This is a very interesting problem. Basically the algorithm for when to roll needs to be:
1.) Random and hard to predict before-the-fact
2.) Totally verifiable after-the-fact by the public (or by an uninterested authority the public trusts)
That means a randomized algorithm whose seed is something the ETF manager knows before the general public, but which everyone else can verify once they publicize the info.
Quick brainstorming:
1.) They seed based on a hash of their total AUM or PNL on a certain date, down to the penny, which is almost impossible for outsider's to predict but which they know internally and can publicize in the next quarterly statement.
2.) They tell the SEC a list of state-run lotteries in secret, then the seed is the winning lottery number on a particular night. The public can never know which lottery is the one that matters until after-the-fact.
3.) Seed based off a hash of the concatenation of every employee's birthday or social security number, which is never public, but if there was ever a serious investigation or audit, they could verify to authorities that they followed the rules.
1.) Random and hard to predict before-the-fact
2.) Totally verifiable after-the-fact by the public (or by an uninterested authority the public trusts)
That means a randomized algorithm whose seed is something the ETF manager knows before the general public, but which everyone else can verify once they publicize the info.
Quick brainstorming:
1.) They seed based on a hash of their total AUM or PNL on a certain date, down to the penny, which is almost impossible for outsider's to predict but which they know internally and can publicize in the next quarterly statement.
2.) They tell the SEC a list of state-run lotteries in secret, then the seed is the winning lottery number on a particular night. The public can never know which lottery is the one that matters until after-the-fact.
3.) Seed based off a hash of the concatenation of every employee's birthday or social security number, which is never public, but if there was ever a serious investigation or audit, they could verify to authorities that they followed the rules.