Bank of America Corporation
Systems and methods for providing leveraged, trading-volatility-responsive, intraday balancing

Abstract:

The disclosure provides an intra-day balancing of a fund index. The disclosure includes retrieving the value of an underlying index at a first balancing point from a trading tape at a point in time that is close, in time, to the balancing point and determining the value of the underlying index at a second balancing point. If the value of the underlying index increased between the first balancing point and the second balancing point, then the method increases an exposure to the underlying index. If the value of the underlying index decreased between the first balancing point and the second balancing point, then the method decreases the exposure of the intra-day index to the underlying index. The method may then compare the current trading volatility of the underlying index to a historic trading volatility. If the current trading volatility is greater than the historic trading volatility, then the method may decrease the leverage of the intra-day index with respect to the underlying index. If the current trading volatility is less than the historic trading volatility, then the method may increase the leverage of the intra-day index.