SYSTEMS AND METHODS FOR CHECKING MODEL PORTFOLIOS FOR ACTIVELY MANAGED FUNDS
First Claim
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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.
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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.
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Citations
31 Claims
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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:
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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. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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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:
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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. - View Dependent Claims (11, 12, 13, 14, 15)
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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:
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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. - View Dependent Claims (17, 18, 19, 20, 21, 22, 23)
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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:
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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. - View Dependent Claims (25, 26, 27, 28)
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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:
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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. - View Dependent Claims (30, 31)
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Specification