(a) defining a stock size range and inputting the stock size range into a processor, the size range having an upper limit and a lower limit;

(b) defining a band around at least one of the upper limit and lower limit and inputting the band into the processor, wherein the band is a range of values between two limits;

(c) defining a predetermined time horizon and inputting the time horizon into the processor; and

(d) executing a software program in the processor that:

(i) initially populates the stock index with stocks that fall within the upper limit and the lower limit of the size range;

(ii) periodically adds stocks to the index which fall within the stock size range and also fall outside of the band;

(iii) periodically deletes stocks from the index which fall outside of the stock size range and also fall outside of the band;

(iv) divides the time horizon into a plurality of time periods;

(v) for each new time period, defines a packet of shares of stocks as being the stocks in the index as determined by step (c); and

(vi) defines the shares of stock represented in the index as being the cumulative total of packets for the previous predetermined time horizon.