Method of and system for protecting an initial investment value of an investment

1. 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:

(a) determining using an option-based instrument calculator:

(i) a first value of a first set of put option-based instruments at initial investment in the first set of put option-based instruments, the first set of put option-based instruments having a first underlying reference;

(ii) a second value of a first set of call option-based instruments at initial investment in the first set of call option-based instruments, the first 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; and

(iii) a third value of a second set of option-based instruments at initial investment in the second set of option-based instruments, the second set of option-based instruments having a third underlying reference;

so that the sum of the first value, the second value, and the third value is less than the initial investment value;

(b) holding positions using a regulated investment company in the first set of put option-based instruments, the first set of call option-based instruments, and the second set of option-based instruments, so that the first set of put option-based instruments and the first set of call option-based instruments provide the at least a portion of the initial investment value at maturity of the investment; and

(c) making available the at least a portion of the initial investment value to the one or more investors upon the maturity of the investment.

2. The method of claim 1 , wherein the regulated investment company is of a type selected from the following list of regulated investment company types: unit investment trust, close-ended fund and open-ended fund.

3. The method of claim 1 , wherein the first set of put option-based instruments and the second set of option-based instruments are issued by the same entity.

4. The method of claim 1 , wherein the first set of call option-based instruments and the second set of option-based instruments are issued by the same entity.

5. The method of claim 1 , wherein the first set of call option-based instruments are issued by an entity that is different from an entity that issues the first set of put option-based instruments.

6. The method of claim 1 , wherein the first set of call option-based instruments are issued by an entity that is different from an entity that issues the second set of option-based instruments.

7. The method of claim 1 , wherein the first set of put option-based instruments are issued by an entity that is different from an entity that issues the second set of option-based instruments.

8. The method of claim 1 , wherein the calls and puts are each of a type selected from the following list of call and put types: registered warrants, over-the-counter options, exchange traded options, forward contracts, exchange traded market-linked notes, publicly registered market-linked notes, other types of market-linked notes, exempt securities, certificates of deposit, and private placement instruments.

9. The method of claim 1 , wherein the regulated investment company holds a diverse set of stocks and securities.

10. The method of claim 9 , wherein the diverse set of stocks and securities are held in the form of options or a financial instrument the value of which varies based on an index calculated based on the diverse set of stocks and securities.

11. The method of claim 1 , wherein the regulated investment company holds a long position in the first set of put option-based instruments and a long position in the first set of call option-based instruments.

12. The method of claim 1 , wherein the regulated investment company holds a short position in the first set of put option-based instruments and a short position in the first set of call option-based instruments.

13. The method of claim 1 , wherein the regulated investment company holds a long position in the first set of put option-based instruments and a short position in the first set of call option-based instruments.

14. The method of claim 1 , wherein the regulated investment company holds a short position in the first set of put option-based instruments and a long position in the first set of call option-based instruments.

15. A computer system for protecting at least a portion of an initial investment value of an investment made by an investor in a financial product offered by a regulated investment company comprising:

(a) a processor;

(b) a computer-readable storage medium that stores data relating to the investment which is operatively connected to the processor;

(c) an option-based instrument calculator that determines values of:

(i) a first value of a first set of put option-based instruments at initial investment in the first set of put option-based instruments, the first set of put option-based instruments having a first underlying reference;

(ii) a second value of a first set of call option-based instruments at initial investment in the first set of call option-based instruments, the first 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; and

(iii) a third value of a second set of option-based instruments at initial investment in the second set of option-based instruments, the second set of option-based instruments having a third underlying reference;

so that the sum of the first value, the second value, and the third value is less than the initial investment value; and

(d) a hedging manager that generates a set of instructions to be executed on the processor for holding positions using the regulated investment company in the first set of put option-based instruments, the first set of call option-based instruments and the second set of option-based instruments, so that the first set of put option-based instruments and the first set of call option-based instruments provide the at least a portion of the initial investment value at maturity of the investment.

16. An apparatus comprising:

(a) a processor;

(b) a computer-readable storage medium that stores data relating to an investment, the computer-readable storage medium operatively connected to the processor, wherein the data comprises:

(i) a first value of a first set of put option-based instruments at initial investment in the first set of put option-based instruments, the first set of put option-based instruments having a first underlying reference;

(ii) a second value of a first set of call option-based instruments at initial investment in the first set of call option-based instruments, the first 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; and

(iii) a third value of a second set of option-based instruments at initial investment in the second set of option-based instruments, the second set of option-based instruments having a third underlying reference;

wherein the sum of the first value, the second value, and the third value is less than an initial investment value; and

(iv) positions held by a regulated investment company in the first set of call option-based instruments, the first set of put option-based instruments and the second set of option-based instruments, so that the first set of put option-based instruments and the first set of call option-based instruments provide at least a portion of the initial investment value at maturity of the investment.