Method of selecting securities for a portfolio
Robert Carey, Greg McIntyre
US Patent 7,206,760, 2007
Abstract
A method is provided for selecting a portfolio of securities for investment purposes. Specifically, the method utilizes three types of securities-related data: price appreciation, return-on-assets ratio, and price-to-cashflow ratio. A group of securities is ranked by price appreciation, return-on-assets ratio, and price-to-cashflow ratio; a number of the securities having the highest average rank are selected for investment.
Claims (20)
1. A computer-implemented method for selecting securities from a group of available securities for an investment portfolio, comprising:
said computer performing the steps of calculating price appreciation for each of said available securities;
calculating a return on assets ratio for each of said available securities;
calculating a price to cashflow ratio for each of said available securities;
ranking at least some of the available securities to form a group of ranked securities, said ranking comprising ranking according to said price appreciation to assign each of said available securities one or more separate price appreciation ranks, ranking according to said return on assets ratio to assign each of said available securities a separate return on assets ratio rank, ranking according to said price to cashflow ratio to assign each of said available securities a separate price to cashflow rank, and determining for each of said available securities an average rank comprising the average of the one or more separate price appreciation ranks, separate return on assets ratio rank and separate price to cashflow ratio rank for said security; and
selecting at least some of the ranked securities to form a group of selected securities; wherein at least one of the steps of calculating, ranking, and selecting is carried out by a computer.
2. The method of claim 1 wherein said group of available securities comprises 100 stocks of the Nasdaq 100 index.
3. The method of claim 1 wherein said calculating price appreciation comprises calculating a first rate of price appreciation over a first predetermined time period and a second rate of price appreciation over a second predetermined time period different than said first predetermined time period, wherein said ranking the available securities according to said price appreciation comprises ranking the available securities according to said first rate so that each of said available securities is assigned a separate first rate rank and ranking the available securities according to said second rate so that each of said available securities is assigned a separate second rate rank, and wherein said determining comprises determining for each of said available securities an average rank comprising the average of the separate first rate rank, the separate second rate rank, the separate return on assets ratio rank and the separate price to cashflow ratio rank.
4. The method of claim 1 wherein said at least some of the available securities is ranked solely according to said price appreciation, said return on assets ratio and said price to cashflow ratio.
5. The method of claim 1 wherein said ranking further comprises ranking said at least some of the available securities according to capitalization of said available securities.
6. The method of claim 1 wherein said selecting comprises selecting a predetermined number of said ranked securities.
7. The method of claim 6 wherein said predetermined number is 15 or less.
8. The method of claim 1 wherein said calculating price appreciation comprises calculating a first rate of price appreciation over a first predetermined time period.
9. The method of claim 8 wherein said calculating a first rate comprises performing a regression analysis of the price history of each of the available securities over said first time period.
10. The method of claim 9 wherein said calculating price appreciation further comprises calculating a second rate of price appreciation over a second predetermined time period different from said first predetermined time period.
11. The method of claim 10 wherein said calculating a second rate comprises performing a regression analysis of the price history of each of the available securities over said second time period.
12. The method of claim 11 wherein said regression analysis comprises least squares regression analysis.
13. The method of claim 1 wherein said method further includes purchasing at least some of said group of selected securities to form a group of purchased securities.
14. The method of claim 13 wherein said purchased securities are weighted by market capitalization.
15. The method of claim 13 wherein said method further includes creating a unit investment trust comprising said purchased securities.
16. The method of claim 15 wherein said unit investment trust has a life of 13 months or more.
17. The method of claim 13 wherein said method further includes creating a pooled investment vehicle comprising said purchased securities.
18. The method of claim 13 wherein said method further includes creating a variable annuity comprising said purchased securities.
19. The method of claim 13 wherein said method further includes creating an investment account comprising said purchased securities.
20. A computer-readable medium bearing a computer program containing instruction steps such that
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