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METHOD AND SYSTEM FOR REBALANCING INVESTMENT VEHICLES
METHOD AND SYSTEM FOR REBALANCING INVESTMENT VEHICLES
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机译:重新平衡投资车辆的方法和系统
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摘要
A computer-implemented method is provided for rebalancing an exchange-traded fund. The method is performed by a computer, and includes setting a daily target return for the exchange-traded fund based on a target base index. The method also includes monitoring an actual return of the exchange-traded fund over a time period. The method also includes setting a performance band for rebalancing the exchange-traded fund. The performance band is set based on the daily target return and a volatility of the target base index. The method further includes generating signals to rebalance the exchange-traded fund based on the performance band and the actual return.
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