Systems and methods for evaluating the integrity of a model portfolio of a financial instrument
View Patent ↗System and methods for checking portfolios used to model the behavior of actively managed funds to facilitate intra-day trading of actively managed exchange traded funds (AMETFs) without revealing the fund assets. Exchange traded notes based on an underlying actively managed fund without revealing the fund assets. Computer means are used to perform a statistical comparison between a model portfolio and the AMETF, and a statistical comparison compares the periodic values, returns, or risk characteristics of the model portfolio and the financial instrument over some period of time, periodically sending or publishing the results of the statistical comparison. The model portfolio does not reveal the assets of the financial instrument.
1. A method, comprising:
evaluating by a computer the integrity of a model portfolio designed to have substantially the same values, returns, or risk characteristics as an exchange traded fund (ETF),
performing a statistical comparison by the computer between said model portfolio and the ETF, wherein the computer compares the periodic values, returns, or risk characteristics of the model portfolio and the ETF over some period of time, and
publicly disclosing the results of the statistical comparison of the ETF periodically throughout a trading day, the results of the statistical comparison used by a trader to price or hedge an investment in the ETF, where the identities of the assets of the ETF are not publicly disclosed on a daily basis to a trader who prices or hedges an investment in the ETF on a secondary market.
2. The method of claim 1 , wherein the ETF is an actively managed exchange traded fund.
3. The method of claim 1 , wherein the statistical comparison between the model portfolio and the ETF is the difference, an average difference, standard deviation of the difference, mean difference, minimum difference, maximum difference, correlation number, R2 value, or value-at-risk (VAR).
4. The method of claim 3 , wherein the statistical comparison between the model portfolio and the ETF compares a subset of the assets in the model portfolio with a subset of the assets in the ETF.
5. The method of claim 3 , wherein the statistical comparison between the model portfolio and the ETF compares all of the assets in the model portfolio with a subset of the assets in the ETF.
6. The method of claim 3 , wherein the statistical comparison between the model portfolio and the ETF compares a subset of the assets in the model portfolio with all of the assets in the ETF.
7. The method of claim 6 , wherein the statistical comparison is sent or published by description as being less than a predetermined interval value.
8. The method of claim 6 , wherein the statistical comparison is sent or published by description as being between two predetermined interval values.
9. The method of claim 3 , wherein the statistical comparison is sent or published in discrete bins.
10. .A system that evaluates the integrity of a model portfolio designed to have substantially the same values, returns, or risk characteristics as a target portfolio, the system comprising:
a first computer programmed to create or receive the model portfolio designed to have substantially the same values, returns, or risk characteristics as the target portfolio, wherein the target portfolio is the target portfolio of an exchange traded fund (ETF), and
a second computer programmed to perform a statistical comparison between the model portfolio and the target portfolio, wherein said statistical comparison compares the periodic values, returns, or risk characteristics of the model portfolio and the target portfolio over some period of time, and said second computer further programmed to periodically send or publish the results of the statistical comparison periodically throughout a trading day,
where the holdings of the target portfolio are unknown to a trader who trades shares of the target portfolio and uses the model portfolio to price or hedge an investment in the target portfolio on a secondary market and the model portfolio does not reveal the assets of the target portfolio.
11. The system of claim 10 , wherein the target portfolio is the portfolio of an actively managed exchange traded fund.
12. The system of claim 10 , wherein the second computer is programmed to perform a statistical comparison between the model portfolio and the ETF selected from an average difference, standard deviation of the difference, mean difference, minimum difference, maximum difference, correlation number, R2 value, and value-at-risk (VAR).
13. The system of claim 12 , wherein the statistical comparison is sent or published in discrete bins.
14. The system of claim 10 , wherein the statistical comparison is sent or published by description as being less than a predetermined interval value.
15. The system of claim 10 , wherein the statistical comparison is sent or published by description as being between two predetermined interval values.
16. The system of claim 10 , wherein the first computer and the second computer are the same computer.