Systems and methods for trading actively managed funds
AssigneeNyse Mkt LLC
InventorsClifford J. Weber, Carol Alexander, Jason Macqueen, Charles A. Baker, Gary L. Gastineau, Terry Norman
Life of this patent
Estimating the term…
Abstract
The invention provides systems and methods for intra-day trading of actively managed exchange traded funds (AMETFs). The invention provides creation and redemption structures for AMETF shares that allow arbitrage, intra-day value estimations for AMETF shares, and hedging portfolios for hedging risks associated with trading AMETF shares, all without requiring disclosure of the specific assets underlying the AMETF.
Claims10
A method executed by a computer system to calculate an estimated value for a traded fund without publicly disclosing the assets of the traded fund, where the computer system includes one or more computers programmed to calculate an estimated value of the traded fund, the method comprising:
- determining, by a computer system, a set of risk factors from a risk factor model;
- receiving or calculating by the computer system a set of traded fund sensitivity coefficients, wherein each traded fund sensitivity coefficient specifies an exposure of a traded fund to one of the risk factors in the set of risk factors;
- calculating by the computer system weights of securities to create a proxy portfolio that does not reveal the assets of the traded fund and has sensitivity coefficients that are substantially equal to the sensitivity coefficients of the traded fund;
- calculating by the computer system the estimated value for the traded fund based on the value of the proxy portfolio where the identities of the assets of the traded fund are not disclosed to an investor who trades shares of the traded fund on a secondary market, and the assets of the traded fund are not publicly disclosed on a daily basis;
- and
- publishing the estimated value of the traded fund periodically throughout a trading day.
A computer-implemented method, comprising:
- operating a computer system to determine a set of risk factors from a risk factor model,
- receiving, by a computer system, a set of fund sensitivity coefficients and storing the set of fund sensitivity coefficients on computer readable media, wherein each fund sensitivity coefficient specifies the exposure of a fund to one of the risk factors,
- creating, by a computer system, a proxy portfolio having sensitivity coefficients that are substantially equal to the sensitivity coefficients of the fund, where the proxy portfolio does not reveal the fund assets,
- calculating, by a computer system, an estimated value for the fund based on the value of the proxy portfolio, wherein the calculating the estimated value is repeated periodically throughout a trading period, and
- publishing, by a computer system, the estimated value for the fund periodically throughout the trading period for use by at least a first entity to trade shares of the fund on a secondary market, wherein the estimated value is published without disclosing the fund assets.
A method executed by a computer system to determine an estimated value of a traded fund whose assets are not publicly disclosed on a daily basis, where the computer system includes one or more computers and is programmed to determine an estimated value of the traded fund, the method comprising:
- determining, by the computer system, a set of risk factors form a risk factor model;
- determining by the computer system a set of traded fund sensitivity coefficients, wherein each traded fund sensitivity coefficient specifies the exposure of a traded fund to one of the risk factors in the set of risk factors;
- storing the traded fund sensitivity coefficients on computer readable media;
- creating by the computer system a proxy portfolio that does not reveal the assets of the traded fund and has sensitivity coefficients that are substantially equal to the sensitivity coefficients of the traded fund;
- calculating by the computer system the estimated value of the traded fund based on the value of the proxy portfolio, where the identities of the assets of the traded fund are not publicly disclosed on a daily basis to an investor who trades shares of the traded fund on a secondary market;
- and
- publicly disclosing the estimated value of the traded fund periodically throughout a trading day.
Dependencies are inferred from the claim text.