System and method for operating a family of mutual funds or ETFs

• US 10,460,389 B1
• Filed: 07/10/2014
• Issued: 10/29/2019
• Est. Priority Date: 07/10/2013
• Status: Active Grant

• Current Assignee: Charles Schwab & Company Incorporated (Charles Schwab Corporation)
• Original Assignee: Charles Schwab & Company Incorporated (Charles Schwab Corporation)
• Inventors: Bettinger, II, Walter W., Chandoha, Marie A., De St Paer, Jonathan
• Primary Examiner(s): Brindley, Benjamin S
• Application Number:
  US14/328,229
• Time in Patent Office: 1,937 Days
• Field of Search: 705 37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Abstract

A system and method operates a family of exchange traded funds or mutual funds with different weighted average maturities.

Claims

1. A computer-based method of operating a plurality of funds comprising a

first fund and a second fund, comprising:

computing, by a programmed hardware computer processor coupled to a computer memory, a first weighted average maturity of the first fund;

comparing, by the programmed hardware computer processor coupled to the computer memory, the first weighted average maturity of the first fund computed, with a first range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund;

determining, by the programmed hardware computer processor coupled to the computer memory, whether the first weighted average maturity of the first fund computed is outside the first range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund;

if the first weighted average maturity of the first fund computed is outside the first range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund, identifying, by the programmed hardware computer processor coupled to the computer memory, a first set of at least one security that should be sold from the first fund, and a second set of at least one security that should be purchased for the first fund, so as to cause a second weighted average maturity of the first fund to fall within the first range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund;

computing, by the programmed hardware computer processor coupled to the computer memory, a first weighted average maturity of the second fund;

comparing, by the programmed hardware computer processor coupled to the computer memory, the first weighted average maturity of the second fund computed, with a second range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund;

determining, by the programmed hardware computer processor coupled to the computer memory, whether the first weighted average maturity of the second fund computed is outside the second range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund;

if the first weighted average maturity of the second fund computed is outside the second range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund, identifying, by the programmed hardware computer processor coupled to the computer memory, a third set of securities that should be sold from the second fund and a fourth set of securities that should be purchased for the second fund so as to cause a second weighted average maturity of the second fund to fall within the second range of weighted average maturities advertised to purchasers of the shares of the first fund and to purchasers of the shares of the second fund, the second range being different from the first range;

trading the first set of at least one security and second set of at least one security using the first fund; and

trading the third set of securities and fourth set of securities using the second fund.

2. The method of claim 1, wherein the second range is a range of weighted average maturities that are greater than, and entirely outside of, the first range of weighted average maturities.

3. The method of claim 1, wherein the second range is adjacent to the first range, and overlaps by no more than one day.

4. The method of claim 3:

additionally comprising;

identifying a fifth set of at least one security that should be sold from a third fund, and a sixth set of at least one security that should be purchased for the third fund, so as to cause a weighted average maturity of the third fund to fall within a third range of weighted average maturities advertised to purchasers of the shares of the first fund and to purchasers of shares of the second fund and to purchasers of the third fund; and

trading the fifth set of at least one security and sixth set of at least one security using the third fund; and

wherein the third range is adjacent to the second range, and overlaps by no more than one day.

5. The method of claim 1, wherein the second range is not adjacent to the first range.

6. The method of claim 1, wherein a first portion of the second range of weighted average maturities is greater than any of the weighted average maturities in the first range, and a second portion of the second range of weighted average maturities is within the first range of weighted average maturities, the second portion comprising a plurality of days.

7. A system for operating a plurality of funds comprising a first fund and a second fund, comprising:

a family fund selection manager for selecting and providing at an output an identifier of the first fund or the second fund; and

an optimization trade manager having an input coupled to the family fund selection manager for receiving the identifier of the first fund or the second fund, the optimization trade manager comprising a hardware processor coupled to a memory, the hardware processor programmed for;

responsive to the identifier received at the optimization trade manager input comprising the identifier of the first fund, identifying a first set of at least one security that should be sold from the first fund, and a second set of at least one security that should be purchased for the first fund, so as to cause a weighted average maturity of the first fund to fall within a first range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund, and trading via an input/output, the first set of at least one security and second set of at least one security using the first fund; and

responsive to the identifier received at the optimization trade manager input comprising the identifier of the second fund, identifying a third set of securities that should be sold from the second fund and a fourth set of securities that should be purchased for the second fund so as to cause a weighted average maturity of the second fund to fall within a second range of weighted average maturities advertised to purchasers of the shares of the first fund and to purchasers of the shares of the second fund, the second range being different from the first range, and trading via the optimization trade manager input/output, the third set of securities and fourth set of securities using the second fund.

