Methods, systems, and computer program products for trading financial instruments on an exchange

• US 7,496,531 B1
• Filed: 03/07/2007
• Issued: 02/24/2009
• Est. Priority Date: 05/31/2005
• Status: Active Grant

• Current Assignee: Morgan Stanley Services Group Inc. (Morgan Stanley)
• Original Assignee: Managed ETFs LLC (Morgan Stanley)
• Inventors: Kuhnle, Paul E., McCabe, Daniel J., Gastineau, Gary L., Broms, Todd J.
• Primary Examiner(s): Cheung; Mary
• Assistant Examiner(s): FERTIG, BRIAN E
• Application Number:
  US11/714,923
• Time in Patent Office: 720 Days
• Field of Search: 705/35, 705/37, 705/39, 708/105, 708/110, 708/134, 434/107, 434/109, 434/188
• US Class Current: 705/35
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

Systems, methods and computer program products for trading financial instruments are described herein. A first order to buy or sell a financial instrument is received, where the first order includes at least one contingency. The contingency may be price-based and/or volume-based. For example, the contingency can be based on a volume-weighted average price of the security (VWAP); a time-weighed average price of the security (TWAP); a target trading volume of the security as a percentage of total market volume during a specified period (TVOL); or a net asset value (NAV) of the security. The first order is matched with a corresponding second order. For example, a bid for a given security is matched with an offer for the same security. This matching operation also includes ensuring that the contingency(ies) of the first order are compatible with the contingency(ies) of the second order. Thereafter, the contingencies are calculated, and then the first and second orders are executed pursuant to the calculated contingencies.

Claims

1. A computer-based method for trading an exchange-listed financial instrument for which a net asset value can be calculated on or away from an exchange, the method comprising;

executing a trade of an exchange-listed financial instrument for which a net asset value can be calculated priced relative to a net asset value to be calculated and published at or after a specified time;

determining a price of said executed trade, wherein said determined price is from a set of prices that are specified relative to said net asset value, said set of prices comprising (a) a first price that is at a specified discount to said net asset value;

(b) a second price that is equal to said net asset value; and

(c) a third price that is at a specified premium to said net asset value; and

submitting said executed trade for settlement at said determined price,

wherein said executing, determining, and submitting steps are executed by one or more processors.

2. The method of claim 1, wherein said executing step further comprises:

receiving an order to buy or sell said exchange-listed financial instrument priced relative to said net asset value to be calculated and published at or after said specified time; and

matching said received order with a complementary sell or buy order to trade said exchange-listed financial instrument relative to said net asset value calculation.

3. The method of claim 2, wherein a format of said order to trade said exchange-listed financial instrument comprises at least one of (i) a root trading symbol for said exchange-listed financial instrument with an extension designating said net asset value calculation and (ii) a trading symbol for said exchange-listed financial instrument designating both said exchange-listed financial instrument and said net asset value calculation.

4. The method of claim 2, wherein said executing step accommodates bids or offers describing a number of shares of said exchange-listed financial instrument and at market or at a limit price.

5. The method of claim 1, further comprising at least one of computing said net asset value at or after said specified time, receiving said net asset value at or after said specified time, and delivering said net asset value at or after said specified time.

6. The method of claim 1, wherein said net asset value is computed from a session opening transaction in each position in a portfolio of an investment fund.

7. The method of claim 1, wherein an arbitrary proxy for said net asset value serves as an anchor point for said determined price to be translated into currency terms after said net asset value is calculated.

8. The method of claim 7, wherein said arbitrary proxy anchor point is set at a specific number, wherein a trade made at said specific number will be priced at said net asset value and a trade made at a price above said anchor point or below said anchor point is used to determine at least one of:

(i) a price at a similar difference above or below said net asset value with said difference measured in currency and (ii) a percentage difference above or below said net asset value with said difference measured in currency to a precision determined by rules of an exchange.

9. The method of claim 1, further comprising at least one of reporting and delivering information on said executed trade to at least one of (i) a party to said executed trade, (ii) a market data reporting system, (iii) a broker or dealer, (iv) an industry utility, (v) a market data vendor, (vi) an industry service organization, (vii) a market participant, and (viii) financial media.

