Patent ID: 7769674

Claim:
A computer implemented method, comprising: producing a creation unit for a plurality of tradable index shares that tracks changes in a value of a securities index, by: recording by one or more computers, information related to receipt of derivative financial instruments, the derivative financial instruments being a long index futures contract; and a downside protection instrument selected from the group consisting of a long put index options contract and a long put index futures options contract, with the downside protection instrument having a strike price that is the same as a mark price of the long index futures contract and an expiration date that is the same as an expiration date of the long index futures contract; and recording by the one or more computers, information related to receipt of an initial amount of cash, the initial amount of cash at the time of producing the creation unit being substantially equal to the mark price of the long index futures contract multiplied by a contract multiplier of the long index futures contract; generating by the one or more computers the plurality of tradable index shares backed by fractional interests in the creation unit; accessing by the one or more computers, one or both current values of the derivative financial instruments and the initial amount of cash; and calculating, by the one or more computers, a value for the tradable index shares based on one or both of the current values of the derivative financial instruments and the initial amount of cash.