Fair-value pricing of a financial asset
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United States of America Patent
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Apr 10, 2012
Issued Date -
N/A
app pub date -
Dec 28, 2010
filing date -
Apr 16, 2001
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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.
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