Apparatuses, methods, and systems to design, develop, and implement book income indices
OwnerPhilip Galdiinventor
Life of this patent
Estimating the term…
Abstract
The disclosure details the implementation of apparatuses, methods, and systems of developing and constructing book income indices. The disclosure teaches methodologies for the performance measurement of a portfolio accounted for on an historical cost-based method. Book income indices measure the performance of a base-line asset class (the “market”). Unlike total return indices, however, they account for performance on an historical cost basis, and they take account of the timing of portfolio cash flows, gain/loss recognition constraints and tax considerations.
Claims149
A processor-implemented method to measure financial performance, comprising:
- tracking the movement of bond values, both on a current market and book yield basis for the holdings of a specified benchmark index, over time;
- tracking unrealized gains and losses of the specified benchmark index holdings;
- rebalancing the specified benchmark index based on selection criteria and constraints, portfolio exogenous cash flows, and constraints on realized capital gains and losses;
- and
- updating the specified benchmark index value based on rebalanced holdings and tracked movements in bond valuations.
A processor-implemented method to measure financial performance, comprising:
- tracking the movement of values on a book income basis for specified holdings over time, the specified holdings comprising an index;
- rebalancing the index to account for applicable cash flow in accordance with one or more performance measurement preferences;
- and
- updating one or more values of the index to reflect said rebalancing.
A program for measuring financial performance stored on a medium readable by a processor comprising:
- code to track the movement of values on a book income basis for specified holdings over time, the specified holdings comprising an index;
- code to rebalance the index to account for applicable cash flow in accordance with one or more performance measurement preferences;
- and
- code to update one or more values of the index to reflect said rebalancing.
An apparatus, comprising:
- a processor;
- a memory, communicatively connected to the processor;
- means for tracking the movement of values on a book income basis for specified holdings over time, the specified holdings comprising an index;
- means for rebalancing the index to account for applicable cash flow in accordance with one or more performance measurement preferences;
- and
- means for updating one or more values of the index to reflect said rebalancing.
A processor-implemented method to measure financial performance, comprising:
- tracking the movement of values on a book income basis for specified holdings over time, the specified holdings comprising an index;
- retaining one or more holdings in the index at the current market values of one or more corresponding securities from the point in time when such holdings are added to the index until removal of said holdings from the index;
- using the index as a benchmark to a portfolio of securities, wherein one or more index characteristics may be derived from one or more characteristics of the portfolio of securities;
- rebalancing the index to account for applicable cash flow in accordance with one or more performance measurement preferences, wherein said rebalancing further comprises removing one or more holdings from the index and integrating one or more additional holdings into the index reflecting one or more index cash flows;
- tracking a target index of holdings, wherein said rebalancing comprises rebalancing the index in an attempt to reflect characteristics of the target index at a point in time;
- modifying the rebalanced index to correspond to one or more constraints to the index;
- and
- updating the values of one or more of the additional holdings to reflect rebalancing the index and current market values of the specified holdings.
Dependencies are inferred from the claim text.