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Unitary investment having interrelated assets

  • US 20050108138A1
  • Filed: 11/12/2004
  • Published: 05/19/2005
  • Est. Priority Date: 03/12/1999
  • Status: Active Grant
First Claim
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1. A unitary swap investment comprising:

  • a predetermined time period for holding the unitary swap investment by an investor;

    a notional performance portfolio for determining a return to the investor for the unitary swap investment, the notional performance portfolio, at the initiation of the predetermined time period, comprising, (a) a base portfolio have a selected exposure amount, and (b) a passive commodity index portfolio, of long and short positions, in an amount substantially equal to the product of the selected exposure amount multiplied by a leverage factor of at least 100%, wherein the product defines a passive commodity index portfolio exposure that reduces the risk while increasing the return of the notional performance portfolio; and

    the return comprising substantially the change in value of the selected exposure amount and the passive commodity index portfolio exposure over the predetermined time period.

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