Exchange trading of mutual funds or other portfolio basket products
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United States of America Patent
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Sep 20, 2011
Issued Date -
N/A
app pub date -
Jun 25, 2010
filing date -
Mar 27, 2000
priority date (Note) -
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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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