Systems and methods for checking model portfolios for actively managed funds

Abstract

The invention provides systems and methods for checking portfolios used to model the behavior of actively managed funds to facilitate intra-day trading of actively managed exchange traded funds (AMETFs) without revealing the fund assets. The invention also provides exchange traded notes based on an underlying actively managed fund without revealing the fund assets.

1 - 31 . (canceled) 
     
     
         32 . A method for evaluating the integrity of a model portfolio designed to have substantially the same values, returns, or risk characteristics as a financial instrument, comprising:
 operating a first computer to perform a statistical comparison between said model portfolio and the financial instrument, wherein said statistical comparison compares at least one of the periodic values, returns, and risk characteristics of the model portfolio and the financial instrument over some period of time,   periodically publishing the results of the statistical comparison throughout a trading day for use by a trader to at least one of (i) price and (ii) hedge an investment in the financial instrument,   wherein the model portfolio does not reveal the holdings of a reference asset for the financial instrument.   
     
     
         33 . The method of  claim 32 , wherein the financial instrument is an exchange traded note with an actively managed fund as the reference asset. 
     
     
         34 . The method of  claim 32 , wherein the statistical comparison between the model portfolio and the financial instrument is at least one of (i) the difference, (ii) an average difference, (iii) a standard deviation of the difference, (iv) a mean difference, (v) a minimum difference, (vi) a maximum difference, (vii) a correlation number, (viii) an R 2  value, and (ix) a value-at-risk (VAR). 
     
     
         35 . The method of  claim 34 , wherein the statistical comparison is sent or published in discrete bins. 
     
     
         36 . The method of  claim 34 , wherein the statistical comparison is sent or published by description as being less than a predetermined interval value. 
     
     
         37 . The method of  claim 34 , wherein the statistical comparison is sent or published by description as being between two predetermined interval values. 
     
     
         38 . A system for evaluating the integrity of a model portfolio designed to have substantially the same values, returns, or risk characteristics as a target portfolio, with a first computer means programmed to create or receive the model portfolio designed to have substantially the same values, returns, or risk characteristics as the target portfolio, the system comprising:
 a second computer means programmed to perform a statistical comparison between the model portfolio and the target portfolio, wherein said statistical comparison compares the periodic values, returns, or risk characteristics of the model portfolio and the target portfolio over some period of time, and said second computer means programmed to periodically send or publish the results of the statistical comparison throughout a trading day for use by an entity to at least one of (i) price and (ii) hedge an investment in the target portfolio,   wherein the model portfolio does not reveal the assets of the target portfolio.   
     
     
         39 . The system of  claim 38 , wherein the target portfolio is an actively managed fund used as a reference asset for an exchange traded note. 
     
     
         40 . The system of  claim 38 , wherein the second computer means is programmed to perform a statistical comparison between the model portfolio and the financial instrument selected from at least one of (i) an average difference, (ii) a standard deviation of the difference, (iii) a mean difference, (iv) a minimum difference, (v) a maximum difference, (vi) a correlation number, (vii) an R 2  value, and (viii) a value-at-risk (VAR). 
     
     
         41 . The system of  claim 40 , wherein the statistical comparison is sent or published in discrete bins. 
     
     
         42 . The system of  claim 38 , wherein the statistical comparison is sent or published by description as being less than a predetermined interval value. 
     
     
         43 . The system of  claim 38 , wherein the statistical comparison is sent or published by description as being between two predetermined interval values. 
     
     
         44 . The system of  claim 38 , wherein the first computer means and the second computer means are the same computer. 
     
     
         45 . A system, comprising:
 a comparison module performing a statistical comparison between a model portfolio and a financial instrument, wherein said statistical comparison compares at least one of the periodic values, returns, and risk characteristics of the model portfolio and the financial instrument over some period of time, the model portfolio selected to have substantially the same values, returns or risk characteristics as the financial instrument; and   a communication module periodically publishing the results of the statistical comparison throughout a trading day for use by a trader to at least one of (i) price and (ii) hedge an investment in the financial instrument;   wherein the model portfolio does not reveal the holdings of a reference asset for the financial instrument.   
     
     
         46 . The system of  claim 45 , wherein the financial instrument is an exchange traded note with an actively managed fund as the reference asset. 
     
     
         47 . The system of  claim 45 , wherein the statistical comparison between the model portfolio and the financial instrument is at least one of (i) the difference, (ii) an average difference, (iii) a standard deviation of the difference, (iv) a mean difference, (v) a minimum difference, (vi) a maximum difference, (vii) a correlation number, (viii) an R 2  value, and (ix) a value-at-risk (VAR). 
     
     
         48 . The system of  claim 45 , wherein the communication module publishes the statistical comparison in discrete bins. 
     
     
         49 . The system of  claim 45 , wherein the communication module publishes the statistical comparison by description as being less than a predetermined interval value. 
     
     
         50 . The system of  claim 45 , wherein the communication module publishes the statistical comparison by description as being between two predetermined interval values.