10. The method of claim 1, further comprising receiving information on said executed trade from at least one of (i) a party to said executed trade, (ii) a market data reporting system, (iii) a broker or dealer, (iv) an industry utility, (v) a market data vendor, (vi) an industry service organization, (vii) a market participant, and (viii) financial media.

11. The method of claim 1, further comprising retroactively modifying terms of said executed trade upon correction of an error.

12. The method of claim 1, wherein said specified time is at or relative to a closing time for an exchange.

13. The method of claim 1, wherein said exchange-listed financial instrument is at least one of (i) a share of a general class of shares of an investment fund, (ii) a share of a specialized share class of said investment fund, (iii) a fractional share of a general class of shares of an investment fund or a specialized share class of said investment fund, and (iv) a unit of an exchange-traded note.

14. The method of claim 1, further comprising at least one of (i) entering a buy or sell order to trade said exchange-listed financial instrument on a graphical user interface, (ii) displaying a buy or sell order to trade said exchange-listed financial instrument on a graphical user interface, and (iii) displaying a buy or sell order to trade said exchange-listed financial instrument on a computer display.

15. A computer-based system for trading an exchange-listed financial instrument for which a net asset value can be calculated on or away from an exchange, the system comprising:

a module configured to execute a trade of an exchange-listed financial instrument for which a net asset value can be calculated priced relative to a net asset value to be calculated and published at or after a specified time;

a module configured to determine a price for said executed trade, wherein said determined price is from a set of prices that are specified relative to said net asset value, said set of prices comprising (a) a first price that is at a specified discount to said net asset value;

(b) a second price that is equal to said net asset value; and

(c) a third price that is at a specified premium to said net asset value;

a module configured to submit said executed trade for settlement at said determined price; and

one or more processors, executing said modules.

16. The system of claim 15, wherein said module configured to execute further comprises:

a module configured to receive an order to buy or sell said exchange-listed financial instrument priced relative to a net asset value to be calculated and published at or after a specified time; and

a module configured to match said received order with a complementary sell or buy order to trade said exchange-listed financial instrument relative to said net asset value calculation.

17. The system of claim 16, wherein a format of said order to trade said exchange-listed financial instrument comprises at least one of (i) a root trading symbol for said exchange-listed financial instrument with an extension designating said net asset value calculation and (ii) a trading symbol for said exchange-listed financial instrument designating both said exchange-listed financial instrument and said net asset value calculation.

18. The system of claim 16, wherein said module configured to execute accommodates bids or offers describing a number of shares of said exchange-listed financial instrument and at market or at a limit price.

19. The system of claim 15, further comprising at least one of:

(i) a module configured to compute said net asset value at or after said specified time, (ii) a module configured to receive said net asset value at or after said specified time, and (iii) a module configured to deliver said net asset value at or after said specified time.

20. The system of claim 15, wherein said module configured to execute said trade uses a net asset value calculated from a session opening transaction in each position in a portfolio of an investment fund.

21. The system of claim 15, wherein an arbitrary proxy for said net asset value serves as an anchor point for said determined price to be translated into currency terms after said net asset value is calculated.

22. The system of claim 21, wherein said arbitrary proxy anchor point is set at a specific number, wherein a trade made at said specific number will be priced at said net asset value and a trade made at a price above said anchor point or below said anchor point is used to determine at least one of (i) a price at a similar difference above or below said net asset value with said difference measured in currency and (ii) a percentage difference above or below said net asset value with said difference measured in currency to a precision determined by rules of an exchange.

23. The system of claim 15, further comprising at least one of a module configured to report and a module configured to deliver information on said executed trade to at least one of (i) a party to said executed trade, (ii) a market data reporting system, (iii) a broker or dealer, (iv) an industry utility, (v) a market data vendor, (vi) an industry service organization, (vii) a market participant, and (viii) financial media.

24. The system of claim 15, further comprising a module configured to receive information on said executed trade from at least one of (i) a party to said executed trade, (ii) a market data reporting system, (iii) a broker or dealer, (iv) an industry utility, (v) a market data vendor, (vi) an industry service organization, (vii) a market participant, and (viii) financial media.

