Patent ID: 7702558

Claim:
An investment method comprising entering into, by an investor, an arrangement with a derivative counterparty in association with a portfolio having a plurality of investments managed by a management entity; receiving market data with a computer system; processing the market data with the computer system to set at least one value for said portfolio including at least a minimum protection value for said portfolio; determining one or more interim settlement periods with a transaction computer system, wherein said one or more interim settlement periods for said portfolio are based on a maturity date of said arrangement between said investor and said derivative counterparty; processing said market data by said computer system to set a cap level for said portfolio based on at least said minimum protection value of said portfolio, wherein said investor is not entitled to performance of said portfolio above said cap level, wherein the derivative counterparty is entitled to performance of said portfolio above said cap level, wherein said investor is entitled to a minimum value that is greater than a market value of said portfolio when a value of said portfolio is less than said minimum protection value upon the maturity date; and, resetting at least one of said values of said portfolio in association with at least one of said interim settlement periods.