https://www.google.com/patents/CA2408188A1?cl=en&dq=Fundamental+Index+Investment+Methodology&hl=pt-PT&sa=X&ei=0wUJU4a1OtHo7Aa67YDYDQ&ved=0CDUQ6AEwAAEsta escrito em linguagem natural e tem uma aplicação pratica quando é executado, da ter sido patenteavel e, como se vê, pode ser facilmente furada... como se vê aqui.
1. A method for generating an index of investment returns comprising the steps of:
(a) selecting a representative set of assets, where said assets may be grouped into a plurality of classes;
(b) generating a rule to determine a position for each of said assets for time t;
(c) determining the position for each of said assets for said time t;
(d) determining a market price for each of said assets for said time t;
(e) computing a return for each of said assets for said time t, said return being a function of the position and the market price determined in steps (c) and (d);
(f) averaging the returns computed in step (e) for all the selected assets in each of said plurality of classes, the average for each of said classes is the return for that class;
and (g) computing the index as a function of the returns for each class.
2. The method of claim 1, where the step (g) of computing the index further comprises the steps of selecting weights such that each weight corresponds to one of said plurality of classes, and averaging the products of the return for each class multiplied by its corresponding weight.
3. A method for generating a series of investment returns with respect to time, the method comprising the steps of:
(a) selecting a plurality of assets from a plurality of asset classes;
(b) determining a position for each of said assets for a time t;
(c) determining a market price for each of said assets for said time t;
(d) computing an asset return for each of said assets for said time t, said asset return being a function of the position and the market price;
(e) averaging said asset returns computed in step (d) for said time t, for all of said assets in each of said asset classes, to determine a class return for each of said asset classes; and (f) computing an investment return for said time t, in the series of investment returns, as a second function of the class returns for each of said asset classes for said time t.
4. The method of claim 3, wherein the step of computing the investment return further comprises the steps of selecting weights such that each weight corresponds to one of said asset classes, and averaging the products of the class return for each asset class multiplied by the corresponding weight.
5. The method of claim 3, further comprising selecting at least one asset from each of two commercial markets.
6. The method of claim 3, wherein said plurality of asset classes comprises at least one from the group of: commodities, currencies, and bonds.
7. The method of claim 3, further comprising determining said position based on whether the market price for each of said assets increased or decreased since a predefined time preceding said time t.
8. The method of claim 3, further comprising determining said position based on a moving average of the asset returns for each of said assets for a predetermined past time period.
9. The method of claim 3, further comprising the steps of (a) determining a continuous series of returns for each of said assets, wherein a return is determined using a futures contract for each of said assets for each of a plurality of holding periods;
(b) determining an average of returns of the asset based on the continuous series over a predetermined number of past holding periods; and (c) determining said position as a function of the return for a current holding period according to said continuous series and said average of returns.
10. The method of claim 9, further comprising the steps of setting the position to long when the return for the current holding period according to said continuous series is greater than the average of returns, and otherwise setting the position to short.
11. The method of claim 3, further comprising the steps of determining one or more futures contracts for each of said assets, for said time t, and determining the market price for each of said assets for said time t in accordance with the futures contract for said time t.
12. The method of claim 3, wherein said step of computing the asset return for each of said assets further comprises the step of setting the asset return equal to the product of the market price at said time t divided by the market price at a preceding time t-1 multiplied by the position for said time t.
13. The method of claim 3, further comprising the steps of determining the investment return for time t as the average of the class returns for time t, and determining an index for time t as the product of the index for a preceding time t-1 multiplied by the sum of one plus the investment return for time t.
14. A method for generating a series of investment returns with respect to time, the method comprising the steps of:
(a) selecting a plurality of assets from a plurality of asset classes wherein said plurality of asset classes includes at least one from the group of commodities, currencies, and bonds;
(b) determining a market price for each of said assets for said time t;
(c) determining a trend in asset value for each of said assets over a predefined past period;
(d) computing an asset return for each of said assets for said time t in accordance with a function of the market price and the trend;
(e) computing a class return for each of said plurality of asset classes for said time t based on an average of said asset returns; and (f) computing an investment return for said time t in the series of investment returns, as a second function of the class returns for each of said asset classes.
15. The method of claim 14, wherein the step of computing the investment return further comprises the steps of selecting weights such that each weight corresponds to one of said plurality of asset classes, and averaging the products of the class return for each asset class multiplied by the corresponding weight.
