighted share prices of the selected eligible
securities of the respective sector at a given initial point in
time.
[0084] In block 420 a computer implemented operation is disclosed
of calculating the current weighted selected eligible security, for
each of the respective eligible securities, by applying the current
FAMC factor for the respective eligible security to the current
share price for the respective eligible security. According to one
embodiment, the current FAMC factor is multiplied by the current
stock price to obtain the current weight of the selected eligible
security.
[0085] In step 425, a computer-implemented operation is disclosed
of calculating an amount for the index value based on the weighted
selected eligible securities, for example, by summing the weighted
selected eligible securities in the index. In one embodiment, this
may be accomplished by first calculating the sector value for each
of the sectors and then summing the sector values to obtain the
index value.
[0086] According to another embodiment, and as shown in FIGS. 6-7,
the system administers an exchange traded fund (ETF). In step 600,
the system obtains a set of sectors for shares in an index and
obtains a group of selected eligible securities for each of the
sectors in the set of sectors.
[0087] In step 605, the system obtains a current FAMC for each of a
plurality of selected eligible securities.
[0088] In step 610, the computer-implemented operation is disclosed
of calculating an FAMC percentage for each of the plurality of the
selected eligible securities by dividing the current FAMC for the
respective eligible security by a total of the FAMC's of the
selected eligible securities in a respective sector of the
respective selected eligible security.
[0089] In step 615, the system obtains a respective current share
price for each of the selected eligible securities, for example,
via an electronic network connection, and determines a respective
FAMC factor for each of the eligible securities selected. The FAMC
factor is based in part on the float adjusted market cap (FAMC) of
the respective eligible security and the share price for the
respective selected eligible security as discussed previously so
that, for the sector assigned to the respective eligible security,
a calculation of an aggregation of the FAMC factor for the selected
eligible securities in that sector is substantially equal to an
aggregation of the FAMC factor for the selected eligible securities
in any of the other of the sectors at a point in time, which
aggregation is equal to an initial sector value for the period.
[0090] In step 620, a respective current weighted selected eligible
security, for each of the respective eligible securities, is
calculated by applying the current FAMC factor for the respective
selected eligible security to the current share price for the
respective selected eligible security.
[0091] In step 625, the system obtains the current index value
comprising an intra day indicative value (IIV) by summing current
weighted selected eligible securities of the index.
[0092] In step 630, the IIV may be disseminated electronically.
[0093] In step 635, the system obtains securities for the ETF to
become a part of the portfolio of securities.
[0094] In step 640, a creation event is performed which comprises
receiving an asset in relation to a creation event associated with
a respective authorized participant (AP) and issuing one or more
ETF shares directly or indirectly to the respective one AP based on
the asset received.
[0095] In step 645, a redemption event is performed in step 645
which comprises receiving one or more shares of the ETF for the
same or for another of the AP's, identifying securities for the
redemption event and transferring or sending an electronic message
to transfer the identified securities directly or indirectly to the
respective AP or an agent thereof.
[0096] Note that transactions involving the transfer of securities
between various entities such as an ETF and an authorized
participant, in one embodiment may be performed electronically via
suitable messaging formats and systems well known to those of skill
in the art. For example, the DTC (Depository Trust Company)
provides a participant terminal system for transferring securities
using electronic messaging. Thus, an electronic transfer of
securities may be performed by sending an electronic message to the
DTC. The DTC then performs a book entry movement by executing an
accounting entry to move securities from one account to another
account. Accordingly, a transfer of shares to an authorized
participant (AP) in a creation event may be accomplished by sending
an electronic message to the DTC with instructions to transfer the
shares to the AP. Likewise, in a redemption event, securities may
be transferred to the AP or his/her agent by sending an electronic
message to the DTC with instructions to transfer the desired
securities to the AP or his/her agent.
[0097] According to an alternative embodiment, FIGS. 8 and 9
illustrate a method for determining and sending or posting an
electronic value for an index.
[0098] In step 800, the system obtains a set of sectors for shares
in the index and obtains a group of selected eligible securities
for each of the sectors in the set of sectors including an
additional selected eligible security that replaces one of the
selected eligible securities in a given sector.
[0099] In step 805, the system obtains a current float adjusted
market capitalization (FAMC) for each of a plurality of selected
eligible securities including the additional selected eligible
security in the given sector.
