Method and system for improved fund investment and trading processes

A computer-based method for managing 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 method comprising:

• at least one of specifying and delivering 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;
• receiving a notice of commitment to create or redeem shares of said general class of find 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;
• at least one of (i) creating new shares of said general class of find shares by receiving any combination of financial instruments and cash exchangeable for said new shares;
• and (ii) redeeming existing shares of said general class of fund shares by delivering any combination of financial instruments and cash exchangeable for said existing shares;
• and
• at least one of (i) purchasing one or more financial instruments and (ii) selling 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
• wherein said specifying and delivering steps, said receiving step, said creating and redeeming steps, and said purchasing and selling steps are executed by one or more computers.

A computer-based method for managing 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 method comprising:

• at least one of specifying and delivering 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;
• receiving 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;
• at least one of (i) creating 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) redeeming existing shares of said general class of fund shares by delivering any combination of financial instruments and cash exchangeable for said existing shares;
• at least one of (i) purchasing one or more financial instruments and (ii) selling 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
• at least one of calculating, distributing, and receiving 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;
• and
• wherein said specifying and delivering steps, said receiving step, said creating and redeeming steps, said purchasing and selling steps, and said calculating, distributing, and receiving steps are executed by one or more computers.

A computer-based method for making 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 method comprising:

• receiving 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;
• delivering 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
• at least one of (i) delivering any combination of financial instruments and cash in exchange for new shares of said general class of fund shares and (ii) receiving any combination of financial instruments and cash in exchange for existing shares of said general class of fund shares,
• wherein said receiving step, said delivering step, and said delivering and receiving steps are executed by one or more computers.

A computer-based method for trading 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 find through an exchange-traded fund share creation and redemption process, the method comprising:

• trading one or more shares of said general class of fund shares of said investment fund on a secondary market;
• executing 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;
• determining 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
• submitting said executed trade for settlement at said determined price,
• wherein said trading, executing, determining, and submitting steps are executed on one or more computers.

A computer-based method for managing 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 method comprising:

• at least one of specifying and delivering 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;
• receiving 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
• at least one of (i) creating 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) redeeming 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;
• and
• wherein said specifying and delivering steps, said receiving step, and said creating and redeeming steps are executed on one or more computers.

A computer-based system for managing 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 system comprising:

• a module configured 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;
• a module configured 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
• a module configured 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.

A computer-based system for managing 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 system comprising:

• a module configured 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;
• a module configured 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;
• a module configured 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
• a module configured 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.

A computer-based system for managing 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 system comprising:

• a module configured 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 find shares;
• a module configured 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;
• a module configured to at least one of (i) create new shares of said general class of find 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;
• a module configured 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
• a module configured 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.

A computer-based system for making 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 system comprising:

• a module configured 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;
• a module configured 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
• a module configured 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.

A computer-based system for trading 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 system comprising:

• a module configured to trade one or more shares of said general class of fund shares of said investment fund on a secondary market;
• a module configured 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;
• a module configured 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
• a module configured to submit said executed trade for settlement at said determined price.

A computer-based system for managing 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 system comprising:

• a module configured 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;
• a module configured 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
• a module configured to at least one of (i) create shares of said general class of fund shares by receiving any combination of financial instruments and cash exchangeable for said created shares;
• and (ii) redeem shares of said general class of fund shares by delivering any combination of financial instruments and cash exchangeable for said redeemed 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.