16. A method for generating a series of investment returns for a plurality of asset classes, each class having at least one asset member, the method comprising the steps of:
(a) determining a plurality of holding periods;
(b) determining a futures contact for each asset member, each futures contract having a market price for each of said holding periods;
(c) calculating a continuous future series of returns for each asset member based on the futures contract and the market price for said asset member for each of said holding periods;
(d) determining a position for each said asset member for each of said holding periods based on said continuous future series for the preceding holding periods;
(e) calculating an asset return for each said asset member based on the market price and the position;
(f) calculating a class return for each asset class based on the market returns for each asset member in said class; and (g) calculating an investment return for said holding period in the series of investment returns, based on the class returns.
17. The method of claim 16, wherein said plurality of asset classes comprises at least one from the group of: commodities, currencies, and bonds.
18. A method for generating a series of investment returns for a plurality of asset classes, each class having at least one asset member, the method comprising the steps of:
(a) receiving a holding period for each said asset member;
(b) determining a futures contact for each asset member, each said futures contract having a market price for each said holding period;
(c) determining a position for each said asset member based on the futures contract, the market price and the holding period;
(d) determining an asset return for each said asset member as a function of the position;
(e) determining a class return for each asset class as an average of the asset return for each said asset member;
(f) determining a weight corresponding to each said asset class;
(g) determining a weighted return for each said asset class as a product of the class return for each said asset class and the corresponding weight; and (h) determining an investment return for said holding period as a sum of the weighted return for each said asset class.
19. The method of claim 18, wherein said plurality of asset classes comprises at least one from the group of: commodities, currencies, and bonds.
20. A method for generating an index of investment returns comprising the steps of:
(a) selecting a representative set of asset members from a plurality of asset classes, wherein said plurality of asset classes includes at least one from the group of commodities, currencies, and bonds ;
(b) receiving market data relating to each of said selected asset members;
(c) computing a return for each of said asset classes based on said market data;
(d) generating a weight for each of said asset classes; and (e) computing the index as a function of the products of the return for each of said asset classes and the corresponding weight.
21. The method of claim 20, wherein the step of generating said weight further comprises the step of setting the weight as a function of the percentage of asset members in each of said asset classes.
22. A system for generating an index of investment returns, comprising a processor; and a memory storing processing instructions for controlling the processor, the processor operative with the processing instructions for:
(a) selecting a plurality of assets from a plurality of asset classes;
(b) determining a position for each of said assets for a time t;
(c) determining a market price for each of said assets for said time t;
(d) computing an asset return for each of said assets for said time t, said asset return being a function of the position and the market price;
(e) averaging said asset returns computed in step (d) for said time t, for all of said assets in each of said asset classes, to determine a class return for each of said asset classes; and (f) computing an investment return for said time t, in the series of investment returns, as a second function of the class returns for each of said asset classes for said time t.
23. The system of claim 22, wherein the step of computing the investment return further comprises the steps of selecting weights such that each weight corresponds to one of said asset classes, and averaging the products of the class return for each asset class multiplied by the corresponding weight.
24. A system for generating an index of investment returns, comprising a processor; and a memory storing processing instructions for controlling the processor, the processor operative with the processing instructions for:
(a) selecting a plurality of assets from a plurality of asset classes wherein said plurality of asset classes includes at least one from the group of commodities, currencies, and bonds;
(b) determining a market price for each of said assets for said time t;
(c) determining a trend in asset value for each of said assets over a predefined past period;
(d) computing an asset return for each of said assets for said time t in accordance with a function of the market price and the trend;
(e) computing a class return for each of said plurality of asset classes for said time t based on an average of said asset returns; and (f) computing an investment return for said time t in the series of investment returns, as a second function of the class returns for each of said asset classes.
25. A system for generating an index of investment returns, comprising a processor; and a memory storing processing instructions for controlling the processor, the processor operative with the processing instructions for:
(a) determining a plurality of holding periods;
(b) determining a futures contact for each asset member, each futures contract having a market price for each of said holding periods;
(c) calculating a continuous future series of returns for each asset member based on the futures contract and the market price for said asset member for each of said holding periods;
(d) determining a position for each said asset member for each of said holding periods based on said continuous future series for the preceding holding periods;
(e) calculating an asset return for each said asset member based on the market price and the position;
(f) calculating a class return for each asset class based on the market returns for each asset member in said class; and (g) calculating an investment return for said holding period in the series of investment returns, based on the class returns.
