COMPUTER SYSTEMS AND METHODS FOR BALANCING INDEXES

摘要

An index rebalancing computer system is provided that automatically rebalances an index and the component weights of one or more securities in the index. The system tracks and stores a value that represents an amount of cash generated by securities in the index over a predetermined time period. The index is rebalanced by at least adjusting a weight or a value of a second security included in the group of securities based on the value that indicates the amount of cash generated by securities in the index. An updated index value is calculated for the index based on the group of securities that includes the second security with the adjusted weight. Index component data is transmitted to subscribing entities.

主权项

1. A index rebalancing computer system for a group of securities represented by an index, the index rebalancing computer system comprising:
a transceiver configured to send and receive electronic communication signals from or to one or more remote computers; a memory device configured to store:
a listing of a group of securities used to generate the index; andan indication of an amount of cash generated by at least a first security from among the group of securities over a certain time period; and a processing system that includes at least one processing circuit coupled to the memory and the transceiver, the processing system configured:
in response to an index rebalance request signal, rebalance the index towards a target index by at least adjusting a weight of a second security associated with in the group of securities as a function of the stored indication of the amount of cash generated by at least the first security over the certain time period;calculate an index value for the index based on the group of securities that includes the second security with the adjusted weight; andtransmit index component data, via the transceiver, to the one or more remote computers in accordance with the rebalanced index.