Method and system for rebalancing investment vehicles

摘要

A computer-implemented method is provided for rebalancing an exchange-traded fund. The method is performed by a computer, and includes setting a daily target return for the exchange-traded fund based on a target base index. The method also includes monitoring an actual return of the exchange-traded fund over a time period. The method also includes setting a performance band for rebalancing the exchange-traded fund. The performance band is set based on the daily target return and a volatility of the target base index. The method further includes generating signals to rebalance the exchange-traded fund based on the performance band and the actual return.

主权项

1. A computer-implemented method for rebalancing an exchange-traded fund, comprising steps, performed by a programmed processor based computer, of:
setting, by the programmed processor, a daily target return for the exchange-traded fund based on a target base index; monitoring, by the programmed processor, an actual return of the exchange-traded fund over a time period; setting, by the programmed processor, a performance band for rebalancing the exchange-traded fund, the performance band being a quantitative range having an upper limit and a lower limit and being set based on the daily target return and a volatility of the target base index measured at least partially over a historical period of time; and generating, by the programmed processor, signals to rebalance the exchange- traded fund based on the performance band and the actual return.