Patent ID: 7472086

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: providing a regulated investment company; selecting a set of put option-based instruments having a first underlying reference and a 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, so that the set of put option-based instruments and the set of call option-based instruments collectively meet a diversification requirement for the regulated investment company; determining using an option-based instrument calculator: a first value of the set of put option-based instruments at initial investment of the set of put option-based instruments; and a second value of the set of call option-based instruments at initial investment of the set of call option-based instruments, so that the sum of the first value and the second value is less than the initial investment value; holding positions using the regulated investment company in the set of put option-based instruments and the set of call option-based instruments, so that the sets of put option-based instruments and call option-based instruments provide the at least a portion of the initial investment value at maturity of the investment; and making available the at least a portion of the initial investment value to the one or more investors upon the maturity of the investment.