Markus Dollmann, Dierk-Oliver Kiehne, Andreas Zagos, Joannis Zagos
IP-VALUE FACTOR-BASED STRATEGY SHOW OUTPERFORMANCE IN NEARLY ALL INVESTIGATED GLOBAL INDICES
Funds compositions are typically the result of more-or-less intense fundamental or quantitative analysis. Here, often indicators like the company size, dividend payments, profit margins and their change over time are considered. If R&D activities are also considered then most often the R&D expenses are used as an innovation indication. For the measurement of a sustainability degree of a certain company, external ESG data are used or own research is analysing the sustainability reports that are based on the corporation’s selfassessment. New key figures based on patents, their value and their quality are able to uncover even more: R&D outcome - the innovation “ability”, hidden assets – patents are often not activated in the balance sheet and even sustainability activities can be easily extracted out of patents. How effective a selection based on patent key-figures is, shows the result of 13 Indices where an additional patent-based factor - filter was applied and backtested. In all cases significant outperformance could be shown in comparison to the original Index-composition.