System and method of managing risk in an investment fund

A non-transitory media comprising:

• a computer program executing on a computer for
• executing a first selection to determine a primary investment in accordance with a primary investment objective;
• executing a second selection to determine a secondary investment objective that is a financial opposite of the primary investment objective;
• executing a third selection to determine a secondary investment in accordance with the secondary investment objective;
• performing a rebalancing cycle comprising
• (i) at a first point in time,
• (1) calculating a net asset value of the investment pair according to formula EQ.NAV=(EQ.primary+EQ.secondary);
• (2) calculating a nominal net asset value according to formula NN.NAV=(HU.primary*PI.market price)+EQ.secondary;
• (3) calculating an actual leverage factor LF.actual according to formula LF.actual=(NN.NAV/EQ.NAV);
• (ii) at a second point in time, the second point in time being subsequent in time to the first point in time, calculating a rebalance trade RBTR of the primary investment according to formula RBTR=(EQ.NAV*LF.target−NN.NAV);
• wherein
• EQ.primary is an equity of the primary investment;
• EQ.secondary is an equity of the secondary investment;
• HU.primary is a number of holding units of the primary investment;
• and
• PI.marketprice is a market price per holding unit of the primary investment.

A method of managing risk in an investment fund,

• the investment fund comprising an investment pair, the investment pair comprising a primary investment and a secondary investment that is the financial opposite of the first investment, the investment fund comprising a target leverage factor LF.target.
• the method comprising the steps of:
• (a) at a first point in time,
• (i) calculating by a computer a net asset value of the investment pair according to formula EQ.NAV=(EQ.primary+EQ.secondary);
• (ii) calculating a nominal net asset value according to formula NN.NAV=(HU.primary*PI.market price+EQ.secondary);
• (iii) calculating by a computer an actual leverage factor LF.actual according to formula LF.actual=(NN.NAV/EQ.NAV);
• (b) at a second point in time, the second point in time being subsequent in time to the first point in time, calculating by a computer of a rebalance trade RBTR of the primary investment according to formula RBTR=(EQ.NAV*LF.target−NN.NAV);
• wherein
• EQ.primary is an equity of the primary investment;
• EQ.secondary is an equity of the secondary investment;
• HU.primary is a number of holding units of the primary investment;
• and
• PI.marketprice is a market price per holding unit of the primary investment.

A method of managing risk in an investment fund, the investment fund comprising a target leverage factor LF.target, the method comprising the steps of:

• (a) executing a first selection on a computer to determine a primary investment in accordance with a primary investment objective;
• (b) executing a second selection on a computer to determine a secondary investment objective that is a financial opposite of the primary investment objective;
• (c) executing a third selection on a computer to determine a secondary investment in accordance with the secondary investment objective;
• (d) performing a rebalancing cycle comprising
• (i) at a first point in time,
• (1) calculating by a computer a net asset value of the investment pair according to formula EQ.NAV=(EQ.primary+EQ.secondary);
• (2) calculating by a computer a nominal net asset value according to formula NN.NAV=(HU.primary*PI.market price+EQ.secondary);
• (3) calculating by a computer an actual leverage factor LF.actual according to formula LF.actual=(NN.NAV/EQ.NAV);
• (ii) at a second point in time, the second point in time being subsequent in time to the first point in time, calculating by a computer of a rebalance trade RBTR of the primary investment according to formula RBTR=(EQ.NAV*LF.target−NN.NAV);
• wherein
• EQ.primary is an equity of the primary investment;
• EQ.secondary is an equity of the secondary investment;
• HU.primary is a number of holding units of the primary investment;
• and
• PI.marketprice is a market price per holding unit of the primary investment.