Systems and methods for trading actively managed funds
Systems and methods for improved intra-day valuations of a first portfolio are disclosed herein. Operations include receiving a listing of first identities for a first set of securities of a first portfolio, generating, a second portfolio configured to track the first portfolio, where the second portfolio has second identities that are identical to the first identities and a second set of weightings, calculating an intra-day value for the first portfolio by applying price feed information to the second portfolio in accordance with the second set of weightings, and publicizing the calculated intra-day value for the first portfolio without disclosing a first set of weightings corresponding to the first portfolio.
1. A computer-implemented method that publicizes intra-day valuations of a first portfolio comprising:
receiving, by a computer system, a modeling output related to a first set of securities of a first portfolio, the modeling output characterized by behavior data and economic risk factor data indicative of the first set of securities, where the computer system has non-transitory memory storing computer software and at least one processor executing the computer software;
generating, by the computer system, a second portfolio configured to track the first portfolio by:
generating a set of weightings based on the received modeling output; and constructing, based on the set of weightings, a second set of securities having a second set of identities, where a behavior of the second set of securities mimics a behavior of the first set of securities:
receiving, from a quote sever via one or more networks, price feed information corresponding to the second set of identities:
calculating, by the computer system, an intra-day value for the first portfolio by applying the price feed information to the second portfolio in accordance with the second set of weightings; and
publicizing, by the computer system, the calculated intra-day value for the first portfolio without disclosing a first set of weightings corresponding to the first portfolio.
2. The method of claim 1 , where the second portfolio does not include any securities not present in the first portfolio.
3. The method of claim 1 , where a weighting for a security in the second portfolio overlaps by a set percentage of the corresponding weighting for the security in the first portfolio.
4. The method of claim 3 , where the set percentage is between 90 to 100%.
5. The method of claim 3 , where the set percentage is not publicly disclosed.
6. The method of claim 3 , where the set percentage is randomly generated.
7. The method of claim 1 , where the second portfolio including the second identities and the set of weightings is publicly disclosed.
8. The method of claim 1 , further comprising initiating, by the computer system, a transaction involving one or more securities from among the first set of securities based on the publicized intra-day value for the first portfolio.
9. The method of claim 8 , where the transaction is at least one of a pricing, hedging, and arbitrage.
10. The method of claim 1 , where the set of weightings are chosen where the second set of securities tracks the first set of securities over the course of a trading day.
11. The method of claim 8 , where the transaction is completed without knowing the first set of weightings of the first set of securities.
12. A computer-implemented system that publicizes intra-day valuations of a first portfolio comprising:
a computer system having non-transitory memory storing computer software and at least one processor executing the computer software, the computer system being further configured to:
receive a modeling output related to a first set of securities of a first portfolio, the modeling output characterized by behavior data and economic risk factor data indicative of the first set of securities:
generate a second portfolio configured to track the first portfolio, by
generating a set of weightings based on the received modeling output: and constructing, based on the set of weightings, a second set of securities having a second set of identities, where a behavior of the second set of securities mimics a behavior of the first set of securities:
receive, from a quote sever via one or more networks, price feed information corresponding to the second set of identities:
calculate an intra-day value for the first portfolio by applying the price feed information to the second portfolio in accordance with the second set of weightings; and
publicize the calculated intra-day value for the first portfolio without disclosing a first set of weightings corresponding to the first portfolio.
13. The system of claim 12 , where the second portfolio does not include any securities not present in the first portfolio.
14. The system of claim 12 , where a weighting for a security in the second portfolio overlaps by a set percentage of the corresponding weighting for the security in the first portfolio.
15. The system of claim 14 , where the set percentage is between 90 to 100%.
16. The system of claim 14 , where the set percentage is not publicly disclosed.
17. The system of claim 14 , where the set percentage is randomly generated.
18. The system of claim 12 , where the computer system is further configured to publicly disclose the second portfolio including the second identities and the second set of weightings.
19. The system of claim 12 , where the computer system is further configured to initiate a transaction involving one or more securities from among the first set of securities based on the publicized intra-day value for the first portfolio.
20. The system of claim 19 , where the transaction is at least one of a pricing, hedging, and arbitrage.
21. The system of claim 12 , where the second set of weightings are chosen where the second set of securities tracks the first set of securities over the course of a trading day.
22. The system of claim 19 , where the transaction is completed without knowing the set of weightings of the first set of securities.