Patent ID: 7555453

Claim:
A computer implemented method for determining adjustments to weights of hedge funds in an index, the method comprising: calculating, by a computer system, a projected hedge fund weight for hedge funds included in the index, the projected hedge fund weight based on an estimate of a weight of the hedge fund over a period; determining, by the computer system, adjustments to make to one or more of the hedge fund weights based on hedge fund weight limits; determining, by the computer system, adjustments to make to strategy weights based on a strategy weight limit; and determining, by the computer system, normalization adjustments to make to the index to provide a sum of the projected weights for the funds in the index to equal about 100% wherein determining what, if any, adjustments need to be made such that a sum of the projected weights for the funds in the index is equal to about 100% comprises determining an aggregate reallocation weight; wherein the aggregate reallocation weight (arw m ) comprises arw m = 1 - ∑ f = 1 x ⁢ ⁢ pfw m bf - ∑ f = 1 x ⁢ ⁢ rw m f , wherein x corresponds to a total number of Index Funds in the Index for the month immediately preceding Target Month m, pfw m bf corresponds to a Projected Fund Weight of Index Fund f at the beginning of Target Month m, and rw m f corresponds to a Residual Weight of Index Fund f for Target Month m.