The present disclosure is directed toward generating indexes of unlevered asset returns based on the returns of constituents that employ leverage in the return-generating process, without exposing investors to significant tracking error. Data an amount of debt, cost of debt, implied market capitalization, and relative weights are compiled for each constituent of an index of returns of entities employing leverage. Additionally, return data are compiled for each exchange-traded product producing returns relevant to the cost of leverage employed by at least one of the constituents. Using the collected data, absolute weights of each constituent and each exchange traded product in an index of unlevered asset returns are determined. The index of unlevered asset returns may then be generated according to the constituents, the exchange-traded products, and the absolute weights.
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