25. The system of claim 15, further comprising a module configured to retroactively modify terms of said executed trade upon correction of an error.

26. The system of claim 15, wherein said specified time is at or relative to a closing time for said exchange.

27. The system of claim 15, wherein said exchange-listed financial instrument is at least one of (i) a share of a general class of shares of an investment fund, (ii) a share of a specialized share class of said investment fund, (iii) a fractional share of a general class of shares of an investment fund or a specialized share class of said investment fund and (iv) a unit of an exchange traded note.

28. The system of claim 15, further comprising at least one of (i) a module configured to enter a buy or sell order to trade said exchange-listed financial instrument on a graphical user interface, (ii) a module configured to display a buy or sell order to trade said exchange-listed financial instrument on a graphical user interface, and (iii) a module configured to display a buy or sell order to trade said exchange-listed financial instrument graphically on a computer display.

29. A computer program product comprising a computer useable medium having computer program logic recorded thereon for enabling a processor to trade an exchange-listed financial instrument for which a net asset value can be calculated on or away from an exchange, the computer program logic comprising:

first computer readable program code module to enable a processor to execute a trade of an exchange-listed financial instrument for which a net asset value can be calculated priced relative to a net asset value to be calculated and published at or after a specified time;

second computer readable program code module to enable a processor to determine a price for said executed trade, wherein said determined price is from a set of prices that are specified relative to said net asset value, said set of prices comprising (a) a first price that is at a specified discount to said net asset value;

(b) a second price that is equal to said net asset value; and

(c) a third price that is at a specified premium to said net asset value, and

third computer readable program code module to enable a processor to submit said executed trade for settlement at said determined price.

30. The computer program product of claim 29, wherein said first computer readable program code module further comprises:

fourth computer readable program code module to enable a processor to receive an order to buy or sell said exchange-listed financial instrument priced relative to a net asset value to be calculated and published at or after a specified time; and

fifth computer readable program code module to enable a processor to match said received order with a complementary sell or buy order to trade said exchange-listed financial instrument relative to said net asset value calculation.

31. The computer program product of claim 30, wherein a format of said order to trade said exchange-listed financial instrument comprises at least one of (i) a root trading symbol for said exchange-listed financial instrument with an extension designating said net asset value calculation and (ii) a trading symbol for said exchange-listed financial instrument designating both said exchange-listed financial instrument and said net asset value calculation.

32. The computer program product of claim 30, wherein said first computer readable program code module enables a processor to accommodate bids or offers describing a number of shares of said exchange-listed financial instrument and at market or at a limit price.

33. The computer program product of claim 29, further comprising at least one of:

(i) fourth computer readable program code module to enable a processor to compute said net asset value at or after said specified time, (ii) fifth computer readable program code module to enable a processor to receive said net asset value at or after said specified time, and (iii) sixth computer readable program code module to enable a processor to deliver said net asset value at or after said specified time.

34. The computer program product of claim 29, wherein said fourth computer readable program code module enables a processor to compute said net asset value from a session opening transaction in each position in a portfolio of an investment fund.

35. The computer program product of claim 29, wherein an arbitrary proxy for said net asset value serves as an anchor point for said determined price to be translated into currency terms after said net asset value is calculated.

36. The computer program product of claim 35, wherein said arbitrary proxy anchor point is set at a specific number wherein a trade made at said specific number will be priced at said net asset value and a trade made at a price above said anchor point or below said anchor point is used to determine at least one of (i) a price at a similar difference above or below said net asset value with said difference measured in currency and (ii) a percentage difference above or below said net asset value with said difference measured in currency to a precision determined by rules of an exchange.

37. The computer program product of claim 29, further comprising at least one of fourth computer readable program code module to enable a processor to report and fifth computer readable program code module to enable a processor to deliver information on said executed trade to at least one of (i) a party to said executed trade, (ii) a market data reporting system, (iii) a broker or dealer, (iv) an industry utility, (v) a market data vendor, (vi) an industry service organization, (vii) a market participant, and (viii) financial media.

