Abstract: A system and method is provided for administering an actively managed fund having shares tradable on an exchange, to support efficient secondary market trading. A Fund Module defines an actively managed ETF. A Portfolio Module tracks a portfolio held by the ETF while maintaining confidentiality of at least a portion thereof. A Basket Module publishes Creation and Redemption Baskets including a subset of the fund portfolio. A Current Valuation Module calculates a current Intraday NAV for the portfolio and Baskets throughout a trading day. A Swap Module provides for periodic entry and exit from NAV Swaps between an ETF Party and Swap Counterparties, who exchange payments based on performance of the fund portfolio and the Fund Basket. A Creation/Redemption Module permits creations and redemptions of ETF shares in exchange for the Fund Basket. Arbitrage is permitted between ETF share price and Intraday NAV without full portfolio disclosure.

Abstract: A portfolio management and securities delivery system and method includes a specialized Donor Investment Account Computer (DIAC), Portfolio Optimizer Computer (POC), Market Trading Computer (MTC), and Recipient Account Computer (RAC). The DIAC transmits portfolio data to the POC, which applies a set of rules to a Donor Investment Account portfolio to generate a Donor Selection for contribution of non-cash assets, and then tags and transmits the Donor Selection to the MTC. The MTC receives and decrypts the translated Donor Selection to effect transfer of the Donor Selection to the RAC. The RAC acknowledges receipt of the non-cash assets in-kind, captures the encrypted record of the transferred non-cash assets, and validates the decrypted record of the transferred non-cash assets for incorporating into a Recipient Account portfolio.

Abstract: A system and method is provided for administering an actively managed fund having shares tradable on an exchange, to support efficient secondary market trading. A Fund Module defines an actively managed ETF. A Portfolio Module tracks a portfolio held by the ETF while maintaining confidentiality of at least a portion thereof. A Basket Module publishes Creation and Redemption Baskets including a subset of the fund portfolio. A Current Valuation Module calculates a current Intraday NAV for the portfolio and Baskets throughout a trading day. A Swap Module provides for periodic entry and exit from NAV Swaps between an ETF Party and Swap Counterparties, who exchange payments based on performance of the fund portfolio and the Fund Basket. A Creation/Redemption Module permits creations and redemptions of ETF shares in exchange for the Fund Basket. Arbitrage is permitted between ETF share price and Intraday NAV without full portfolio disclosure.

Abstract: A system and method is provided for administering an actively managed fund having shares tradable on an exchange, to support efficient secondary market trading. A Fund Module defines an actively managed ETF. A Portfolio Module tracks a portfolio held by the ETF while maintaining confidentiality of at least a portion thereof. A Basket Module publishes Creation and Redemption Baskets including a subset of the fund portfolio. A Current Valuation Module calculates a current Intraday NAV for the portfolio and Baskets throughout a trading day. A Swap Module provides for periodic entry and exit from NAV Swaps between an ETF Party and Swap Counterparties, who exchange payments based on performance of the fund portfolio and the Fund Basket. A Creation/Redemption Module permits creations and redemptions of ETF shares in exchange for the Fund Basket. Arbitrage is permitted between ETF share price and Intraday NAV without full portfolio disclosure.

Abstract: A Mutual fund and ETF master-feeder arrangement includes a Mutual Fund module for a feeder mutual fund that issues and redeems mutual fund shares in transactions with investors primarily for cash, an ETF module for a feeder ETF that issues and redeems ETF shares in transactions with Authorized Participants through in kind transfers, and a Master Portfolio module for a master portfolio that issues and redeems interests through in-kind transactions with the Mutual Fund and the ETF. The Mutual Fund applies cash invested by mutual fund investors to purchase securities in accordance with an asset configuration communicated by the master portfolio; and the ETF conforms the composition of assets received in in-kind transactions to the asset configuration. The Mutual Fund and the ETF increase interests in the master portfolio by contributing assets, wherein transactions in securities to accommodate feeder fund inflows occur outside of the master portfolio.

Abstract: A system and method is provided for administering a tax-managed, buy-write investment fund having a plurality of units available for sale to the public. An index representing a first portfolio of assets having desired performance characteristics is identified. A second portfolio of assets is configured to have less than 70 percent overlap therewith. Shares of the second portfolio are purchased, while call options against the index are written.

Abstract: A system and method is provided for administering a tax-managed, buy-write investment fund having a plurality of units available for sale to the public. An index representing a first portfolio of assets having desired performance characteristics is identified. A second portfolio of assets is configured to have less than 70 percent overlap therewith. Shares of the second portfolio are purchased, while call options against the index are written.