METHOD AND SYSTEM FOR SELECTING SECURITIES FOR AN INVESTMENT PORTFOLIO

摘要

Methods and systems for selecting and weighting securities for an actively managed exchange-traded fund. An initial selection of stocks includes domestic or international stocks, which are selected based at least in part on market capitalization. Each stock is scored using a plurality of growth and value factors to generate one or more growth scores and one or more value scores. A selection score is determined for each stock, and the stocks are ranked according to selection scores. A predetermined amount of stocks are eliminated from the stock portfolio based on selection score ranking, and the remaining stocks are split into a plurality of sub-groups. A stock portfolio is generated by weighting the remaining stocks according to the sub-groups they are in, with each stock being equally weighted within its sub-group. An exchange-traded fund is offered to consumers based on the stock portfolio.

主权项

1. A method for selecting and weighting securities for an actively managed exchange-traded fund using a computer system, comprising the steps of:
(1) inputting information of an initial selection of securities into a database, wherein the information comprises and value data of each stock in the initial selection, and wherein the initial selection of securities is selected based at least in part on market capitalization; (2) processing data in said database via the computer system for scoring each of the stocks in said database using a plurality of growth and value factors to generate one or more growth scores and one or more value scores for each stock, wherein said processing data in said database for scoring each of the stocks comprises: assigning a growth rank to each stock for each growth factor; assigning a value rank to each stock for each value factor; summing up all growth ranks of each stock to generate a raw growth score for each stock; ranking the stocks based on raw growth scores; summing up all value ranks of each stock to generate a raw value score for each stock; and ranking the stocks based on raw value scores; (3) processing data in said database via the computer system for determining a selection score for each stock, wherein said processing data in said database for determining a selection score for each stock comprises:setting the selection score of each stock equal to the better of a final growth score and a final value score, wherein the final growth scores are based on the raw growth score ranks and a quantitative style overlay, and wherein the final value scores are based on the raw value score ranks and the quantitative style overlay;
(4) processing data in said database via the computer system for ranking the stocks in the initial selection of securities based at least in part on the selection scores; (5) processing data in said database via the computer system for eliminating a predetermined amount of the lowest ranking stocks; (6) processing data in said database via the computer system for dividing the remaining stocks into a plurality of sub-groups; and (7) processing data in said database via the computer system for generating a stock portfolio by weighting the remaining stocks according to the sub-groups they are in, wherein each stock is equally weighted within its sub-group.