The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Apr. 10, 2012
Filed:
Dec. 28, 2010
Robert N. Haddad, Acton, MA (US);
Peter L. Ciampi, Lexington, MA (US);
Eric Zitzewitz, Cambridge, MA (US);
Robert N. Haddad, Acton, MA (US);
Peter L. Ciampi, Lexington, MA (US);
Eric Zitzewitz, Cambridge, MA (US);
Interactive Data Pricing and Reference Data, Inc., Bedford, MA (US);
Abstract
An exemplary embodiment comprises a method for determining at an effective valuation time a fair value of an exchange traded fund comprising securities, at least one of the securities not currently trading in a liquid market, comprising: (a) for each security: (i) receiving historical price data, wherein the historical price data comprises data for price-related time-dependent variables; (ii) performing a regression analysis on the historical price data; and (iii) calculating at the effective valuation time a fair value of the security based on the regression analysis and on values of one or more of the plurality of price-related time-dependent variables; (b) multiplying the fair value by the security's weighting in the exchange traded fund to obtain a weighted fair value; and (c) aggregating the weighted fair values of the plurality of securities in the exchange traded fund to obtain a fair value adjusted price for the exchange traded fund.