Nyse Amex LLC

Nyse American LLC

Nyse Alternext US LLC

Other

American Stock Exchange, LLC

Charles A Baker

Clifford J Weber

Gary L Gastineau

Carol Alexander

Terry Norman

Jason MacQueen

Scott Ebner

Bonnie Arculli

Jason Macqueen

Sandra Baker

Tony Norman

Embodiments include systems and methods for evaluating the integrity of a model portfolio designed to have substantially the same values, returns, or risk characteristics as a financial instrument. Embodiments include 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. The results of the statistical comparison are periodically published throughout a trading day for use by a trader to at least one (i) price and (ii) hedge an investment in the financial instrument. According to embodiments, the model portfolio does not reveal the holdings of a reference asset for the financial instrument.

Systems and methods for checking model portfolios for actively managed funds

Systems and methods for improved intra-day valuations of a first portfolio are disclosed herein. Operations include receiving a listing of first identities for a first set of securities of a first portfolio, generating, a second portfolio configured to track the first portfolio, where the second portfolio has second identities that are identical to the first identities and a second set of weightings, calculating an intra-day value for the first portfolio by applying price feed information to the second portfolio in accordance with the second set of weightings, and publicizing the calculated intra-day value for the first portfolio without disclosing a first set of weightings corresponding to the first portfolio.

Systems and methods for trading actively managed funds

System 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. Exchange traded notes based on an underlying actively managed fund without revealing the fund assets. Computer means are used to perform a statistical comparison between a model portfolio and the AMETF, and a statistical comparison compares the periodic values, returns, or risk characteristics of the model portfolio and the financial instrument over some period of time, periodically sending or publishing the results of the statistical comparison. The model portfolio does not reveal the assets of the financial instrument.

Systems and methods for evaluating the integrity of a model portfolio of a financial instrument

Systems and methods are provided to determine an estimated value of a traded fund whose assets are not publicly disclosed on a daily basis, where a computer system includes one or more computers and is programmed to determine an estimated value of the traded fund. Embodiments include operating the computer system to calculate an estimated value of the traded fund based on the value of a proxy portfolio, where the identities of the assets of the traded fund are not disclosed to an investor who trades shares of the traded fund on a secondary market, and publicly disclosing the estimated value of the traded fund periodically throughout a trading day.

A system for pricing and/or determining a basket of financial instruments for hedging investment risk in actively managed traded funds is described. The system uses a trusted computer system and includes a computer storage medium storing a computer program product. The product determines a basket of hedging instruments by applying statistical or economic based factor analysis to estimate the NAV or provide a hedging basket to rack actual NAV of an actively managed traded fund.

Hedging exchange traded mutual fund or other portfolio basket products

A method of determining an estimate of the market value of a traded unit of a financial instrument, and apparatus for carrying out the method, said instrument comprising a fund of individually priced securities and the exact composition of said fund being withheld from the market, said method comprising selecting a plurality of mutually independent risk factors, each risk factor being representative of market behaviour estimated to be significant to the price behaviour of the traded unit, obtaining information from a third party holding information regarding the composition of said fund regarding the actual significance of said risk factors to the value of said traded unit, and calculating a value for said traded unit on the basis of said significances.

System for pricing financial instruments

The invention provides systems and methods for intra-day trading of actively managed exchange traded funds (AMETFs). The invention provides creation and redemption structures for AMETF shares that allow arbitrage, intra-day value estimations for AMETF shares, and hedging portfolios for hedging risks associated with trading AMETF shares, all without requiring disclosure of the specific assets underlying the AMETF.

A process for creating a modeling portfolio to model an actively managed exchange traded fund portfolio. The modeling portfolio comprises a first portfolio of securities and a supplemental portfolio of securities. The modeling portfolio does not reveal the actively managed exchange traded fund portfolio.

Modeling portfolios for actively managed exchange traded funds

A system for pricing and/or determining a basket of financial instruments for hedging investment risk in actively managed traded funds is described. The system uses a trusted computer system and includes a computer storage medium storing a computer program product. The product determines a basket of hedging instruments by applying statistical or economic based factor analysis to estimate the NAV or provide a hedging basket to track actual NAV of an actively managed traded fund.

Hedging exchange traded mutual funds or other portfolio basket products

A method of determining an estimate of the market value of a traded unit of a financial instrument, and apparatus for carrying out the method, said instrument comprising a fund of individually priced securities and the exact composition of said fund being withheld from the market, said method comprising selecting a plurality of mutually independent risk factors, each risk factor being representative of market behavior estimated to be significant to the price behavior of the traded unit, obtaining information from a third party holding information regarding the composition of said fund regarding the actual significance of said risk factors to the value of said traded unit, and calculating a value for said traded unit on the basis of said significances.

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Wayne, PA, United States of America

Charles A Baker