Reallocation

Abstract

This invention relates to hedge fund indexing in general and methods and systems for constructing and maintaining investable hedge fund indices in particular.

1 . A computer implemented method for determining adjustments to weights of hedge funds in an index, the method comprising:
 calculating, using a computer system, a projected hedge fund weight for hedge funds included in the index, the projected hedge fund weight based on an estimate of a weight of the hedge fund over a period;   determining, using the computer system, adjustments to make to one or more of the hedge fund weights based on hedge fund weight limits;   determining, using the computer system, adjustments to make to strategy weights based on a strategy weight limit; and   determining, using the computer system, normalization adjustments to make to the index to provide a sum of the projected weights for the funds in the index to equal a specified value.   
   
   
       2 . The computer implemented method of  claim 1 , further comprising:
 adjusting the fund weights based on the determined adjustments; and   re-calculating a projected fund weight for the funds included in the index based on the determined adjustments to the fund weights,   wherein determining what, if any, adjustments need to be made to the strategy weights based on a fund weight allocation comprises:   determining what, if any, adjustments need to be made to the strategy weights based on the re-calculated weights of hedge funds in the hedge fund index.   
   
   
       3 . The computer implemented method of  claim 1 , wherein calculating the projected fund weight comprises calculating the fund weight based on an index notional amount. 
   
   
       4 . The computer implemented method of  claim 3 , wherein the index notional amount indicates a total amount invested in products associated with the index. 
   
   
       5 . The computer implemented method of  claim 1 , wherein calculating the projected fund weight comprises calculating the fund weight based on outstanding adjustments. 
   
   
       6 . (canceled) 
   
   
       7 . The computer implemented method of  claim 1 , wherein determining what, if any, adjustments need to be made such that a sum of the projected weights for the funds in the index is equal to about 100% comprises determining an aggregate reallocation weight. 
   
   
       8 . (canceled) 
   
   
       9 . The computer implemented method of  claim 7 , further comprising:
 determining if the aggregate reallocation weight is greater than zero.   
   
   
       10 . The computer implemented method of  claim 9 , further comprising:
 if the aggregate reallocation weight is greater than zero, increasing weights of some of the funds included in the index in a total amount equal to the aggregate reallocation weight.   
   
   
       11 . The computer implemented method of  claim 10 , wherein increasing weights of at least some of the funds in an total amount equal to the aggregate reallocation weight comprises increasing fund weights to minimize a difference between the projected strategy weight and the target strategy weight. 
   
   
       12 . The computer implemented method of  claim 10 , wherein increasing weights of at least some of the funds in a total amount equal to the aggregate reallocation weight comprises introducing new funds to the index. 
   
   
       13 . The computer implemented method of  claim 9 , further comprising:
 if the aggregate reallocation weight is less than zero, decreasing weights of some of the funds included in the index in a total amount equal to the aggregate reallocation weight.   
   
   
       14 . The computer implemented method of  claim 13 , wherein decreasing weights of at least some of the funds in a total amount equal to the aggregate reallocation weight comprises decreasing fund weights to minimize a difference between the target strategy weight and the projected strategy weight. 
   
   
       15 . The computer implemented method of  claim 13 , wherein decreasing weights of at least some of the funds in a total amount equal to the aggregate reallocation weight comprises removing some funds from the index. 
   
   
       16 . A computer program product, tangibly embodied in an information carrier, for executing instructions on a processor, the computer program product being operable to cause a machine to:
 calculate a projected hedge fund weight for hedge funds included in the index, the projected hedge fund weight based on an estimate of a weight of the hedge fund over a period;   determine adjustments to make to one or more of the hedge fund weights based on hedge fund weight limits;   determine adjustments to make to strategy weights based on a strategy weight limit; and   determine normalization adjustments to make to the index to provide a sum of the projected weights for the funds in the index to equal a specified value.   
   
   
       17 . The computer program product of  claim 16 , further comprising instructions to cause a machine to:
 adjust the fund weights based on the determined adjustments; and   re-calculate a projected fund weight for the funds included in the index based on the determined adjustments made to the fund weights,   wherein determining what, if any, adjustments need to be made to the strategy weights based on a fund weight allocation comprises:   determining what, if any, adjustments need to be made to the strategy weights based on the re-calculated weights of hedge funds in the hedge fund index.   
   
   
       18 . The computer program product of  claim 16 , wherein the instructions to cause the machine to calculate the projected fund weight comprise instructions to cause the machine to calculate the fund weight based on an index notional amount, the notional amount indicating a total amount invested in products associated with the index. 
   
   
       19 . The computer program product of  claim 16 , further comprising instructions to cause a machine to:
 determine if the aggregate reallocation weight is greater than zero; and   if the aggregate reallocation weight is greater than zero, increase weights of some of the funds included in the index in a total amount equal to the aggregate reallocation weight, wherein the instructions to cause the machine to increase weights of at least some of the funds comprise at least one of instructions to cause the machine to increase fund weights to minimize a difference between the projected strategy weight and the target strategy weight and instructions to cause the machine to introduce new funds to the index.   
   
   
       20 . The computer program product of  claim 16 , further comprising instructions to cause a machine to: determine if the aggregate reallocation weight is less than zero; and
 if the aggregate reallocation weight is less than zero, decrease weights of some of the funds included in the index in a total amount equal to the aggregate reallocation weight, wherein the instructions to cause the machine to decrease weights of at least some of the funds in an total amount equal to the aggregate reallocation weight include at least one of instructions to cause the machine to decrease fund weights to minimize a difference between the target strategy weight and the projected strategy weight and instructions to cause the machine to remove some funds from the index.   
   
   
       21 . A system A system comprising:
 a memory; and   a processor configured to:   calculate a projected hedge fund weight for hedge funds included in the index, the projected hedge fund weight based on an estimate of a weight of the hedge fund over a period;   determine adjustments to make to one or more of the hedge fund weights based on hedge fund weight limits;   determine adjustments to make to strategy weights based on a strategy weight limit; and   determine normalization adjustments to make to the index to provide a sum of the projected weights for the funds in the index to equal a specified value.   
   
   
       22 . The system of  claim 21 , further configured to:
 adjust the fund weights based on the determined adjustments; and   re-calculate a projected fund weight for the funds included in the index based on the determined adjustments made to the fund weights,   wherein determining what, if any, adjustments need to be made to the strategy weights based on a fund weight allocation comprises:   determining what, if any, adjustments need to be made to the strategy weights based on the re-calculated weights of hedge funds in the hedge fund index.   
   
   
       23 . The system of  claim 21 , further configured to: calculate the fund weight based on an index notional amount, the notional amount indicating a total amount invested in products associated with the index.