[0100] In step 810, a computer implemented operation determines an
FAMC percentage for each of the plurality of the selected eligible
securities, by dividing the current FAMC for the respective
eligible security by a total of the FAMC's of the selected eligible
securities in a respective sector of the respective selected
eligible security.
[0101] In step 815 a computer implemented operation determines a
respective current FAMC factor for each of a plurality of the
respective selected eligible securities in sectors other than the
given sector where one of the selected eligible securities had been
replaced for the sector, by dividing an initial sector value for
the period by a value obtained by multiplying the FAMC percentage
for the respective selected eligible security by a current share
price for the respective selected eligible security, wherein the
initial sector value for the period was the same for all of the
sectors in the index at an initial point in time.
[0102] In step 820, a computer implemented operation calculates a
new sector value for the given sector based on calculation of an
aggregation of weighted selected eligible securities in the given
sector before the selected eligible security was replaced with the
additional selected eligible security.
[0103] In step 825, a computer implemented operation determines a
respective current FAMC factor for each of the respective selected
eligible securities in the given sector, by dividing the new sector
value by a value obtained by multiplying the FAMC percentage for
the respective selected eligible security in the given sector by a
current share price for the respective selected eligible
security.
[0104] In step 830, a computer implemented operation calculates a
respective current weighted selected eligible security, for each of
the respective selected eligible securities, by applying the
current FAMC factor for the respective eligible security to the
current share price for the respective eligible security.
[0105] In step 835, a computer implemented operation calculates a
current index value by obtaining an aggregation of current weighted
selected eligible securities.
[0106] In step 840, a computer implemented operation posts or
outputs an electronic signal comprising the current index value for
further electronic dissemination.
[0107] As noted above, embodiments of the present invention may be
practiced in a networked environment using logical connections to
one or more remote computers having processors. Logical connections
may include a local area network (LAN) and a wide area network
(WAN) that are presented here by way of example and not limitation.
Such networked environments are in office-wide or enterprise-wide
computer networks, intranets and the Internet, and may use a wide
variety of different communication protocols. Those skilled in the
art will appreciate that such network computing environments will
typically encompass many types of computer system configurations,
including personal computers, hand-held devices, multi-processor
systems, microprocessor-based or programmable consumer electronics,
network PCs, minicomputers, mainframe computers, and the like.
Embodiments of the invention may also be practiced in distributed
computing environments where tasks are performed by local and
remote processing devices that are linked (either by hardwired
links, wireless links, or by a combination of hardwired or wireless
links) through a communications network. In a distributed computing
environment, program modules may be located in both local and
remote memory storage devices.
[0108] Embodiments of the invention have been described in the
general context of method steps which may be implemented in one
embodiment by a program product including machine-executable
instructions, such as program code, for example in the form of
program modules executed by machines in networked environments.
Generally, program modules include routines, programs, objects,
components, data structures, etc. that perform particular tasks or
implement particular data types. Multi-threaded applications may be
used, for example, based on Java or C++. Machine-executable
instructions, associated data structures, and program modules
represent examples of program code for executing steps of the
methods disclosed herein. The particular sequence of such
executable instructions or associated data structures represent
examples of corresponding acts for implementing the functions
described in such steps.
[0109] It should be noted that although the flow charts provided
herein show a specific order of method steps, it is understood that
the order of these steps may differ from what is depicted. Also two
or more steps may be performed concurrently or with partial
concurrence. Such variation will depend on the software and
hardware systems chosen and on designer choice.
[0110] It is understood that all such variations are within the
scope of the invention. Likewise, software and web implementations
of the present invention may be accomplished with programming
techniques with rule based logic and other logic to accomplish the
various database searching steps, correlation steps, comparison
steps and decision steps. It should also be noted that the word
"component" as used herein and in the claims is intended to
encompass implementations using one or more lines of software code,
and/or hardware implementations. It should also be noted that the
word "plurality" means more than one, and does not refer back to
any earlier use of the term, unless preceded by the word "the."
[0111] While this invention has been described in conjunction with
the exemplary embodiments outlined above, it is evident that many
alternatives, modifications and variations will be apparent to
those skilled in the art. Accordingly, the exemplary embodiments of
the invention, as set forth above, are intended to be illustrative,
not limiting. Various changes may be made without departing from
the spirit and scope of the invention.
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