Patent ID: 7657481

Claim:
A computer implemented method comprising; grouping hedge funds in a hedge fund index into a plurality of strategy groups, the strategy groups comprised of hedge funds possessing similar trading strategies; calculating, using the computer, for each of the plurality of strategy groups included in the hedge fund index, a target strategy weight based on a ratio of assets under management for eligible funds for a particular strategy group to assets under management for eligible funds for the plurality of strategy groups included in the hedge fund index; providing a target strategy weight limit for each of the strategy groups included in the hedge fund index; comparing the calculated target strategy weight to the target strategy weight limit for each of the strategy groups included in the index; and setting a target weight percentage for each of the plurality of strategy groups included in the index, wherein setting the target weight percentage for a particular strategy group comprises: if the calculated target strategy weight for the particular strategy group is greater than the target strategy weight limit for the particular strategy group, setting a target weight percentage for the particular strategy group based on the target strategy weight limit; and if the calculated target strategy weight for the particular strategy group is less than the target strategy weight limit for the particular strategy group, setting the target weight percentage for the particular strategy group based on the calculated target strategy weight.