38. The computer program product of claim 29, further comprising fourth computer readable program code module to enable a processor to receive information from said executed trade from at least one of (i) a party to said executed trade, (ii) a market data reporting system, (iii) a broker or dealer, (iv) an industry utility, (v) a market data vendor, (vi) an industry service organization, (vii) a market participant, and (viii) financial media.

39. The computer program product of claim 29, further comprising fourth computer readable program code module to enable a processor to retroactively modify terms of said executed trade upon correction of an error.

40. The computer program product of claim 29, wherein said specified time is at or relative to a closing time for an exchange.

41. The computer program product of claim 29, wherein said exchange-listed financial instrument is at least one of (i) a share of a general class of shares of an investment fund, (ii) a share of a specialized share class of said investment fund, (iii) a fractional share of a general class of shares of an investment fund or a specialized share class of said investment fund, and a unit of an exchange-traded note.

42. The computer program product of claim 29, further comprising at least one of (i) fourth computer readable program code module to enable a processor to enter a buy or sell order to trade said exchange-listed financial instrument on a graphical user interface, (ii) fifth computer readable program code module to enable a processor to display a buy or sell order to trade said exchange-listed financial instrument on a graphical user interface, and (iii) sixth computer readable program code module to enable a processor to display a buy or sell order to trade said exchange-listed financial instrument graphically on a computer display.

43. A computer-based method for trading an exchange-listed financial instrument for which a net asset value can be calculated on or away from an exchange, the method comprising:

delivering at least one order to trade an exchange-listed financial instrument for which a net asset value can be calculated priced relative to a net asset value to be calculated and published at or after a specified time; and

receiving information on terms of an executed trade for said exchange-listed financial instrument,

wherein a price of said executed trade is determined from a set of prices that are specified relative to said net asset value, said set of prices comprising (a) a first price that is at a specified discount to said net asset value;

(b) a second price that is equal to said net asset value; and

(c) a third price that is at a specified premium to said net asset value; and

wherein said delivering and receiving steps are executed by one or more processors.

44. The method of claim 43, wherein a format of said order to trade said exchange-listed financial instrument comprises at least one of (i) a root trading symbol for said financial instrument with an extension designating said net asset value calculation and (ii) a specified trading symbol designating both said exchange-listed financial instrument and said net asset value calculation.

45. The method of claim 43, wherein said order to trade said exchange-listed financial instrument comprises at least one of (i) a bid to purchase or (ii) an offer to sell said exchange-listed financial instrument at a price based on said net asset value to be calculated and published at or after a specified time.

46. A computer-based system for trading an exchange-listed financial instrument on or away from an exchange, the system comprising;

a module configured to deliver at least one order to trade an exchange-listed financial instrument for which a net asset value can be calculated priced relative to a net asset value to be calculated and published at or after a specified time;

a module configured to receive information on terms of an executed trade for said financial instrument; and

one or more processors, executing said modules,

wherein a price of said executed trade is determined from a set of prices that are specified relative to said net asset value, said set of prices comprising (a) a first price that is at a specified discount to said net asset value;

(b) a second price that is equal to said net asset value; and

(c) a third price that is at a specified premium to said net asset value.

47. The system of claim 46, wherein a format of said order to trade said exchange-listed financial instrument comprises at least one of (i) a root trading symbol for said exchange-listed financial instrument with an extension designating said net asset value calculation and (ii) a specified trading symbol designating both said exchange-listed financial instrument and said net asset value calculation.

48. The system of claim 46, wherein said order to trade said exchange-listed financial instrument comprises at least one of (i) a bid to purchase and (ii) an offer to sell said exchange-listed financial instrument at a price based on said net asset value to be calculated and published at or after a specified time.

49. A computer program product comprising a computer useable medium having computer program logic recorded thereon for enabling a processor to trade an exchange-listed financial instrument for which a net asset value can be calculated on or away from an exchange, the computer program logic comprising:

first computer readable program code module to enable a processor to deliver at least one order to trade an exchange-listed financial instrument for which a net asset value can be calculated priced relative to a net asset value to be calculated and published at or after a specified time; and

second computer readable program code module to enable a processor to receive information on terms of an executed trade for said exchange-listed financial instrument,

wherein a price of said executed trade is determined from a set of prices that are specified relative to said net asset value, said set of prices comprising (a) a first price that is at a specified discount to said net asset value;

(b) a second price that is equal to said net asset value; and

(c) a third price that is at a specified premium to said net asset value.

