US 8,301,538 B2Granted

System and method for selecting securities for an investment portfolio

AssigneeFirst Trust Portfolios L.P.

InventorsDavid McGarel, Robert Hensley, Chris Peterson, Dan Waldron

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Abstract

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.

Claims19

Dependent claims

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 identity, growth data, and value data of each stock in the initial selection of securities as of a selection date, wherein the initial selection of securities consists of one of domestic stocks and international stocks, and wherein the initial selection of securities is selected based at least in part on market capitalization;
(2) processing data in said database 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 including:
(i) assigning a growth rank to each stock for each growth factor;
(ii) assigning a value rank to each stock for each value factor;
(iii) summing up all growth ranks of each stock to generate a raw growth score for each stock;
(iv) ranking the stocks based on raw growth scores;
(v) summing up all value ranks of each stock to generate a raw value score for each stock;
and
(vi) ranking the stocks based on raw value scores;
(3) processing data in said database for determining a selection score for each stock including:
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 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 for eliminating a predetermined amount of the lowest ranking stocks;
(6) processing data in said database for dividing the remaining stocks into a plurality of sub-groups;
(7) processing data in said database 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;
and
(8) offering an exchange-traded fund to consumers based on the stock portfolio;
wherein at least one of steps (2)-(8) is performed by the computer system.

15 more elements

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 identity, growth data, and value data of each stock in the initial selection of securities as of a selection date, wherein the initial selection of securities consists of one of domestic stocks and international stocks, and wherein the initial selection of securities is selected based at least in part on market capitalization;
(2) processing data in said database 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 including:
(i) assigning a growth rank to each stock for each growth factor;
(ii) assigning a value rank to each stock for each value factor;
(iii) summing up all growth ranks of each stock to generate a raw growth score for each stock;
(iv) ranking the stocks based on raw growth scores;
(v) summing up all value ranks of each stock to generate a raw value score for each stock;
(vi) ranking the stocks based on raw value scores;
(3) processing data in said database for determining a selection score for each stock including:
setting the selection score of each stock equal to the better of its raw growth score rank and its raw value score rank;
(4) processing data in said database 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 for eliminating a predetermined amount of the lowest ranking stocks;
(6) processing data in said database for dividing the remaining stocks into a plurality of sub-groups;
(7) processing data in said database 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;
and
(8) offering an exchange-traded fund to consumers based on the stock portfolio;
wherein at least one of steps (2)-(8) is performed by the computer system.

14 more elements

A computing system for selecting and weighting securities for an actively managed exchange-traded fund, the computing system comprising a processor and a memory storing a set of instructions adapted to be executed by the processor, the set of instructions being arranged to:

(1) store information of an initial selection of securities in a database, wherein the information comprises identity, growth data, and value data of each stock in the initial selection of securities as of a selection date, wherein the initial selection of securities consists of one of domestic stocks and international stocks, and wherein the initial selection of securities is selected based at least in part on market capitalization;
(2) score 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, and arranged to:
(i) assign a growth rank to each stock for each growth factor;
(ii) assign a value rank to each stock for each value factor;
(iii) sum up all growth ranks of each stock to generate a raw growth score for each stock;
(iv) rank the stocks based on raw growth scores;
(v) sum up all value ranks of each stock to generate a raw value score for each stock;
(vi) rank the stocks based on raw value scores;
(3) determine a selection score for each stock and arranged to:
set 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) rank the stocks in the initial selection of securities based at least in part on selection scores;
(5) eliminate a predetermined amount of the lowest ranking stocks;
(6) divide the remaining stocks into a plurality of sub-groups;
and
(7) generate a stock portfolio by weighting the remaining stocks according to the subgroups they are in, wherein each stock is equally weighted within its sub-group.

12 more elements

Dependencies are inferred from the claim text.

Facts

Application: 13/072,928Filed 28 Mar 2011 · continuation
Priority: 11 Jan 2008
Published: US 2011/0264603 A127 Oct 2011
Granted: 30 Oct 2012
Term ends: Not estimatedThe source records don’t support an estimate.

Classification4 codes

G06Q 40/06
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: asset management; Financial planning or analysis
G06Q 40/00
Finance
G06Q 40/04
Finance; Insurance; Tax strategies; Processing of corporate or income taxes: trading; Exchange, e.g. stocks, commodities, derivatives or currency…
G06Q
Information and communication technology [ict] specially adapted for administrative, commercial, financial, managerial

Family

Application61/020,667Us provisional application · filed 11 Jan 2008
Application12/352,403Parent of this continuation · filed 12 Jan 2009
US 2011/0264603 A1Pre-grant publication · published 27 Oct 2011
US 7,949,591 B2Parent of this continuation
US 2009/0198631 A1Published application
US 8,301,538 B2This patent

From the US filing history. Foreign family members aren’t listed.