IP Library Granted Patent US 8,694,406
Granted Patent B2
US 8,694,406 · App. 13/428,881 · Granted Apr 8, 2014

Strategy market barometer

Inventors: C. Thomas Howard (Littleton, CO); Andrew Howard (Castle Rock, CO)
Assignee: AthenaInvest, Inc.
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Quick Facts
Patent No.
US 8,694,406
App. No.
13/428,881
Granted
Apr 8, 2014
Kind
B2
Abstract

The present invention is directed to an alternative method for gauging market participant behavior, which is identified herein as “Market Barometer.” In one embodiment, Market Barometer is based on the recent performance ranks of particular equity strategy indices as compared to their historical ranks. Significant deviations from historical ranks is a predictor of market performance over subsequent near term time periods, for example, a subsequent month and, in turn, these deviations can be used to estimate the current market expected return. Empirical tests reveal that expected market returns vary over time in line with Market Barometer readings.

Claims (44)

1. A method for forecasting future performance of an equity market, comprising:

a. Identifying a plurality of primary strategies pursued by investment managers in analyzing equities;

b. Assigning at least a primary strategy to individual equities;

c. Calculating, with a processor, a short term average performance for all equities/funds having the same primary strategy;

d. Obtaining a long term average performance for all equities/funds having a primary strategy;

e. Ranking the individual short term performance for each strategy using a processor;

f. Calculating, by a processor, the difference between ranks determined in the prior step with the long term performance ranks for each strategy for a trailing period;

g. Summing, by a processor, the absolute differences from the prior step; and

h. Scaling, the sum from the prior step, by a processor, to create a predictor for the equity market.

2. The method of claim 1 , wherein the short term average performance is a monthly average.

3. The method of claim 1 , wherein performance is selected from the group comprising return or fund flow.

4. The method of claim 1 , the short term performance ranking is from largest to smallest or from smallest to largest.

5. The method of claim 1 , wherein the equity market is a U.S. equity market.

6. The method of claim 1 , wherein the primary strategies comprise competitive position, economic conditions, future growth, market conditions, opportunity, profitability, quantitative, risk, social considerations and valuation.

7. A method of forecasting future performance of an asset class where investment managers attempt to outperform one or more known publicly available benchmarks for the asset class, comprising:

a. Identifying a plurality of primary strategies pursued by investment managers in analyzing assets within an asset class;

b. Assigning at least a primary strategy to individual assets within an asset class;

c. Calculating, with a processor, a short term average performance of each asset within a primary strategy;

d. Obtaining a long term average performance of each asset within a primary strategy;

e. Ranking the individual performance for each primary strategy using a processor;

f. Calculating, by a processor, the difference between ranks determined in the prior step with the long term performance ranks for each strategy;

g. Summing, by a processor, the absolute differences from the prior step; and

h. Calculating, by a processor, a new scale for the sUM calculated in the prior step to create a predictor for the asset class.

8. The method of claim 7 , wherein the short term average is a monthly average.

9. The method of claim 7 , wherein performance is selected from the group comprising return or fund flow.

10. The method of claim 7 , wherein the asset class comprises real estate, precious metals, gem stones, mutual funds, Separately Managed Accounts, separate accounts, hedge funds, company stocks, bonds, venture capital, commodity funds, private equity, energy funds, precious metals, international stocks, and international bonds.

11. A method for forecasting future performance of an equity market using data from a preexisting strategy based system that categorizes managers as pursuing a strategy and assigns a strategy to individual equities based upon the managers who buy, sell and/or hold those individual equities, comprising:

a. Calculating, with a processor, a short term average performance for all equities/funds having the same primary strategy;

b. Ranking the individual short term performance for each strategy using a processor;

c. Obtaining a long term average performance for each strategy;

d. Calculating, by a processor, the differences between ranks determined in the prior step with the long term performance ranks for each strategy;

e. Summing, by a processor, the absolute differences from the prior step; and

f. Scaling the sum from the prior step, by a processor, to create a predictor for the equity market.

12. The method of claim 11 , wherein the short term average is a monthly average.

13. The method of claim 11 , wherein performance is selected from the group comprising return or fund flow.

14. The method of claim 11 , wherein the short term performance ranking is from largest to smallest or from smallest to largest.

15. The method of claim 11 , wherein the equity market is a U.S. equity market.

16. The method of claim 11 , wherein the primary strategies comprise competitive position, economic conditions, future growth, market conditions, opportunity, profitability, quantitative, risk, social considerations and valuation.

17. The method of claim 1 , wherein the period for assessing performance is a trailing period of less than, equal to, or greater than three months.

18. The method of claim 7 , wherein the period for assessing performance is a trailing period of less than, equal to, or greater than three months.

19. The method of claim 11 , wherein the period for assessing performance is a trailing period of less than, equal to, or greater than three months.

20. The method of claim 1 , wherein the step of summing the absolute differences from step f comprises, determining the absolute value of the difference between the long term performance rank and short term performance rank for each strategy and then summing the determined absolute values.

21. The method of claim 1 , wherein the step of scaling comprises moving the average of the sums of the absolute differences between the long term and short term performance ranks of the strategies.

22. The method of claim 1 , wherein the step of scaling comprises truncating the range of the sums of the absolute differences between the long term and short term performance ranks of the strategies.

Assignments (2)
CHANGE OF NAME Recorded Aug 17, 2026
From: ATHENAINVEST, INC.
To: ETICO FINANCIAL, INC.
Reel/Frame 075671/0785 →
ASSIGNMENT OF ASSIGNOR'S INTEREST Recorded Apr 17, 2012
From: HOWARD, C. THOMAS; HOWARD, ANDREW
To: ATHENAINVEST, INC.
Reel/Frame 028060/0028 →
Continuity (2)
Provisional Application 61468930 · Mar 29, 2011
Related Publication 20120254064A1 · Oct 4, 2012