EXCHANGE TRADING OF MUTUAL FUNDS OR OTHER PORTFOLIO BASKET PRODUCTS
First Claim
1. A method of hedging investment risk in actively managed exchange traded funds, comprises:
- extracting factor information from the portfolio of the actively managed exchange traded fund;
determining factors that affect the value of the exchange traded fund; and
selecting a portfolio of financial instruments with similar behavior with respect to the determined factors to produce a hedging portfolio that tracks the price of the exchange traded fund.
5 Assignments
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
20 Claims
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1. A method of hedging investment risk in actively managed exchange traded funds, comprises:
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extracting factor information from the portfolio of the actively managed exchange traded fund; determining factors that affect the value of the exchange traded fund; and selecting a portfolio of financial instruments with similar behavior with respect to the determined factors to produce a hedging portfolio that tracks the price of the exchange traded fund. - View Dependent Claims (2, 3, 4, 5, 6, 7)
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8. A computer program product residing on a computer readable medium for hedging investment risk in actively, managed, exchange traded funds, comprises instructions for causing a computer to:
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extract factor information from a portfolio of the actively managed exchange traded fund; determine factors that affect the price of the exchange traded fund; and select a portfolio of financial instruments with similar behavior with respect to the determined factors to produce a hedging portfolio that tracks the price of the exchange traded fund. - View Dependent Claims (9, 10, 11, 12, 13, 14)
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15. A computer system for determining a basket of securities for hedging investment risk in actively managed exchange traded funds, comprises:
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a trusted computer system; and a computer storage medium storing a computer program product for determining the basket of instruments for hedging investment risk, comprising instructions for causing the computer to; extract factor information from a portfolio of an actively managed exchange traded fund; determine factors that affect the price of the exchange traded fund; and select a portfolio of financial instruments with similar behavior with respect to the determined factors to produce a hedging portfolio that tracks the price of the exchange traded fund. - View Dependent Claims (16, 17, 18, 19)
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20. A method of calculating a Net Asset Valuation proxy comprises:
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producing a hedging portfolio to track an actively managed fund 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 to select a portfolio of financial instruments with similar behavior with respect to the determined factors to produce the hedging portfolio; and applying current prices to the hedging portfolio to determine a NAV proxy value for the exchange traded fund.
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Specification