Exposure Based on Capacity

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 - 3 . (canceled) 
     
     
         4 . A computer implemented method comprising:
 providing an index representing a plurality of hedge funds, each of the plurality of hedge funds having an associated weight, the associated weight being stored in a computer system;   determining a capacity limit for a particular one of the plurality of hedge funds based on a maximum amount that can be invested in the hedge fund; and   adjusting, using the computer system, an associated weight in the index for the particular one of the plurality of hedge funds based on the determined capacity limit.   
     
     
         5 . The computer implemented method of  claim 4 , wherein the maximum amount that can be allocated to the hedge fund according the set of predetermined rules is based on the maximum amount that the hedge fund is willing to accept. 
     
     
         6 . The computer implemented method of  claim 5 , wherein the maximum amount that can be allocated to the hedge fund according the set of predetermined rules is based on the maximum amount that the index provider can invest in the hedge fund based on risk management limitations of the index provider. 
     
     
         7 . The computer implemented method of  claim 5 , wherein the maximum amount that can be invested in the hedge fund according the set of predetermined rules is based on the maximum amount that the index provider can allocate to the hedge fund based on regulatory limitations, contractual limitations or fiduciary responsibilities. 
     
     
         8 . A computer implemented method comprising:
 providing an index representing a plurality of hedge funds, each of the plurality of hedge funds having an associated weight, the associated weight being stored in a computer system;   estimating a capacity limit for a particular one of the plurality of hedge funds based on a maximum amount that can be redeemed from the hedge fund; and   adjusting, using the computer system, the weight for a particular one of the hedge funds based on the estimate of the maximum amount that can be redeemed from the hedge fund.   
     
     
         9 . The computer implemented method of  claim 8 , wherein adjusting the associated weight for the particular one of the plurality of hedge funds further comprises adjusting the weight based on an estimate of the date at which a redemption is allowed. 
     
     
         10 . The computer implemented method of  claim 8 , wherein adjusting the associated weight for the particular one of the plurality of hedge funds further comprises adjusting the weight based on an estimate of the redemption notice period prescribed by the hedge fund. 
     
     
         11 . 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:
 provide an index representing a plurality of hedge funds, each of the plurality of hedge funds having an associated weight;   determine a capacity limit for a particular one of the plurality of hedge funds based on a maximum amount that can be invested in the hedge fund; and   adjust an associated weight in the index for the particular one of the plurality of hedge funds based on the determined capacity limit.   
     
     
         12 . The computer program product of  claim 11 , wherein the maximum amount that can be allocated to the hedge fund according the set of predetermined rules is based on the maximum amount that the hedge fund is willing to accept. 
     
     
         13 . The computer program product of  claim 11 , wherein the maximum amount that can be allocated to the hedge fund according the set of predetermined rules is based on the maximum amount that the index provider can invest in the hedge fund based on risk management limitations of the index provider. 
     
     
         14 . The computer program product of  claim 11 , wherein the maximum amount that can be invested in the hedge fund according the set of predetermined rules is based on the maximum amount that the index provider can allocate to the hedge fund based on regulatory limitations, contractual limitations or fiduciary responsibilities. 
     
     
         15 . 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:
 provide an index representing a plurality of hedge funds, each of the plurality of hedge funds having an associated weight;   estimate a capacity limit for a particular one of the plurality of hedge funds based on a maximum amount that can be redeemed from the hedge fund; and   adjust the weight for a particular one of the hedge funds based on the estimate of the maximum amount that can be redeemed from the hedge fund.   
     
     
         16 . The computer program product of  claim 15 , wherein the instructions to cause the machine to adjust the associated weight for the particular one of the plurality of hedge funds comprise instructions to cause the machine to adjust the weight based on an estimate of the date at which a redemption is allowed. 
     
     
         17 . The computer program product of  claim 15 , wherein the instructions to cause the machine to adjust the associated weight for the particular one of the plurality of hedge funds comprise instructions to cause the machine to adjust the weight based on an estimate of the redemption notice period prescribed by the hedge fund. 
     
     
         18 . A computer-based system comprising:
 a memory configured to:
 store weights associated with each of a plurality of hedge funds in provide an index representing a plurality of hedge funds, 
   a processor configured to:
 determine a capacity limit for a particular one of the plurality of hedge funds based on a maximum amount that can be invested in the hedge fund; and 
 adjust an associated weight in the index for the particular one of the plurality of hedge funds based on the determined capacity limit. 
   
     
     
         19 . The system of  claim 18 , wherein the maximum amount that can be allocated to the hedge fund according the set of predetermined rules is based on the maximum amount that the hedge fund is willing to accept. 
     
     
         20 . The system of  claim 18 , wherein the maximum amount that can be allocated to the hedge fund according the set of predetermined rules is based on the maximum amount that the index provider can invest in the hedge fund based on risk management limitations of the index provider. 
     
     
         21 . The system of  claim 18 , wherein the maximum amount that can be invested in the hedge fund according the set of predetermined rules is based on the maximum amount that the index provider can allocate to the hedge fund based on regulatory limitations, contractual limitations or fiduciary responsibilities. 
     
     
         22 . A computer-based system comprising:
 a memory configured to:
 store weights associated with each of a plurality of hedge funds in an index representing a plurality of hedge funds, 
   a processor configured to:   estimate a capacity limit for a particular one of the plurality of hedge funds based on a maximum amount that can be redeemed from the hedge fund; and   adjust the weight for a particular one of the hedge funds based on the estimate of the maximum amount that can be redeemed from the hedge fund.   
     
     
         23 . The system of  claim 22 , wherein the system if further configured to adjust the weight based on an estimate of the date at which a redemption is allowed. 
     
     
         24 . The system of  claim 22 , wherein the system if further configured to adjust the weight based on an estimate of the redemption notice period prescribed by the hedge fund.