| 主权项 |
1. A computer-implemented system and method of managing a financial index, comprising:
using public information sources to identify a universe of investment strategies (being primarily though not exclusively mutual funds), their stated or determined benchmarks, and market instruments representing those benchmarks (being primarily though not exclusively ETFs) storing in a computer memory key descriptive data for the universe of investment strategies, benchmarks and representative market instruments; calculating returns for each investment strategy in excess of its identified benchmark and representative market instrument; programmatically grouping together investment strategies displaying similarities; ordering and identifying the investment strategies with the best performance in each group; determining a portfolio consisting of long positions in the selected investment strategy vehicle(s) and short positions in the benchmark instrument(s); determining a weight for each component of the portfolio; and programmatically calculating an index with direct reference to performance of the portfolio. |
