| 摘要 |
A method for generating and maintaining a benchmark using a long/short investment strategy is disclosed herein. The method for generating and maintaining a benchmark 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 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 using the 10 Credit Suisse factors. Also disclosed herein are a method for generating and managing a passive long/short investment portfolio that closely correlates with a passive long/short benchmark, and a method of using a passive long/short benchmark to rebalance a portfolio. Also, a computer system for generating or maintaining a passive long/short benchmark, a computer program for generating or maintaining a passive long/short benchmark, a computer-readable medium storing a program configured to generate or maintain a passive long/short benchmark, and methods of using the same are disclosed herein.
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