The following examples are simulated backtesting with either certain portfolios (e.g., funds, where the composition is public) or (equal-weighted) indices. All the examples have a certain IP filter in use, according to the thesis “Companies with big and growing patent portfolios in value have a better future perspective than those without or with shrinking values.” Here, different intellectual property (IP), namely patents and utility models, as well as specific rules, thresholds, and trends were applied using patent portfolio values and different indicators for different years of simulation. The following results are amazing and just a very small excerpt.
In the following charts, the IP marked lines represent the IP filtered choices.
In all cases that we and our customers have investigated so far, the IP stocks were leading to significant outperformance.
The DJ Stoxx 600 Europe Index is separated into IP and low/no IP stocks for 09/2009–01/2019.
Equal-weighted portfolios of 243 IP stocks ("IP Stoxx Europe 600") vs 347 low/no IP stocks ("Low/No IP Stoxx Europe 600") with yearly adjustment of 31.07. The benchmark is the equal-weighted DJ Stoxx 600 Europe Portfolio ("Stoxx Europe 600 (Benchmark)"). Degree of investment = 100%, no risk management, no fees, ex dividend, and all stock prices calculated in EUR.
Using a threshold for highest IP stocks leads to the selective IP Portfolio ("Selecitve IP Stoxx Europe 600") with 121 Stocks. These selected IP Portfolios show an impressive outperformance compared to the Benchmark.
Improvement of existing funds using the example of an existing global equity portfolio of an international leading asset management company.
Equal-weighted portfolios of 113 IP stocks (IP Portfolio) vs. 174 low/no IP stocks (No IP Portfolio) with yearly adjustment of 31.07. The benchmark is an equal-weighted reference global equity portfolio (Portfolio with 287 stocks) with the degree of investment = 100%, no risk management, no fees, ex dividend, and all stock prices calculated in EUR.
The Total Return IP Strategy is a long/short equity market neutral strategy without long exposure.
The IP Stoxx Europe 600 portfolio (IP Stoxx Europe 600) is hedged with Stoxx Europe 600 futures against down-side risk for 07/2010–04/2020.
Average annual return: 9.3 %
Average Volatility: 6.8%
Performance 5 years: 65.7%
Performance 9 years: 123.1%
Maximum drawdown 12 months: -8.8%