Abstract: A computer implemented system and method for generating a cross-sectional volatility index includes identifying a population of assets having predetermined characteristics to form an index, and capturing market capitalization data for each of the assets in the index. Each asset in the index is weighted according to its market capitalization, and returns are captured for each asset over a predetermined period. The weightings and the returns for each asset are used to calculate the weighted return dispersion for the index over the predetermined period, to form an XSV Index, in which the XSV Index is a measure of discrepancy in volatility among the assets in the index during the period.
Type:
Grant
Filed:
September 22, 2010
Date of Patent:
February 19, 2013
Assignee:
Parametric Portfolio Associates, LLC
Inventors:
Paul W. Bouchey, Hemambara Dasu Vadlamudi