Valuation-tilted capitalization weighted investment methods and products

An investment vehicle comprised of:

• a plurality of assets with an allocation of funds associated therewith, wherein the allocation of funds to the assets in the investment vehicle is determined by:
• identifying the plurality of assets to be included in the investment vehicle;
• calculating a asset valuation for each of the plurality of assets;
• ranking the plurality of assets based on their respective asset valuations;
• based on the ranking, identifying a plurality of groupings of the plurality of assets;
• determining a group strategy weight for each of the plurality of groupings;
• and
• determining a composition of the investment vehicle based at least in part on the group strategy weights attributed to each of the groupings.

A method for determining a composition of an investment vehicle, the method comprising:

• selecting an index of assets;
• identifying a plurality of assets from the selected index to be included in an investment vehicle;
• calculating a valuation for each of the plurality of assets;
• creating a ranking of the plurality of assets based on the valuations for each of the plurality of assets;
• determining a preferred number of groupings based on a predetermined fraction of the total number of assets that comprise the plurality of assets;
• assigning each of the plurality of assets to one of a plurality of the groupings by calculating a target group capitalization wherein the target group capitalization is based at least in part on the number of preferred groupings and a total market capitalization for the plurality of assets, and iteratively:
• (i) adding a first asset to a first grouping and calculating a group capitalization for the first grouping;
• (ii) comparing the group capitalization to the target group capitalization;
• and
• (iii) adding a next asset from the ranking to the first grouping until the group capitalization is within a predetermined threshold of the target group capitalization;
• and
• (iv) initiating a second grouping using a next asset from the ranking;
• determining a group capitalization weight for each grouping, wherein the group capitalization weight for each grouping comprises the group capitalization for each respective grouping divided by the total market capitalization for the plurality of assets;
• determining a total valuation ratio comprised of the total valuation for the plurality of assets divided by a total market capitalization for the plurality of assets;
• determining a group valuation ratio for each grouping comprised of a group valuation divided by a group capitalization for the assets in each respective grouping;
• determining a group allocation factor for each grouping, the group allocation factor comprising the group valuation ratio divided by the total valuation ratio for each respective grouping;
• determining a group strategy weight for each grouping, wherein the group strategy weight comprises the group allocation factor multiplied by the group capitalization weight for each respective grouping;
• and
• determining a composition of the investment vehicle based at least in part on the group strategy weights attributed to each of the groupings.

An article of manufacture having computer-readable program portions embodied thereon for determining a composition of an investment vehicle, the article comprising computer-readable instructions for:

• identifying a plurality of assets to be included in an investment vehicle;
• calculating a asset valuation for each of the plurality of assets;
• ranking the plurality of assets based on their respective asset valuations;
• based on the ranking, identifying a plurality of groupings of the plurality of assets;
• determining a group strategy weight for each of the plurality of groupings;
• and
• determining a composition of the investment vehicle based at least in part on the group strategy weight attributed to each of the groupings.