HEDGING EXCHANGE TRADED MUTUAL FUND OR OTHER PORFOLIO BASKET PRODUCTS
First Claim
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1. A process for creating a modeling portfolio to model an actively managed exchange traded fund portfolio comprising:
- (a) selecting or receiving the identities and weights of a first set of securities to create a first portfolio of securities;
(b) selecting or receiving the identities of a second set of securities;
(c) receiving or calculating a set of risk factors for the actively managed exchange traded fund, wherein the risk factors are calculated on a computer programmed to perform factor analysis;
(d) receiving or calculating a set of weights for the second set of securities to create a supplemental portfolio of securities, wherein the set of weights for the second set of securities is calculated on a computer programmed to perform factor analysis;
wherein the combination of the first portfolio of securities and the supplemental portfolio of securities creates the modeling portfolio, which substantially tracks the actively managed exchange traded fund portfolio over a period of time; and
wherein the modeling portfolio does not reveal the actively managed exchange traded fund portfolio.
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Abstract
A system for pricing and/or determining a basket of financial instruments for hedging investment risk in actively managed traded funds is described. The system uses a trusted computer system and includes a computer storage medium storing a computer program product. The product determines a basket of hedging instruments by applying statistical or economic based factor analysis to estimate the NAV or provide a hedging basket to track actual NAV of an actively managed traded fund.
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Citations
22 Claims
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1. A process for creating a modeling portfolio to model an actively managed exchange traded fund portfolio comprising:
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(a) selecting or receiving the identities and weights of a first set of securities to create a first portfolio of securities; (b) selecting or receiving the identities of a second set of securities; (c) receiving or calculating a set of risk factors for the actively managed exchange traded fund, wherein the risk factors are calculated on a computer programmed to perform factor analysis; (d) receiving or calculating a set of weights for the second set of securities to create a supplemental portfolio of securities, wherein the set of weights for the second set of securities is calculated on a computer programmed to perform factor analysis; wherein the combination of the first portfolio of securities and the supplemental portfolio of securities creates the modeling portfolio, which substantially tracks the actively managed exchange traded fund portfolio over a period of time; and wherein the modeling portfolio does not reveal the actively managed exchange traded fund portfolio. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11)
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12. A computer-readable product containing a computer program for creating a modeling portfolio to model an actively managed exchange traded fund portfolio, the computer program having instructions for causing a computer to:
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(a) select or receive the identities and weights of a first set of securities to create a first portfolio of securities; (b) select or receive the identities of a second set of securities; (c) receive or calculate a set of risk factors for the actively managed exchange traded fund, wherein the risk factors are calculated on a computer programmed to perform factor analysis; (d) receive or calculate a set of weights for the second set of securities to create a supplemental portfolio of securities, wherein the set of weights for the second set of securities is calculated on a computer programmed to perform factor analysis; wherein the combination of the first portfolio of securities and the supplemental portfolio of securities creates the modeling portfolio, which substantially tracks the actively managed exchange traded fund portfolio over a period of time; and wherein the modeling portfolio does not reveal the actively managed exchange traded fund portfolio. - View Dependent Claims (13, 14, 15, 16, 17, 18, 19, 20, 21, 22)
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Specification