26. A system for generating an index of investment returns, comprising a processor; and a memory storing processing instructions for controlling the processor, the processor operative with the processing instructions for:
(a) receiving a holding period for each said asset member;
(b) determining a futures contact fox each asset member, each said futures contract having a market price for each said holding period;
(c) determining a position for each said asset member based on the futures contract, the market price and the holding period;
(d) determining an asset return for each said asset member as a function of the position;
(e) determining a class return for each asset class as an average of the asset return for each said asset member;
(f) determining a weight corresponding to each said asset class;
(g) determining a weighted return for each said asset class as a product of the class return for each said asset class and the corresponding weight; and (h) determining an investment return for said holding period as a sum of the weighted return for each said asset class.
27. A system for generating an index of investment returns, comprising a processor; and a memory storing processing instructions for controlling the processor, the processor operative with the processing instructions for:
(a) selecting a representative set of asset members from a plurality of asset classes, wherein said plurality of asset classes includes at least one from the group of commodities, currencies, and bonds ;
(b) receiving market data relating to each of said selected asset members;
(c) computing a return for each of said asset classes based on said market data;
(d) generating a weight for each of said asset classes; and (e) computing the index as a function of the products of the return for each of said asset classes and the corresponding weight.
28. A computer-readable medium encoded with processing instructions for implementing a method for generating an index of investment returns, the method comprising:
(a) selecting a plurality of assets from a plurality of asset classes;
(b) determining a position for each of said assets for a time t;
(c) determining a market price for each of said assets for said time t;
(d) computing an asset return for each of said assets for said time t, said asset return being a function of the position and the market price;
(e) averaging said asset returns computed in step (d) for said time t, for all of said assets in each of said asset classes, to determine a class return for each of said asset classes; and (f) computing an investment return for said time t, in the series of investment returns, as a second function of the class returns for each of said asset classes for said time t.
29. The computer-readable medium of claim 28; wherein said step of computing the investment return further comprises the steps of selecting weights such that each weight corresponds to one of said asset classes, and averaging the products of the return for each asset class multiplied by its corresponding weight.
30. A computer-readable medium encoded with processing instructions for implementing a method for generating an index of investment returns, the method comprising:
(a) selecting a plurality of assets from a plurality of asset classes wherein said plurality of asset classes includes at least one from the group of commodities, currencies, and bonds;
(b) determining a market price for each of said assets for said time t;
(c) determining a trend in asset value for each of said assets over a predefined past period;
(d) computing an asset return for each of said assets for said time t in accordance with a function of the market price and the trend;
(e) computing a class return for each of said plurality of asset classes for said time t based on an average of said asset returns; and (f) computing an investment return for said time t in the series of investment returns, as a second function of the class returns for each of said asset classes.
31. A computer-readable medium encoded with processing instructions for implementing a method for generating an index of investment returns, the method comprising:
(a) determining a plurality of holding periods;
(b) determining a futures contact for each asset member, each futures contract having a market price for each of said holding periods;
(c) calculating a continuous future series of returns for each asset member based on the futures contract and the market price for said asset member for each of said holding periods;
(d) determining a position for each said asset member for each of said holding periods based on said continuous future series for the preceding holding periods;
(e) calculating an asset return for each said asset member based on the market price and the position;
(f) calculating a class return for each asset class based on the market returns for each asset member in said class; and (g) calculating an investment return for said holding period in the series of investment returns, based on the class returns.
32. A computer-readable medium encoded with processing instructions for implementing a method for generating an index of investment returns, the method comprising:
(a) receiving a holding period for each said asset member;
(b) determining a futures contact for each asset member, each said futures contract having a market price for each said holding period;
(c) determining a position for each said asset member based on the futures contract, the market price and the holding period;
(d) determining an asset return for each said asset member as a function of the position;
(e) determining a class return for each asset class as an average of the asset return for each said asset member;
(f) determining a weight corresponding to each said asset class;
(g) determining a weighted return for each said asset class as a product of the class return for each said asset class and the corresponding weight; and (h) determining an investment return for said holding period as a sum of the weighted return for each said asset class.
33. A computer-readable medium encoded with processing instructions for implementing a method for generating an index of investment returns, the method comprising:
(a) selecting a representative set of asset members from a plurality of asset classes, wherein said plurality of asset classes includes at least one from the group of commodities, currencies, and bonds;
(b) receiving market data relating to each of said selected asset members;
(c) computing a return for each of said asset classes based on said market data;
(d) generating a weight for each of said asset classes; and (e) computing the index as a function of the products of the return for each of said asset classes and the corresponding weight.
