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SYSTEMS AND METHODS FOR TRADING ACTIVELY MANAGED FUNDS

  • US 20080313100A1
  • Filed: 08/25/2008
  • Published: 12/18/2008
  • Est. Priority Date: 03/27/2000
  • Status: Active Grant
First Claim
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1. A method for creating a proxy portfolio for a fund without revealing the fund assets, comprising the steps of:

  • measuring an exposure of the fund to a set of risk factors to produce a set of fund sensitivity coefficients, wherein the risk factors comprise a historical time series of price data for a set of securities and each fund sensitivity coefficient indicates the exposure of the fund to one of the risk factors,storing the fund sensitivity coefficients on computer readable media; and

    using computer means to create a proxy portfolio from securities selected from a proxy universe of securities, wherein the proxy portfolio has substantially the same sensitivity coefficients as the fund,wherein the proxy portfolio does not reveal the fund assets.

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