Hedging exchange traded mutual funds or other portfolio basket products
First Claim
1. A method of hedging investment risk in an actively managed exchange traded fund, comprising;
- receiving or determining factor information about the actively managed exchange traded fund holdings, wherein one or more computers programmed with factor analysis software determine the factor information, which measures sensitivities of the fund holdings to factors that affect the value of the fund holdings, and the factor information does not reveal the fund holdings; and
using one or more computers with the factor information as an input to select a portfolio of financial instruments to produce a hedging portfolio with substantially the same sensitivities to the factors that affect the value of the fund holdings,wherein the specific securities in the actively managed exchange traded fund arc unknown to an entity who uses the hedging portfolio to hedge against an investment in the actively managed exchange traded fund.
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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 an actively managed exchange traded fund, comprising;
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receiving or determining factor information about the actively managed exchange traded fund holdings, wherein one or more computers programmed with factor analysis software determine the factor information, which measures sensitivities of the fund holdings to factors that affect the value of the fund holdings, and the factor information does not reveal the fund holdings; and using one or more computers with the factor information as an input to select a portfolio of financial instruments to produce a hedging portfolio with substantially the same sensitivities to the factors that affect the value of the fund holdings, wherein the specific securities in the actively managed exchange traded fund arc unknown to an entity who uses the hedging portfolio to hedge against an investment in the actively managed 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 comprising instructions for causing a computer to:
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receive or determine factor information about the actively managed exchange traded find holdings, wherein the factor information measures sensitivities of the fund to factors that affect the price of the fund holdings and the factor information does not reveal the fund holdings; and select a portfolio of financial instruments to produce a hedging portfolio with substantially the same sensitivities to the factors that affect the value of the fund holdings, wherein the specific securities in the actively managed exchange traded fund are unknown to an entity who uses the hedging portfolio to hedge against an investment in the actively managed exchange traded fund. - View Dependent Claims (9, 10, 11, 12, 13, 14)
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15. A computer system for producing a hedging portfolio for hedging investment risk in actively managed exchange traded finds, comprising:
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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; receive or determine factor information about the actively managed exchange traded fund holdings, wherein the factor information measures sensitivities of the fund holdings to factors that affect the price of the fund, and the factor information does not reveal the fund holdings; and select a portfolio of financial instruments to produce a hedging portfolio with substantially the same sensitivities to the factors that affect the value of the fund, wherein the specific securities in the actively managed exchange traded fund are unknown to an entity who uses the hedging portfolio to hedge against an investment in the actively managed exchange traded fund. - View Dependent Claims (16, 17, 18, 19)
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20. A method of calculating an intra-day value proxy for an actively managed exchange traded find, comprising:
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producing a hedging portfolio to track an actively managed exchange traded fund by receiving or determining factor information about the fund holdings, wherein one or more computers programmed with factor analysis software determine the factor information, which measures sensitivities of the fund holdings to factors that affect the price of the fund, and the factor information does not reveal the fund holdings; using one or more computers with the factor information as an input to select a portfolio of financial instruments to produce a hedging portfolio with substantially the same sensitivities to the factors that affect the value of the fund; and applying current prices to the hedging portfolio to determine the intra-day value proxy value for the exchange traded fund.
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Specification