SYSTEMS AND METHODS FOR CHECKING MODEL PORTFOLIOS FOR ACTIVELY MANAGED FUNDS

• US 20090043713A1
• Filed: 10/21/2008
• Published: 02/12/2009
• Est. Priority Date: 03/27/2000
• Status: Active Grant

• Current Assignee: NYSE American LLC (Intercontinental Exchange, Inc.)
• Original Assignee: NYSE American LLC (Intercontinental Exchange, Inc.)
• Inventors: Ebner, Scott, Arculli, Bonnie, Weber, Clifford J., Baker, Charles A.
• Granted Patent: US 8,170,935 B2
• Time in Patent Office: Days
• US Class Current: 705/36.R
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

The invention provides systems and methods for checking portfolios used to model the behavior of actively managed funds to facilitate intra-day trading of actively managed exchange traded funds (AMETFs) without revealing the fund assets. The invention also provides exchange traded notes based on an underlying actively managed fund without revealing the fund assets.

Claims

1. A method for evaluating the integrity of a model portfolio designed to have substantially the same values, returns, or risk characteristics as a financial instrument, the improvement comprising:

using computer means to perform a statistical comparison between said model portfolio and the financial instrument, wherein said statistical comparison compares the periodic values, returns, or risk characteristics of the model portfolio and the financial instrument over some period of time, periodically sending or publishing the results of the statistical comparison,

wherein the model portfolio does not reveal the assets of the financial instrument.

2. The method of claim 1, wherein the financial instrument is an actively managed exchange traded fund.

3. The method of claim 1, wherein the statistical comparison between the model portfolio and the financial instrument is the difference, an average difference, standard deviation of the difference, mean difference, minimum difference, maximum difference, correlation number, R² value, or value-at-risk (VAR).

4. The method of claim 3, wherein the statistical comparison between the model portfolio and the financial instrument compares a subset of the assets in the model portfolio with a subset of the assets in the financial instrument.

5. The method of claim 3, wherein the statistical comparison between the model portfolio and the financial instrument compares all of the assets in the model portfolio with a subset of the assets in the financial instrument.

6. The method of claim 3, wherein the statistical comparison between the model portfolio and the financial instrument compares a subset of the assets in the model portfolio with all of the assets in the financial instrument.

7. The method of claim 3, wherein the statistical comparison is sent or published in discrete bins.

8. The method of claim 6, wherein the statistical comparison is sent or published by description as being less than a predetermined interval value.

9. The method of claim 6, wherein the statistical comparison is sent or published by description as being between two predetermined interval values.

10. A method for evaluating the integrity of a model portfolio designed to have substantially the same values, returns, or risk characteristics as a financial instrument, the improvement comprising:

using computer means to perform a statistical comparison between said model portfolio and the financial instrument, wherein said statistical comparison compares the periodic values, returns, or risk characteristics of the model portfolio and the financial instrument over some period of time,

periodically sending or publishing the results of the statistical comparison,

wherein the model portfolio does not reveal the holdings of a reference asset for the financial instrument.

11. The method of claim 10, wherein the financial instrument is an exchange traded note with an actively managed fund as the reference asset.

12. The method of claim 10, wherein the statistical comparison between the model portfolio and the financial instrument is the difference, an average difference, standard deviation of the difference, mean difference, minimum difference, maximum difference, correlation number, R² value, or value-at-risk (VAR).

13. The method of claim 12, wherein the statistical comparison is sent or published in discrete bins.

14. The method of claim 13, wherein the statistical comparison is sent or published by description as being less than a predetermined interval value.

15. The method of claim 13, wherein the statistical comparison is sent or published by description as being between two predetermined interval values.

16. A system for evaluating the integrity of a model portfolio designed to have substantially the same values, returns, or risk characteristics as a target portfolio, with a first computer means programmed to create or receive the model portfolio designed to have substantially the same values, returns, or risk characteristics as the target portfolio, the improvement comprising:

a second computer means programmed to perform a statistical comparison between the model portfolio and the target portfolio, wherein said statistical comparison compares the periodic values, returns, or risk characteristics of the model portfolio and the target portfolio over some period of time, and said second computer means programmed to periodically send or publish the results of the statistical comparison,

wherein the model portfolio does not reveal the assets of the target portfolio.

17. The system of claim 16, wherein the target portfolio is the portfolio of an actively managed exchange traded fund.

18. The system of claim 16, wherein the target portfolio is an actively managed fund used as a reference asset for an exchange traded note.

19. The system of claim 16, wherein the second computer means is programmed to perform a statistical comparison between the model portfolio and the financial instrument selected from an average difference, standard deviation of the difference, mean difference, minimum difference, maximum difference, correlation number, R² value, and value-at-risk (VAR).

20. The system of claim 19, wherein the statistical comparison is sent or published in discrete bins.

21. The system of claim 16, wherein the statistical comparison is sent or published by description as being less than a predetermined interval value.

22. The system of claim 16, wherein the statistical comparison is sent or published by description as being between two predetermined interval values.

23. The system of claim 16, wherein the first computer means and the second computer means are the same computer.

24. A computer program product for evaluating the integrity of a model portfolio designed to have substantially the same values, returns, or risk characteristics as a target portfolio, the computer program product comprising instructions for causing a computer to create or receive a model portfolio designed to have substantially the same values, returns, or risk characteristics as a target portfolio, wherein the model portfolio does not reveal the assets of the target portfolio, the improvement comprising instructions for causing a computer to:

perform a statistical comparison between the model portfolio and the target portfolio, wherein said statistical comparison compares the periodic values, returns, or risk characteristics of the model portfolio and the target portfolio over some period of time, and

periodically send or publish the results of the statistical comparison.

25. The computer program product of claim 24, wherein the target portfolio is an actively managed fund.

26. The method of claim 24, wherein the statistical comparison is sent or published in discrete bins.

27. The method of claim 26, wherein the statistical comparison is sent or published by description as being less than a predetermined interval value.

28. The method of claim 26, wherein the statistical comparison is sent or published by description as being between two predetermined interval values.

29. A method for permitting efficient trading of a financial instrument, comprising using computer means to determine or receive a set of risk factors from a risk factor model, using computer means to determine or receive a set of fund or portfolio sensitivity coefficients and storing the set of fund or portfolio sensitivity coefficients on computer readable media, wherein each fund or portfolio sensitivity coefficient specifies the exposure of a reference fund or portfolio to one of the risk factors, and using computer means to create model portfolio having substantially the same sensitivity coefficients as the reference fund or portfolio, the improvement comprising:

basing the value of the financial instrument on the value of the reference fund or portfolio, without revealing the holdings of the reference fund or portfolio,

wherein the financial instrument is traded on an exchange.

30. The method of claim 29, wherein the financial instrument is an exchange traded note.

31. The method of claim 30, wherein the reference fund or portfolio is an actively managed fund or portfolio.