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Fair Value Model Based System, Method, and Computer Program Product for Valuing Foreign-Based Securities in a Mutual Fund
Fair Value Model Based System, Method, and Computer Program Product for Valuing Foreign-Based Securities in a Mutual Fund
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机译:基于公允价值模型的系统,方法和计算机程序产品,用于评估共同基金中的外资证券
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摘要
A system and method for determining fair value prices of financial securities of international markets includes steps of selecting a universe of securities of a particular international market, computing overnight returns of each security in the selected universe over a predetermined past period of time, selecting at least one return factor of a domestic financial market from a plurality of return factors, computing, for each selected return factor, the return factor's daily return over said predetermined past period of time, calculating, for each selected return factor, a return factor coefficient for each security in the selected universe by performing a time series regression to obtain the contribution of each return factor's return to the security's overnight return, and storing each calculated return factor coefficient in a data file.
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