System and method for providing an index linked to separately managed accounts

1. A system, comprising:

a memory operable to store a master index that is based at least in part on:

a separately managed account (SMA) index;

a market index;

a first weight associated with the SMA index; and

a second weight associated with the market index; and

a processor communicatively coupled to the memory and operable to:

update the first weight based at least in part on the market index;

update the second weight based at least in part on the SMA index;

update the master index based at least in part on the SMA index, the market index, the updated first weight, and the updated second weight;

store the updated master index in the memory; and

facilitate processing of a trading order based at least in part on the updated master index.

2. The system of claim 1 , wherein:

the first weight associated with the SMA index is updated from a prior weight associated with the SMA index; and

updating the first weight comprises:

determining a return of the market index over a predetermined interval of time;

determining a quotient of the determined return divided by a current value of the SMA index; and

subtracting the determined quotient from the prior weight.

3. The system of claim 1 , wherein:

the second weight associated with the market index is updated from a prior weight associated with the market index; and

updating the second weight comprises:

determining a return of the SMA index over a predetermined interval of time;

determining a quotient of the determined return divided by a current value of the market index; and

subtracting the determined quotient from the prior weight.

4. The system of claim 1 , wherein the master index is further based at least in part on a financing value.

5. The system of claim 1 , wherein the financing value represents a financing cost associated with obtaining exposure to the market index and the SMA index.

6. The system of claim 1 , wherein updating the master index comprises:

determining a first product of a return value of the market index multiplied by the updated second weight;

determining a second product of the SMA index multiplied by the updated first weight; and

adding the first product and the second product.

7. The system of claim 1 , wherein:

the SMA index is based at least in part on a plurality of SMAs; and

the processor is further operable to:

determine a respective value of each of the plurality of SMAs; and

determine the SMA index based at least in part on a weighted average of the determined values of each of the plurality of SMAs.

8. The system of claim 7 , wherein:

a particular SMA is associated with an owner; and

the processor is further operable to:

determine a first return of the particular SMA over a configurable period of time;

determine a second return of the SMA index over the configurable period of time; and

execute a swap between the owner and a counterparty, wherein the swap comprises:

transferring a first amount from the owner to the counterparty, the first amount corresponding to the determined first return; and

transferring a second amount from the counterparty to the owner, the second amount corresponding to the determined second return.

9. The system of claim 1 , wherein the processor is further operable to:

cause one or more clients to display the updated master index; and

receive a trading order for an investment instrument that is associated with the master index, wherein the investment instrument is at least one of the following:

a futures contract;

a forward;

an option; and

a structured note.

10. A method, comprising:

storing in at least one memory a master index that is based at least in part on:

a separately managed account (SMA) index;

a market index;

a first weight associated with the SMA index; and

a second weight associated with the market index;

updating the first weight based at least in part on the market index;

updating the second weight based at least in part on the SMA index;

updating the master index based at least in part on the SMA index, the market index, the updated first weight, and the updated second weight, the updating of the master index performed by at least one processor;

storing the updated master index; and

facilitating processing of a trading order based at least in part on the updated master index.

11. The method of claim 10 , wherein:

the first weight associated with the SMA index is updated from a prior weight associated with the SMA index; and

updating the first weight comprises:

determining a return of the market index over a predetermined interval of time;

determining a quotient of the determined return divided by a current value of the SMA index; and

subtracting the determined quotient from the prior weight.

12. The method of claim 10 , wherein:

the second weight associated with the market index is updated from a prior weight associated with the market index; and

updating the second weight comprises:

determining a return of the SMA index over a predetermined interval of time;

determining a quotient of the determined return divided by a current value of the market index; and

subtracting the determined quotient from the prior weight.

13. The method of claim 10 , wherein the master index is further based at least in part on a financing value.

14. The method of claim 10 , wherein the financing value represents a financing cost associated with obtaining exposure to the market index and the SMA index.

15. The method of claim 10 , wherein updating the master index comprises:

determining a first product of a return value of the market index multiplied by the updated second weight;

determining a second product of the SMA index multiplied by the updated first weight; and

adding the first product and the second product.

16. The method of claim 10 , wherein the SMA index is based at least in part on a plurality of SMAs, and further comprising:

determining a respective value of each of the plurality of SMAs; and

determining the SMA index based at least in part on a weighted average of the determined values of each of the plurality of SMAs.

17. The method of claim 16 , wherein a particular SMA is associated with an owner, and further comprising:

determining a first return of the particular SMA over a configurable period of time;

determining a second return of the SMA index over the configurable period of time; and

executing a swap between the owner and a counterparty, wherein the swap comprises:

transferring a first amount from the owner to the counterparty, the first amount corresponding to the determined first return; and

transferring a second amount from the counterparty to the owner, the second amount corresponding to the determined second return.

18. The method of claim 10 , further comprising:

causing one or more clients to display the updated master index: and

receiving a trading order for an investment instrument that is associated with the master index, wherein the investment instrument is at least one of the following:

a futures contract;

a forward;

an option; and

a structured note.

19. A computer readable medium comprising software that, when executed by a processor, is operable to:

store a master index that is based at least in part on:

a separately managed account (SMA) index;

a market index;

a first weight associated with the SMA index; and

a second weight associated with the market index;

update the first weight based at least in part on the market index;

update the second weight based at least in part on the SMA index:

update the master index based at least in part on the SMA index, the market index. the updated first weight, and the updated second weight;

store the updated master index; and

facilitate processing of a trading order based at least in part on the updated master index.

20. The computer readable medium of claim 19 , wherein:

the SMA index is based at least in part on a plurality of SMAs; and

the software is further operable when executed to:

determine a respective value of each of the plurality of SMAs; and

determine the SMA index based at least in part on a weighted average of the determined values of each of the plurality of SMAs.