Patent ID: 7747512
Filing Date: 2010-06-29
Classification: G06Q,Y10S

Abstract:
1. A method of hedging investment risk in an actively managed exchange traded fund, comprising: determining factor information about the actively managed exchange traded fund holdings by a computer system, which measures sensitivities of a basket of securities containing at least a portion of the actively managed exchange traded fund holdings to factors that affect the value of the fund holdings; determining a first portfolio of financial instruments by the computer system; and determining a second portfolio of financial instruments comprising a supplemental hedging portfolio by the computer system, wherein the second portfolio of financial instruments combined with the first portfolio of financial instruments results in a hedging portfolio with substantially the same sensitivities to the factors that affect the value of the actively managed exchange traded fund holdings as the actively managed exchange traded fund holdings, and wherein the hedging portfolio does not reveal the fund holdings; wherein the specific securities in the actively managed exchange traded fund are unknown to an entity who uses the hedging portfolio as a basis for determining a hedge against an investment in one or more shares of the actively managed exchange traded fund.