Patent ID: 7574393

Claim:
A computer implemented method for balancing an index of a plurality of hedge funds, the method comprising: calculating, by a computer system, a hedge fund weight for a hedge fund included in the index; determining, by the computer system, if the calculated hedge fund weight exceeds a hedge fund weight maximum, the hedge fund weight maximum corresponding to a maximum proportion of the total index that can be allocated to a particular fund; determining, by the computer system, if the calculated hedge fund weight is less than a minimum hedge fund weight, the minimum hedge fund weight corresponding to a ratio of a required capacity or exposure to the net exposure of the index; and adjusting the percentage of the index allocated to the particular fund if the calculated hedge fund weight exceeds the hedge fund weight maximum or is less than the minimum hedge fund weight; wherein calculating the hedge fund weight comprises calculating the hedge fund weight according to ω m e =ω m b (1+ρ m )/(1+κ m ) wherein ω m e corresponds to a Fund Weight at the end of a Target Month m; ω m b corresponds to a Fund Weight at the beginning of the Target Month m; ρ m corresponds to a the Net Return of the Index Fund for the Target Month m; and κ m corresponds to an Index Return for the Target Month m.