50. The computer program product of claim 49, wherein a format of said order to trade said exchange-listed financial instrument comprises at least one of (i) a root trading symbol for said exchange-listed financial instrument with an extension designating said net asset value calculation and (ii) a specified trading symbol designating both said exchange-listed financial instrument and said net asset value calculation.

51. The computer program product of claim 49, wherein said order to trade said exchange-listed financial instrument comprises at least one of (i) a bid to purchase and (ii) an offer to sell said exchange-listed financial instrument at a price based on said net asset value to be calculated and published at or after a specified time.

52. A computer-based method for making a market in an exchange-listed financial instrument for which a net asset value can be calculated on or away from an exchange, the method comprising:

receiving an order to buy or sell an exchange-listed financial instrument for which a net asset value can be calculated priced relative to a net asset value to be calculated and published at or after a specified time;

matching said received order with at least one of (i) a complementary sell or buy order from another party to trade said exchange-listed financial instrument at or relative to said net asset value calculation, (ii) a complementary offer or bid posted in an organized market for trading said instrument at or relative to said net asset value calculation and (iii) a complementary offer or bid to trade with a book of a market maker; and

determining an execution price for said matched order, wherein said execution price is from a set of prices that are specified relative to said net asset value, said set of prices comprising (a) a first price that is at a specified discount to said net asset value;

(b) a second price that is equal to said net asset value; and

(c) a third price that is at a specified premium to said net asset value; and

wherein said receiving, matching and determining steps are executed by one or more processors.

53. A computer-based system for making a market in an exchange-listed financial instrument for which a net asset value can be calculated on or away from an exchange, the system comprising;

a module configured to receive an order to buy or sell an exchange-listed financial instrument for which a net asset value can be calculated priced relative to a net asset value to be calculated and published at or after a specified time;

a module configured to match said received order with at least one of (i) a complementary sell or buy order from another party to trade said exchange-listed financial instrument at or relative to said net asset value calculation, (ii) a complementary offer or bid posted in an organized market for trading said instrument at or relative to said net asset value calculation and (iii) a complementary offer or bid to trade with a book of a market maker;

a module configured to determine an execution price for said matched order, wherein said execution price is from a set of prices that are specified relative to said net asset value, said set of prices comprising (a) a first price that is at a specified discount to said net asset value;

(b) a second price that is equal to said net asset value; and

(c) a third price that is at a specified premium to said net asset value; and

one or more processors, executing said modules.

54. A computer program product comprising a computer useable medium having computer program logic recorded thereon for enabling a processor to make a market in an exchange-listed financial instrument for which a net asset value can be calculated on or away from an exchange, the computer program logic comprising;

first computer readable program code module to enable a processor to receive an order to buy or sell an exchange-listed financial instrument for which a net asset value can be calculated priced relative to a net asset value to be calculated and published at or after a specified time;

second computer readable program code module to enable a processor to match said received order with at least one of (i) a complementary sell or buy order from another party to trade said exchange-listed financial instrument at or relative to said net asset value calculation, (ii) a complementary offer or bid posted in an organized market for trading said instrument at or relative to said net asset value calculation and (iii) a complementary offer or bid to trade with a book of a market maker; and

third computer readable program code module to enable a processor to determine an execution price for said matched order, wherein said execution price is from a set of prices that are specified relative to said net asset value, said set of prices comprising (a) a first price that is at a specified discount to said net asset value;

(b) a second price that is equal to said net asset value; and

(c) a third price that is at a specified premium to said net asset value.

