Method and system for creating and trading derivative investment instruments based on an index of investment management companies
View Patent ↗A method and system for creating a stock index for a group of investment management companies is disclosed. The method may include obtaining first trade information for each security representative of the group of investment management companies during a first time period, aggregating the first trade information for a predetermined time period, storing the aggregated first trade information, calculating from the aggregated first trade information an index for the group of investment management companies, determining a standardized measure of the index based on the aggregated first trade information obtained in the first time period, and periodically recalculating the index based on second trade information for each security representative of the group of investment management companies during a second time period.
1. A system for creating a stock index for a group of investment management companies, the system comprising:
an investment management company index module comprising a processor and a memory, the processor configured to execute logic stored in the memory such that the investment management company index module is configured to:
divide a fixed monetary unit value that is associated with a stock portfolio comprising a group of investment management companies by a number of constituents in the group of investment management companies to obtain a constituent weighting value;
divide stock price data associated with the group of investment management companies by the constituent weighting value to obtain a constituent rebalancing value; and
generate a value for an investment management company index based on the constituent rebalancing value.
2. The system of claim 1 , wherein the constituent rebalancing value is an approximate value at which each constituent in the group of investment management companies is weighted.
3. The system of claim 1 , wherein the investment management company index module is further configured to:
divide the price by the constituent weighting value; and
round to the nearest share to obtain a number of shares assigned to the constituent at the re-balancing date.
4. The system of claim 3 , wherein the investment management company index module is further configured to:
adjust shares of the group of investment management companies to maintain that constituent's weight.
5. The system of claim 4 , wherein a divisor maintains the continuity of the index.
6. The system of claim 1 , wherein the group of investment management companies comprise publicly traded investment management companies deriving at least 50% of their revenues from asset management.
7. The system of claim 1 , further comprising:
a dissemination module in communication with the investment management company index module, the dissemination module comprising a processor and a memory, the processor configured to execute logic stored in the memory such that the dissemination module is configured to:
receive the generated value for the investment management company index from the investment management company index module; and
disseminate the generated value for the investment management company index over a communications network to market participants.
8. The system of claim 1 , further comprising:
a trading module comprising a processor and a memory, the processor configured to execute logic stored in the memory such that the trading module is configured to:
receive buy and sell orders over a communications network for a position in a derivative instrument that is based on the value of the investment management company index generated by the investment management company index module.
9. The system of claim 8 , wherein the derivative instrument is an options contact.
10. The system of claim 8 , wherein the derivative instrument is a futures contact.
11. A system for creating a stock index for a group of investment management companies, the system comprising:
an investment management company index module comprising a processor and a memory, the processor configured to execute logic stored in the memory such that the investment management company index module is configured to:
generate a value for an investment management company index based on a fixed monetary unit value that is associated with a stock portfolio comprising a group of investment management companies, a number of constituents in the group of investment management companies, and stock prices data associated with the group of investment companies; and
a dissemination module in communication with the investment management company index module to receive the generated value for the investment management company index, the dissemination module comprising a processor and a memory, the processor configured to execute logic stored in the memory such that the dissemination module is configured to:
disseminate the generated value for the investment management company index over a communications network to market participants.
12. The system of claim 11 , wherein to generate the value for the investment management company index, the processor of the investment management company index is configured to:
divide the fixed monetary unit value that is associated with the stock portfolio by the number of constituents in the group of investment management companies to obtain a constituent weighting value;
divide the stock price data associated with the group of investment management companies by the constituent weighting value to obtain a constituent rebalancing value; and
generate a value for an investment management company index based on the constituent rebalancing value.
13. The system of claim 11 , further comprising:
a trading module comprising a processor and a memory, the processor configured to execute logic stored in the memory such that the trading module is configured to:
receive buy and sell orders over a communications network for a position in a derivative instrument that is based on the value of the investment management company index generated by the investment management company index module.
14. The system of claim 13 , wherein the derivative instrument is an options contact.
15. The system of claim 13 , wherein the derivative instrument is a futures contact.
16. A method for creating a stock index for a group of investment management companies, the method comprising:
generating, with an investment management company index module comprising a processor and a memory, a value for an investment management company index based on a fixed monetary unit value that is associated with a stock portfolio comprising a group of investment management companies, a number of constituents in the group of investment management companies, and stock prices data associated with the group of investment companies; and
disseminating over a communication network to market participants, with a dissemination module comprising a processor and a memory, the generated value for the investment management company index.
17. The method of claim 16 , wherein generating the value for the investment management company index comprises:
dividing the fixed monetary unit value that is associated with the stock portfolio by the number of constituents in the group of investment management companies to obtain a constituent weighting value;
dividing the stock price data associated with the group of investment management companies by the constituent weighting value to obtain a constituent rebalancing value; and
generating a value for an investment management company index based on the constituent rebalancing value.
18. The method of claim 16 , further comprising:
receiving, with a trading module comprising a processor and a memory, buy and sell orders over a communications network for a position in a derivative instrument that is based on the value of the investment management company index generated by the investment management company index module.
19. The method of claim 18 , wherein the derivative instrument is an options contact.
20. The method of claim 18 , wherein the derivative instrument is a futures contract.