A COMPUTER SYSTEM AND METHOD FOR GENERATING AND MAINTAINING A FINANCIAL BENCHMARK

摘要

A method for generating and maintaining a benchmark using a long/short investment strategy may involve generating a benchmark by selecting a group of secunties from a broad-base index, evaluating the secupties 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 secutties included in the broad-base index may form a universe of eligible secuttties 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.