55. A computer program product comprising a computer useable medium having computer program logic recorded thereon for enabling a processor to manage an investment fund having (i) a portfolio comprised of any combination of financial instruments and cash and (ii) a general class of fund shares tradable in a secondary market, wherein assets enter and are removed from said investment fund through an exchange-traded fund share creation and redemption process governed by a set of rules, the computer program logic comprising:

first computer readable program code module to enable a processor to at least one of specify and deliver information that identifies a combination of financial instruments and cash to be exchanged for a specified number of shares of said general class of fund shares;

second computer readable program code module to enable a processor to receive a notice of commitment to create or redeem shares of said general class of fund shares by a specified time prior to a time prices are determined for calculating a net asset value of said general class of fund shares and calculating a value of said financial instruments and cash exchangeable for a specified number of shares of said general class of fund shares; and

third computer readable program code module to enable a processor to at least one of (i) create new shares of said general class of fund shares by receiving any combination of financial instruments and cash exchangeable for said new shares; and

(ii) redeem existing shares of said general class of fund shares by delivering any combination of financial instruments and cash exchangeable for said existing shares.

56. The computer program product of claim 55, wherein greater than a specified percentage of said financial instruments held by said investment fund are traded on one or more primary markets outside of the United States, and wherein said financial instruments trade on said primary market after receipt of said notice of commitment to create or redeem shares and before prices are determined for calculation of a net asset value of said fund shares and calculation of a value of said financial instruments.

57. The computer program product of claim 55, further comprising:

fourth computer readable program code module to enable a processor to at least one of (i) purchase one or more financial instruments and (ii) sell one or more financial instruments to modify said portfolio prior to a time prices are determined for calculating a net asset value of said general class of fund shares and calculating a value of said financial instruments and cash exchangeable for a specified number of shares of said general class of fund shares.

58. The computer program product of claim 55, further comprising:

fourth computer readable program code module to enable a processor to reject said received notice of commitment to create shares if said created shares would increase the fund size beyond a maximum fund size stated in terms of at least one of (i) a total number of shares of said general class of fund shares and equivalents and (ii) a total value of fund assets.

59. The computer program product of claim 58, wherein said maximum fund size is based on at least one of:

(i) a measure of liquidity of holdings in said fund portfolio;

(ii) an imposed limit on expansion of said investment fund set in a prospectus of said fund, and (iii) an imposed limit on expansion set by a fund board.

60. The computer program product of claim 58, wherein a management fee to be paid to an investment manager of said investment fund is changed based on at least one of (i) the absolute or relative performance of said investment fund and (ii) a premium or discount from net asset value at which said fund shares trade in said secondary market.

61. The computer program product of claim 55, further comprising:

fourth computer readable program code module to enable a processor to at least one of calculate and distribute an intra-day fund share net asset value proxy based on said fund portfolio during a trading day at a specified interval greater than a 15-second interval.

62. The computer program product of claim 61, further comprising:

fifth computer readable program code module to enable a processor to at least one of calculate and distribute modified supplementary net asset value proxies at more frequent intervals within said specified interval.

63. The computer program product of claim 62, wherein said modified supplementary net asset value proxies are computed by at least one of (i) adding random values to and (ii) subtracting random values from said intra-day fund share net asset value proxy at times within said specified interval.

64. A computer program product comprising a computer useable medium having computer program logic recorded thereon for enabling a processor to manage an investment fund having (i) a portfolio comprised of any combination of financial instruments and cash and (ii) a general class of fund shares tradable in a secondary market, wherein assets enter and are removed from said investment fund through an exchange-traded fund share creation and redemption process governed by a set of rules, the computer program logic comprising:

first computer readable program code module to enable a processor to at least one of specify and deliver information that identifies a combination of financial instruments and cash to be exchanged for a specified number of shares of said general class of fund shares;

second computer readable program code module to enable a processor to receive a notice of commitment to create or redeem shares of said general class of fund shares by a specified time prior to a time prices are determined for calculating a net asset value of said general class of fund shares and calculating a value of said financial instruments and cash exchangeable for a specified number of shares of said general class of fund shares;

third computer readable program code module to enable a processor to at least one of (i) create new shares of said general class of fund shares by receiving any combination of financial instruments and cash exchangeable for said new shares; and

(ii) redeem existing shares of said general class of fund shares by delivering any combination of financial instruments and cash exchangeable for said existing shares; and

fourth computer readable program code module to enable a processor to at least one of (i) purchase one or more financial instruments and (ii) sell one or more financial instruments to modify said portfolio prior to a time prices are determined for calculating a net asset value of said general class of fund shares and calculating a value of said financial instruments and cash exchangeable for a specified number of shares of said general class of fund shares.

