System And Method Of Forming An Index

摘要

The invention discloses a computer implemented method of forming an index that comprises of a set of variables that are formed by filtering a first set of variables on condition set to form a second set of variables, wherein a resource is proportionately allocated to each of the variables of the second set of variables in proportion to the weights assigned, and analyzing the performance of each of the variables in the second set of variables after an exit time interval and rebalancing the second set of variables, wherein the components of the second set of variables are rebalanced with the components of the first set of variables based on exit conditions.

主权项

1. A method of forming an index, comprising the steps of:
i. selecting a first set of variables, wherein the first set of variables is selected from a group of variables; ii. ranking the first set of variables on a ranking time period; iii. selecting a second set of variables based on a condition set, wherein the second set of variables form the variables of the index, wherein the second set of variables is selected from the first set of variables; iv. assigning weights to each of the variables of the second set of variables, wherein a resource is proportionately allocated to each of the variables of the second set of variables in proportion to the weights assigned; v. analyzing the performance of each of the variables in the second set of variables after an exit time interval, wherein indexed value of the variables in the second set of the variables is measured; and vi. repeating the steps from (ii) through (v) for a defined period of time, wherein the second set of variables is a dynamic set of variables forming the index.