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专利概况
专利名称 A Method of, and System for, Asset Index Generation with Self-Financing Portfolio Adjustment
申请号 AU2012261747 申请日
公开(公告)号 AU2012261747A1 公开(公告)日
申请(专利权)人 ARES Capital Management Pty Limited 发明人 Hardman Matthew Bryce; Pope Alun Lloyd
专利来源 国家知识产权局 转化方式
摘要

Asset indexes are intended to track changes in the market value of assets. However, some assets such as real estate can change in value for reasons other than that a general change in the market has occurred. For example, a house can have an addition which adds another bedroom or a portion of land can be sub-divided, in which case an increase or decrease respectively in the asset value can occur which is independent of movements in the overall market.A method of generating an asset index under these circumstances is disclosed by effectively removing from the asset portfolio those assets which have had a change in attribute come to notice on the day the asset index is calculated. Such an asset is restored to the portfolio on subsequent days. INPUT REAL ESTATE DATA INCLUDING PROPERTY DATA, PRICE DATA, AND TIME OF SALE DATA ' V ! HED(5iqi XI[LY AD$1)ST THE MAGNITUDE O-F PlarE-I -I-CE DATA AS DISCLOSED IN PCT/AU2008/000244 TO CREATE ADJUSTED PRICE DATA AS OF THE BASE DATE TRANFORM THE ADJUSTED PRICE DATA (BY A LOGARITHMIC TRANTORM FUNCTION) TO CREATE A TRANFORMED DATA SET FIT THE TRANSFORIvIED DATA SET VIA A GENERALIZED ADDITIVE MODEL TO CREATE A VALUATION FUNCTION APPLY THE VALUATION FUNCTION TO THE TRANSFORMED DATA SET TO CREATE A TRANSFORMED VALUE ESTIMATE FOR EACH PROPERTY APPLY THE INVERSE TRANFORM {ANTI-LOG FUNCTION) TO THE TRANFORMED VALUE ESTIMATES TO THEREBY CREATE A VALUE ESTIMATE FOR EACH PROPERTY PREFERABLY APPLY A FILTER SUCH AS A 95% PERCENTILE TOP AND A 5% PERCENTILE TAIL TO EXCLUDE SOME TRANSFORMED VALUE ESTIMATES FROM THE CURRENT CALCULATION SUM ALL (REMAINING) VALUE ESTIMATES TO FORM A TOTAL VALUE ESTIMATE fq USE TOTAL TO FORM AN ] INITIAL CAPITAL GAIN INDEX AS OF THE FIRST BASE DATE FOR EACH SUCCESSIVE DATE. INPUT NEW REAL ESTATE DATA TO FORM AN AUGMENTED TRANSACTION DATA SET l REPEAT STEPS 2 - 8 FOR THE; CALCULATE THE CHANGE IN THE TOTAL AUGMENTED VALUE ESTIMATE BETWEEN SUCESS1VE DATES MULTIPLY PREVIOUS CAPITAL GAIN INDEX BY CHANGE IN THE TOTAL AUGMENTED VALUE ESTIMATE CURRENT CAPITAL GAIN INDEX I FIG. 1

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