65. The computer program product of claim 64, wherein greater than a specified percentage of said financial instruments held by said investment fund are traded on one or more primary markets outside of the United States, and wherein said financial instruments trade on said primary market after receipt of said notice of commitment to create or redeem shares and before prices are determined for calculation of a net asset value of said fund shares and calculation of a value of said financial instruments.

66. The computer program product of claim 64, further comprising:

fifth computer readable program code module to enable a processor to at least one of calculate and distribute an intra-day fund share net asset value proxy based on said fund portfolio during a trading day at a specified interval greater than a 15-second interval.

67. A computer program product comprising a computer useable medium having computer program logic recorded thereon for enabling a processor to manage an investment fund having (i) a portfolio comprised of any combination of financial instruments and cash and (ii) a general class of fund shares tradable in a secondary market, wherein assets enter and are removed from said investment fund through an exchange-traded fund share creation and redemption process governed by a set of rules, the computer program logic comprising:

first computer readable program code module to enable a processor to at least one of specify and deliver information that identifies a combination of financial instruments and cash to be exchanged for a specified number of shares of said general class of fund shares;

second computer readable program code module to enable a processor to receive a notice of commitment to create or redeem shares of said general class of fund shares by a specified time prior to a time prices are determined for calculating a net asset value of said general class of fund shares and calculating a value of said financial instruments and cash exchangeable for a specified number of shares of said general class of fund shares;

third computer readable program code module to enable a processor to at least one of (i) create new shares of said general class of fund shares by receiving any combination of financial instruments and cash exchangeable for said new shares; and

(ii) redeem existing shares of said general class of fund shares by delivering any combination of financial instruments and cash exchangeable for said existing shares;

fourth computer readable program code module to enable a processor to at least one of (i) purchase one or more financial instruments and (ii) sell one or more financial instruments to modify said portfolio prior to a time prices are determined for calculating a net asset value of said general class of fund shares and calculating a value of said financial instruments and cash exchangeable for a specified number of shares of said general class of fund shares; and

fifth computer readable program code module to enable a processor to at least one of calculate, distribute, and receive an intra-day fund share net asset value proxy based on said fund portfolio during a trading day at a specified interval greater than a 15-second interval.

68. The computer program product of claim 67, further comprising:

sixth computer readable program code module to enable a processor to at least one of calculate and distribute modified supplementary net asset value proxies at more frequent intervals within said specified interval.

69. The computer program product of claim 68, wherein said modified supplementary net asset value proxies are computed by at least one of (i) adding random values to and (ii) subtracting random values from said intra-day fund share net asset value proxy at times within said specified interval.

70. The computer program product of claim 67, wherein greater than a specified percentage of said financial instruments held by said investment fund are traded on one or more primary markets outside of the United States, and wherein said financial instruments trade on said primary market after receipt of said notice of commitment to create or redeem shares and before prices are determined for calculation of a net asset value of said fund shares and calculation of a value of said financial instruments.

71. The computer program product of claim 67, further comprising:

sixth computer readable program code module to enable a processor to reject said received notice of commitment to create shares if said created shares would increase the fund size beyond a maximum find size stated in terms of at least one of (i) a total number of shares of said general class of fund shares and equivalents and (ii) a total value of fund assets.

72. The computer program product of claim 71, wherein a management fee to be paid to an investment manager of said investment fund is changed based on at least one of (i) the absolute or relative performance of said investment fund and (ii) a premium or discount from net asset value at which said fund shares trade in said secondary market.

