摘要 |
A method for generating a maintaining a bench mark using a long/short investment strategy may involve generating a benchmark by selecting a group of securities from a broad-base index, evaluating the securities included in a benchmark, and monthly rebalancing the benchmark using a long/short investment strategy. The method may also include determining the value of the index and publishing the value of the index as a benchmark for long/short investment (10) portfolios. The value of the index may be determined periodically, daily, dynamically, or every 15 seconds. The securities included in the broad-base index may form a universe of eligible securities and be ranked monthly. Also, a method for generating and managing a passive long/short investment portfolio that closely correlates with a passive long/short benchmark, and using a passive long/short benchmark to rebalance a portfolio. 5484346_1 (GHMatters) P84263.AU.1 13/06/14 1 00a 170a 190a Investor Computer Network 160a Trading Utility Benchmark generating unit 150a 11la DSD Long/short Strategy Rebalancing 112a Unit Market Info 1 30a In-house expected return forecast factor |