Patent ID: 7574399
Filing Date: 2009-08-11
Classification: G06Q

Abstract:
1. A method of estimating an intra-day approximation of the net asset value (NAV) of actively managed exchange traded funds comprising the steps: grouping securities into groups of securities for which there is some basis to believe that their prices might move together; and for each group performing a principal component analysis (PCA) over some percentage of variation (y %) to arrive at a subset of the principal components as the factors for the particular group using a computer; estimating an intra-day approximation of NAV of the actively managed fund of a particular day by estimating factor sensitivities of the subset of factors in each of the groups for a particular actively managed fund using a computer, wherein the intra-day approximation of NAV of the actively managed fund does not reveal the assets of the actively managed fund portfolio to an investor who trades shares of the actively managed fund.