Correspondence: Andrew Rudd, Advisor Software, Inc., Lafayette, CA 94549, USA. E-mail: arudd@advisorsoftware.com

¹is Senior Investment Strategist at AXA Rosenberg Group LLC, Orinda, California.

²is Chairman and CEO at Advisor Software, Inc., Lafayette, California.

Received 26 October 2007; Revised 26 October 2006.

Abstract

Investment managers are becoming increasingly interested in intellectual property as an asset class, and a large part of this intellectual property is filmed content created by the major movie studios. We have collected reliable information about the creative content and financial performance of feature films, and used this data to better understand the returns to investing in movies. We describe the valuation context of feature films and list the important factors influential in explaining financial returns. These factors are then used to build a quantitative, multiple factor valuation and risk model of the asset class.