Patent ID: 7756768
Filing Date: 2010-07-13
Classification: G06Q

Abstract:
1. A computer implemented method comprising: providing from an index provider, structured products that provide a rate of return related to changes in a value of a hedge fund index that is based on a plurality of hedge funds; generating a set of hedging investments associated with the structured products to at least partially hedge exposure of the index provider to changes in the value of a hedge fund index, the set of hedging investments being different from the plurality of hedge funds in the hedge fund index; determining, by a computer system, changes in a notional amount comprising a monetary exposure of an index provider to the structured products, the changes in the notional amount comprising one or more of cash flows into the structured products associated with issuance of new structured products and cash flows out of the structured products associated with termination of the outstanding structured products; adjusting, by the computer system, weights of the plurality of hedge funds of the hedge fund index according to a set of rules in relation to performance of the plurality of hedge funds and the changes in the notional amount; and adjusting the set of hedging investments based on the changes in the notional amount by one or both of investing at least some of the cash associated with the issuance of new structured products in the set of hedging investments and liquidating a portion of the hedging investments based on an amount of cash associated with the termination of the outstanding structured products.