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 1):
A method comprising:\n calculating an overall excess return generated by a Portfolio Manager, wherein the overall excess return represents a return on investment in excess of index return data and wherein the index return data are available from a public source; segmenting the overall excess return by calculating a factor clone excess return and a stock selection excess return, wherein the factor clone excess return represents a contribution of temporal market events and wherein the stock selection excess return represents a contribution of the Portfolio Manager's investment strategy; calculating a respective skill score associated with each of the overall excess return, the factor clone excess return, and the stock selection excess return; and generating a forecast model based on the respective skill scores, whereby the forecast model disaggregates effects of the investment strategy and the temporal market events, and wherein the forecast model represents the Portfolio Manager's probability of exceeding a market benchmark rate of return.

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): 0.1052641666877904
- 35 USC 102 Novelty (BERT): 0.512382121228805
- Combined Prediction Score: 0.1459759621418918
- Mean Citation Score: 267.83880600000003
- Max Citation Score: 280.3867
- Similarity Product: 197.57590445309884

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