PATENT CLAIM ANALYSIS

Application Number: 15861806
Application Type: Utility
Filing Date: 2018-01
Publication Date: 2018-05
Patent Classification: ["705", "03600R"]

Abstract:
Disclosed are a system and a method for selecting index Portfolio Managers/Products and active Portfolio Managers/Products for an investment portfolio. The invention separates the performance impact of temporal market events from a Portfolio Manager's active security and/or factor selection skill. The method includes preparing data by calculating excess returns for Portfolio Managers/Products using stock market indices, extracting Active Share, and extracting raw factor data and generating composite indices for sectors. Using the skill metrics, Active Shares, and Manager 36-month return, a cross sectional rolling regression model with rolling one-month window is calibrated to forecast the probability of outperforming a benchmark over the subsequent 36-month period. To determine the efficacy of each of the forecast models, an analysis is performed to determine the overall accuracy for each one. P-values are used to measure significance of the independent variables. Accuracy is measured by comparing forecasts with Managers' actual excess returns.

Claim (Index 8):
A method comprising:\n generating a first forecast model to predict a Portfolio Manager's first probability of exceeding a first market benchmark rate of return, the first probability based on a first overall excess return comprising a first investment strategy component and a temporal market events component, whereby the first forecast model disaggregates effects of the first investment strategy component and the temporal market events component; generating a second forecast model to predict the Portfolio Manager's second probability of exceeding a second market benchmark rate of return, the second probability based on a second overall excess return comprising a second investment strategy component and the temporal market events component, whereby the second forecast model disaggregates effects of the second investment strategy component and the temporal market events component; and assigning a first forecast accuracy value and a second forecast accuracy value to the first forecast model and the second forecast model, respectively, and comparing the first investment strategy to the second investment strategy responsive to said assigning.

Metadata:
- Claim Count in Document: 17.0
- Percentile: 86.0
- Lexical Diversity: 1.66327
- Patent Class: 705.0
- Transitional Phrase Type: open
- Component Type: 1
- Foreign Priority: False
- Related Applications: ['11541146', '14028132', '09346195', '10939641', '11043382']

Analysis Scores:
- 35 USC 101 Eligibility (BERT): 0.1052327751062273
- 35 USC 102 Novelty (BERT): 0.512829549418076
- Combined Prediction Score: 0.1459924525374122
- Mean Citation Score: 267.83880600000003
- Max Citation Score: 280.3867
- Similarity Product: 195.8104953974784

Labels:
- Claim Label 101: 0
- Claim Label 102: 1
- Claim Label 103: 1
- Claim Label 112: 0
- Combined Label: 0
- Label 101 Adjusted: 0

Dataset: test