Fair value model based system, method, and computer program product for valuing foreign-based securities in a mutual fund

A method for determining fair value prices of financial securities of international markets, comprising the steps of:

• at a computer, receiving electronic data for a pre-selected universe of securities of an international market;
• at said computer, computing overnight returns of each security in the selected universe over a predetermined past period of time;
• at said computer, determining out-of-sample or back-testing performance of a plurality of return factors;
• at said computer, selecting at least one return factor of a domestic financial market from the plurality of return factors, based on at least the determined out-of-sample or back-testing performance;
• at said computer, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time;
• at said computer, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return;
• and
• transferring one or more of the calculated return factor coefficients to a third party via an electronic network;
• wherein the calculated return factor coefficients can be used in conjunction with current return factor daily return values to predict current overnight returns for all securities in the selected universe of securities, which predicted current overnight returns can be used in conjunction with closing prices on said particular international market of each security of said selected universe to determine a fair value price of each security of said selected universe.