| US 7,574,399 B2 | ||
| Hedging exchange traded mutual funds or other portfolio basket products | ||
| Clifford J. Weber, Basking Ridge, N.J. (US); Carol Alexander, Purley (United Kingdom); Charles A. Baker, Wayne, Pa. (US); Jason MacQueen, New York, N.Y. (US); Gary L. Gastineau, Short Hills, N.J. (US); and Terry Norman, Barling Magna (United Kingdom) | ||
| Assigned to NYSE Alternext US LLC, New York, N.Y. (US) | ||
| Filed on Oct. 12, 2007, as Appl. No. 11/974,468. | ||
| Prior Publication US 2008/0040258 A1, Feb. 14, 2008 | ||
| Int. Cl. G06Q 40/00 (2006.01) | ||
| U.S. Cl. 705—37 | 16 Claims |
| 1. A method of estimating an intra-day approximation of the net asset value (NAV) of actively managed exchange traded funds
comprising the steps:
grouping securities into groups of securities for which there is some basis to believe that their prices might move together;
and for each group
performing a principal component analysis (PCA) over some percentage of variation (y %) to arrive at a subset of the principal
components as the factors for the particular group using a computer;
estimating an intra-day approximation of NAV of the actively managed fund of a particular day by estimating factor sensitivities
of the subset of factors in each of the groups for a particular actively managed fund using a computer, wherein the intra-day
approximation of NAV of the actively managed fund does not reveal the assets of the actively managed fund portfolio to an
investor who trades shares of the actively managed fund.
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