Methods, Systems and Computer Program Products for Providing Low Risk Portable Alpha Investment Instruments

Abstract

Provided are methods of providing a portable alpha investment instrument. Some embodiments of such methods include allocating a first portion of a financial asset to a first asset class, allocating a second portion of the financial asset to a second asset class, establishing a swap transaction corresponding to the first portion of the financial asset, the swap transaction configured to define a minimum term corresponding to an asset status change, and transferring the first portion and the second portion of the financial asset responsive to the allocating.

1 . A method of providing a portable alpha investment instrument, comprising:
 allocating, using at least one computer, a first portion of a financial asset to a first asset class that includes a composite index corresponding to a plurality of securities that are selected using fundamental value methods;   allocating, using at least one computer, a second portion of the financial asset to a second asset class that includes shares in a plurality of time-value-based securities that include financial derivatives selected by at least one commodity trading advisor or managed futures trader; and   transferring, using at least one computer, the first portion and the second portion of the financial asset responsive to the allocating.   
     
     
         2 . The method according to  claim 1 , wherein the fundamental value methods are performed based on at least one fundamental factor that includes a book value corresponding to ones of the plurality of securities. 
     
     
         3 . The method according to  claim 2 , wherein the at least one fundamental factor includes dividends corresponding to ones of the plurality of securities. 
     
     
         4 . The method according to  claim 2 , wherein the at least one fundamental factor includes sales corresponding to ones of the plurality of securities. 
     
     
         5 . The method according to  claim 1 , wherein allocating the first portion comprises purchasing a leveraged position of the composite index via a derivative instrument of the composite index. 
     
     
         6 . The method according to  claim 1 , wherein the plurality of time-value-based securities comprise commodity derivatives. 
     
     
         7 . The method according to  claim 1 , wherein the commodity derivatives include derivatives of one or more physical commodities. 
     
     
         8 . The method according to  claim 1 , wherein the commodity derivatives include derivatives corresponding to one or more currencies. 
     
     
         9 . The method according to  claim 1 , wherein the commodity derivatives include derivatives corresponding to one or more composite indices. 
     
     
         10 . The method of  claim 1 , wherein a performance of the second asset class is substantially uncorrelated with a performance of the first asset class. 
     
     
         11 . The method of  claim 1 , wherein a performance of the second asset class is substantially negatively correlated with a performance of the first asset class. 
     
     
         12 . A computer program product, the computer program product comprising a computer usable storage medium having computer-readable program code embodied in the medium, the computer readable program code configured to perform the method of  claim 1 . 
     
     
         13 . A method of providing a portable alpha investment instrument, comprising:
 allocating, using at least one computer, a first portion of a financial asset to a first asset class that includes a composite index corresponding to a plurality of securities that are selected using fundamental value methods based on a fundamental factor that includes a book value corresponding to ones of the plurality of securities, dividends corresponding to ones of the plurality of securities, and sales corresponding to ones of the plurality of securities;   allocating, using at least one computer, a second portion of the financial asset to a second asset class that includes shares in a plurality of time-value-based securities that include financial derivatives selected by at least one commodity trading advisor or managed futures trader, the plurality of time-value-based securities including commodity derivatives base on one or more physical commodities and one or more currencies; and   transferring, using at least one computer, the first portion and the second portion of the financial asset responsive to the allocating.   
     
     
         14 . The method according to  claim 13 , wherein allocating the first portion comprises purchasing a leveraged position of the composite index via a derivative instrument of the composite index. 
     
     
         15 . The method according to  claim 13 , wherein the commodity derivatives include derivatives corresponding to one or more composite indices. 
     
     
         16 . The method according to  claim 13 , wherein a performance of the second asset class is substantially uncorrelated with a performance of the first asset class. 
     
     
         17 . The method according to  claim 13 , wherein a performance of the second asset class is substantially negatively correlated with a performance of the first asset class.