SYSTEMS AND METHODS FOR TRADING ACTIVELY MANAGED FUNDS

摘要

The invention provides systems and methods for intra-day trading of actively managed exchange traded funds (AMETFs). The invention provides creation and redemption structures for AMETF shares that allow arbitrage, intra-day value estimations for AMETF shares, and hedging portfolios for hedging risks associated with trading AMETF shares, all without requiring disclosure of the specific assets underlying the AMETF.

主权项

1. A method executed by a computer system to calculate an estimated value for a traded fund without publicly disclosing the assets of the traded fund, where the computer system includes one or more computers programmed to calculate an estimated value of the traded fund, the method comprising:
determining, by a computer system, a set of risk factors from a risk factor model; receiving or calculating by the computer system a set of traded fund sensitivity coefficients, wherein each traded fund sensitivity coefficient specifies an exposure of a traded fund to one of the risk factors in the set of risk factors; calculating by the computer system weights of securities to create a proxy portfolio that does not reveal the assets of the traded fund and has sensitivity coefficients that are substantially equal to the sensitivity coefficients of the traded fund; calculating by the computer system the estimated value for the traded fund based on the value of the proxy portfolio where the identities of the assets of the traded fund are not disclosed to an investor who trades shares of the traded fund on a secondary market, and the assets of the traded fund are not publicly disclosed on a daily basis; and publishing the estimated value of the traded fund periodically throughout a trading day.