Abstract: A method of assigning securities to countries/regions. A company having a formation country/region, headquarters country/region, and primary exchange country/region issued each security. Countries/regions are classified as special, no domestic exchange (“NDE”), benefits driven incorporation (“BDI”), and non-BDI. Special rules apply to securities issued by companies formed in special countries/regions. Securities issued by companies formed in NDE countries/regions are assigned to their primary exchange countries/regions. Each security issued by a company formed in a non-BDI country/region is assigned to its formation country/region if its formation, headquarters, and primary exchange country/region are identical. If these three countries/regions are not identical and the formation country/region is a BDI country/region, the security is assigned to either the headquarters or primary exchange country/region.

Abstract: A method of identifying global securities considered adequately liquid for foreign investment and/or inclusion in a global index. For each security, the method selects a portion of its issues (e.g., local issues) and calculates an Average Daily Trading Volume (“ADTV”) for each issue. The issue having the largest ADTV is identified as the primary issue. The method calculates the Active Trading Ratio (“ATR”) of the primary issue and determines the security is adequately liquid if the ADTV of the primary issue is greater than or equal to a minimum ADTV threshold and the ATR of the primary issue is greater than or equal to a minimum ATR threshold. The method may determine an inadequately liquid security is adequately liquid if the ADTV and ATR of another issue (e.g., a foreign issue) or depository receipts are greater than or equal to the minimum ADTV and ATR thresholds, respectively.

Abstract: A method of constructing one or more global cap-size stock indexes. The method includes aggregating securities traded in a plurality of regions of the world into a single pool. Optionally, the securities may be screened to remove securities that are not available for investment by foreign investors. Additionally, a portion of the securities issued by companies having small company total market capitalizations may be screened from the pool. Then, the method determines a global market capitalization associated with each security in the pool. Finally, a portion of the securities is assigned to one of the global cap-size stock indexes based on the global market capitalization associated with the securities and one or more threshold values calculated as a function of the global market capitalizations of the securities in the pool. The global market capitalization associated with each security may include the company total market capitalization of the security's issuing company.