73. A computer program product comprising a computer useable medium having computer program logic recorded thereon for enabling a processor to make markets in shares of an investment fund having (i) a portfolio comprised of any combination of financial instruments and cash and (ii) a general class of fund shares tradable in a secondary market, wherein an authorized participant at least one of creates and redeems shares of said investment fund through an exchange-traded fund share creation and redemption process governed by a set of rules, the computer program logic comprising:

first computer readable program code module to enable a processor to receive information that identifies a combination of financial instruments and cash to be exchanged for a specified number of shares of said general class of fund shares;

second computer readable program code module to enable a processor to deliver a notice of commitment to create or redeem shares of said general class of fund shares by a specified time prior to a time prices are determined for calculating a net asset value of said general class of fund shares and calculating a value of said financial instruments and cash exchangeable for a specified number of shares of said general class of fund shares; and

third computer readable program code module to enable a processor to at least one of (i) deliver any combination of financial instruments and cash in exchange for new shares of said general class of fund shares and (ii) receive any combination of financial instruments and cash in exchange for existing shares of said general class of fund shares.

74. The computer program product of claim 73, further comprising:

fourth computer readable program code module to enable a processor to receive an intra-day fund share net asset value proxy based on said fund portfolio during a trading day at a specified interval greater than a 15-second interval.

75. The computer program product of claim 74, further comprising:

fifth computer readable program code module to enable a processor to receive modified supplementary net asset value proxies at more frequent intervals within said specified interval.

76. The computer program product of claim 75, wherein said modified supplementary net asset value proxies are computed by at least one of (i) adding random values to and (ii) subtracting random values from said intra-day fund share net asset value proxy at times within said specified interval.

77. The computer program product of claim 73, wherein said rules permit a rejection of said delivered notice of commitment to create shares if said created shares would increase the fund size beyond a maximum fund size stated in terms of at least one of (i) a total number of shares of said general class of fund shares and equivalents and (ii) a total value of fund assets, and wherein an authorized participant that redeems fund shares after said investment fund has reached said maximum fund size is permitted to re-create shares.

78. A computer program product comprising a computer useable medium having computer program logic recorded thereon for enabling a processor to trade shares of an investment fund having (i) a portfolio comprised of any combination of financial instruments and cash and (ii) a general class of fund shares tradable in a secondary market, wherein assets enter and are removed from said investment fund through an exchange-traded fund share creation and redemption process, the computer program logic comprising:

first computer readable program code module to enable a processor to trade one or more shares of said general class of fund shares of said investment fund on a secondary market;

second computer readable program code module to enable a processor to execute a trade for said one or more shares priced relative to a net asset value or net asset value proxy to be calculated and published at or after a specified time;

third computer readable program code module to enable a processor to determine a price for said executed trade, wherein said determined price is from a set of prices that are relative to said net asset value or said net asset value proxy, said set of prices comprising (a) a first price that is at a specified discount to said net asset value or said net asset value proxy;

(b) a second price that is equal to said net asset value or said net asset value proxy; and

(c) a third price that is at a specified premium to said net asset value or said net asset value proxy; and

fourth computer readable program code module to enable a processor to submit said executed trade for settlement at said determined price.

79. A computer program product comprising a computer useable medium having computer program logic recorded thereon for enabling a processor to manage an investment fund having a portfolio comprised of any combination of financial instruments and cash and a general class of fund shares tradable in a secondary market, wherein assets enter and are removed from said investment fund through an exchange-traded fund share creation and redemption process governed by a set of rules, the computer program logic comprising:

first computer readable program code module to enable a processor to at least one of specify and deliver information consisting of a designated combination of financial instruments and cash to be exchanged for a specified number of shares of said general class of fund shares;

second computer readable program code module to enable a processor to receive a notice of commitment to create or redeem shares of said general class of fund shares by a specified time prior to a time prices are determined for calculating a net asset value of said general class of fund shares and calculating a value of said financial instruments and cash exchangeable for a specified number of shares of said general class of fund shares; and

third computer readable program code module to enable a processor to at least one of (i) create new shares of said general class of fund shares by receiving any combination of financial instruments and cash exchangeable for said new shares; and

(ii) redeem existing shares of said general class of fund shares by delivering any combination of financial instruments and cash exchangeable for said existing shares,

wherein said fund portfolio is divided into (i) one of a first segment represented by said designated financial instruments and a first segment represented by said designated financial instruments and cash and (ii) an undisclosed second segment representing any combination of long and short or short equivalent positions and cash in said fund portfolio, and wherein a long investment in appropriately sized positions in said first and second segments replicates a net asset value performance of a specified number of said general class of fund shares.