Exchange trading of mutual funds or other portfolio basket products
First Claim
1. A method of hedging investment risk in an actively managed exchange traded fund, comprising:
- determining factor information about the actively managed exchange traded fund holdings by a computer system, which measures sensitivities of a basket of securities containing at least a portion of the actively managed exchange traded fund holdings to factors that affect the value of the fund holdings;
determining a first portfolio of financial instruments by the computer system; and
determining a second portfolio of financial instruments comprising a supplemental hedging portfolio by the computer system, 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 the 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;
wherein the specific securities in the actively managed exchange traded fund are unknown to an entity who uses the hedging portfolio as a basis for determining a hedge against an investment in one or more shares of 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
28 Claims
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1. A method of hedging investment risk in an actively managed exchange traded fund, comprising:
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determining factor information about the actively managed exchange traded fund holdings by a computer system, which measures sensitivities of a basket of securities containing at least a portion of the actively managed exchange traded fund holdings to factors that affect the value of the fund holdings; determining a first portfolio of financial instruments by the computer system; and determining a second portfolio of financial instruments comprising a supplemental hedging portfolio by the computer system, 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 the 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; wherein the specific securities in the actively managed exchange traded fund are unknown to an entity who uses the hedging portfolio as a basis for determining a hedge against an investment in one or more shares of the actively managed exchange traded fund. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8)
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9. A computer system for determining a hedging portfolio for hedging investments in financial instruments comprising shares of an actively managed exchange traded fund, wherein the computer system is used by an entity who trades shares of the actively managed exchange traded fund, said computer system comprising:
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a computer that determines a first portfolio of financial instruments and that determines sensitivities to factors that affect the value of the actively managed exchange traded fund holdings; and a computer that determines a second portfolio of financial instruments comprising a supplemental hedging portfolio, wherein the supplemental hedging portfolio combined with the first portfolio of financial instruments results in a hedging portfolio with substantially the same sensitivities to the 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;
wherein the specific securities in the actively managed exchange traded fund are unknown to the entity. - View Dependent Claims (10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20)
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21. A method of hedging investment risk in an actively managed exchange traded fund, comprising:
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determining a basket portfolio of financial instruments by a computer system; determining factor information about a set of securities consisting of at least a portion of the actively managed exchange traded fund holdings by the computer system, wherein the factor information measures sensitivities of the set of securities to factors that affect the value of the fund holdings; and determining a supplemental hedging portfolio by the computer system, wherein the supplemental hedging portfolio in combination with the basket portfolio has substantially the same sensitivities to the factors that affect the value of the actively managed exchange traded fund as the actively managed exchange traded fund, and wherein the supplemental hedging portfolio does not reveal the set of securities; wherein the specific securities in the set of securities are unknown to an entity who uses the supplemental hedging portfolio as a basis for determining a hedge against an investment in one or more shares of the actively managed exchange traded fund. - View Dependent Claims (22, 23, 24, 25, 26, 27, 28)
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Specification