EXCHANGE TRADING OF MUTUAL FUNDS OR OTHER PORTFOLIO BASKET PRODUCTS
First Claim
1. A method of estimating a current value of shares of an actively managed exchange traded fund without revealing the holdings of the actively managed exchange traded fund, comprising:
- determining a first portfolio of financial instruments by a computer; and
determining a second portfolio of financial instruments comprising a supplemental hedging portfolio by a computer, wherein the second portfolio of financial instruments combined with the first portfolio of financial instruments results in a hedging portfolio with substantially the same sensitivities to factors that affect the value of the actively managed exchange traded fund holdings as the actively managed exchange traded fund holdings, and wherein the hedging portfolio does not reveal the fund holdings;
applying a current value of the holdings of the hedging portfolio to generate a current value of the hedging portfolio by a computer; and
using the current value of the hedging portfolio as the estimate of the current value of shares of the actively managed exchange traded fund;
wherein the specific securities in the actively managed exchange traded fund are unknown to an entity who uses the hedging portfolio to estimate the current value of shares of the actively managed exchange traded fund.
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0 Petitions
Accused Products
Abstract
A system for determining a basket of financial instruments for hedging investment risk in actively managed exchange 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 the basket of hedging instruments by extracting factor information from a portfolio of the actively managed exchange traded fund and determining factors that affect the price of the exchange traded fund. The program can select a portfolio of instruments with similar behavior with respect to the determined factors to produce a hedging portfolio that tracks the price of the exchange traded fund.
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Citations
26 Claims
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1. A method of estimating a current value of shares of an actively managed exchange traded fund without revealing the holdings of the actively managed exchange traded fund, comprising:
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determining a first portfolio of financial instruments by a computer; and determining a second portfolio of financial instruments comprising a supplemental hedging portfolio by a computer, wherein the second portfolio of financial instruments combined with the first portfolio of financial instruments results in a hedging portfolio with substantially the same sensitivities to factors that affect the value of the actively managed exchange traded fund holdings as the actively managed exchange traded fund holdings, and wherein the hedging portfolio does not reveal the fund holdings; applying a current value of the holdings of the hedging portfolio to generate a current value of the hedging portfolio by a computer; and using the current value of the hedging portfolio as the estimate of the current value of shares of the actively managed exchange traded fund; wherein the specific securities in the actively managed exchange traded fund are unknown to an entity who uses the hedging portfolio to estimate the current value of shares of the actively managed exchange traded fund. - View Dependent Claims (2, 3, 4, 5, 6)
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7. A method of intra-day trading in shares or derivative instruments of an actively managed fund comprising:
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using a determined hedging basket of securities that track the actively managed fund or derivatives to manage investment risk taken in the shares or derivative instruments of the actively managed fund, wherein the hedging basket of securities do not reveal the fund assets; and trading the fund shares or derivative instruments through negotiated pricing of the fund shares or derivative instruments as determined between buyers and sellers of shares in or derivative instruments of the actively managed fund. - View Dependent Claims (8, 9, 10, 11, 12, 13)
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14. A method of intra-day trading of shares or derivative instruments of an actively managed fund, the method comprising:
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calculating an intra-day net asset value proxy for the fund shares by applying prices received from a quote feed to security positions in the fund portfolio, wherein the intra-day net asset value proxy does not reveal the fund assets; and trading the fund shares or derivative instruments based on negotiated pricing of the fund shares or derivative instruments as determined by the intra-day net asset value proxy for the actively managed fund. - View Dependent Claims (15, 16, 17, 18, 19, 20, 21)
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22. A method of intra-day trading on an exchange or market in shares or derivative instruments of an actively managed fund, the method comprising:
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referencing a calculated intra-day net asset value proxy for the actively managed fund, wherein the net asset value proxy for the actively managed fund does not reveal the assets of the actively managed fund; and trading the fund shares or derivative instruments through negotiated pricing of the fund shares or derivative instruments by buyers and sellers of shares in or derivative instruments of the fund based on prices posted for the calculated intra-day net asset value proxy for the actively managed fund. - View Dependent Claims (23, 24, 25, 26)
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Specification