8. The system of claim 7, wherein the second range is a range of weighted average maturities that are greater than, and entirely outside of, the first range of weighted average maturities.

9. The system of claim 7, wherein the second range is adjacent to the first range, and overlaps by no more than one day.

10. The system of claim 9, wherein:

the family fund selection manager selects and provides at the family fund selection manager output an identifier of the first fund or the second fund or a third fund;

the optimization trade manager is additionally for, responsive to the identifier received at the optimization trade manager input comprising the identifier of the first fund, identifying a fifth set of at least one security that should be sold from the third fund, and a sixth set of at least one security that should be purchased for the third fund, so as to cause a weighted average maturity of the third fund to fall within a third range of weighted average maturities advertised to purchasers of the shares of the first fund and to purchasers of shares of the second fund and to purchasers of the third fund and for trading, via the optimization trade manager input/output, the fifth set of securities and sixth set of securities using the third fund; and

the third range is adjacent to the second range, and overlaps by no more than one day.

11. The system of claim 7, wherein the second range is not adjacent to the first range.

12. The system of claim 7, wherein a first portion of the second range of weighted average maturities is greater than any of the weighted average maturities in the first range, and a second portion of the second range of weighted average maturities is within the first range of weighted average maturities, the second portion comprising a plurality of days.

13. A computer program product comprising a nontransitory computer useable medium having computer readable program code embodied therein for operating a plurality of funds comprising a first fund and a second fund, the computer program product comprising computer readable program code devices configured to program a hardware computer processor to cause a computer system to:

compute a first weighted average maturity of the first fund;

compare the first weighted average maturity of the first fund computed, with a first range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund;

determine whether the first weighted average maturity of the first fund computed is outside the first range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund;

if the first weighted average maturity of the first fund computed is outside the first range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund, identify a first set of at least one security that should be sold from the first fund, and a second set of at least one security that should be purchased for the first fund, so as to cause a second weighted average maturity of the first fund to fall within the first range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund;

compute a first weighted average maturity of the second fund;

compare the first weighted average maturity of the second fund computed, with a second range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund;

determine whether the first weighted average maturity of the second fund computed is outside the second range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund;

if the first weighted average maturity of the second fund computed is outside the second range of weighted average maturities advertised to purchasers of shares of the first fund and to purchasers of shares of the second fund, identify a third set of securities that should be sold from the second fund and a fourth set of securities that should be purchased for the second fund so as to cause a second weighted average maturity of the second fund to fall within the second range of weighted average maturities advertised to purchasers of the shares of the first fund and to purchasers of the shares of the second fund, the second range being different from the first range;

trade the first set of at least one security and second set of at least one security using the first fund; and

trade the third set of securities and fourth set of securities using the second fund.

14. The computer program product of claim 13, wherein the second range is a range of weighted average maturities that are greater than, and entirely outside of, the first range of weighted average maturities.

15. The computer program product of claim 13, wherein the second range is adjacent to the first range, and overlaps by no more than one day.

16. The computer program product of claim 15:

additionally comprising computer readable program code devices configured to cause the computer system to;

identify a fifth set of at least one security that should be sold from a third fund, and a sixth set of at least one security that should be purchased for the third fund, so as to cause a weighted average maturity of the third fund to fall within a third range of weighted average maturities advertised to purchasers of the shares of the first fund and to purchasers of shares of the second fund and to purchasers of the third fund; and

trade the fifth set of at least one security and sixth set of at least one security using the third fund; and

wherein the third range is adjacent to the second range, and overlaps by no more than one day.

17. The computer program product of claim 13, wherein the second range is not adjacent to the first range.

18. The computer program product of claim 13, wherein a first portion of the second range of weighted average maturities is greater than any of the weighted average maturities in the first range, and a second portion of the second range of weighted average maturities is within the first range of weighted average maturities, the second portion comprising a plurality of days.