Patent ID: 8209252

Claim:
A method of protecting at least a portion of an initial investment value of an investment made by one or more investors, comprising the steps of: (a) determining using an option-based instrument calculator: (i) a first value of a first set of put option-based instruments at initial investment in the first set of put option-based instruments, the first set of put option-based instruments having a first underlying reference; (ii) a second value of a first set of call option-based instruments at initial investment in the first set of call option-based instruments, the first set of call option-based instruments having a second underlying reference, the first underlying reference being the same as or substantially correlated to the second underlying reference; and (iii) a third value of a second set of option-based instruments at initial investment in the second set of option-based instruments, the second set of option-based instruments having a third underlying reference; so that the sum of the first value, the second value, and the third value is less than the initial investment value; (b) holding positions using a regulated investment company in the first set of put option-based instruments, the first set of call option-based instruments, and the second set of option-based instruments, so that the first set of put option-based instruments and the first set of call option-based instruments provide the at least a portion of the initial investment value at maturity of the investment; and (c) making available the at least a portion of the initial investment value to the one or more investors upon the maturity of the investment.