The year ended in the red almost across the board for equity markets. Divergence between US and other markets reversed slightly at the end of the year as a government shutdown and policy stalemate loomed. Global growth forecasts become increasingly less bullish but overall investor confidence and economic expectations remain positive. The synchronous market movements mean that it was a difficult year for active market management as asset allocation played a lesser role than risk management.

Persephone provides an update on the performance of portfolios managed by its platform robotIQ. Since July, these portfolios, which follow a target risk approach and range from 5-25% annual Value at Risk, are compared to other robo advice offerings which are benchmarked by brokervergeich.de [1-3].

Based on Brokervergleich’s December stats we have updated our comparison aggregating the last six months (July – December) [4].

Short term performance is negative for all robo-advice portfolios on the market and the last quarter of 2018. Expectably, the low risk robotIQ portfolios (robotIQ 6% and robotIQ 9%) continue to occupy the top ranks as their conservative risk structure dampened the losses. Persephone’s medium risk range portfolios (robotIQ 13% and 16%), which are broadly comparable to the set of brokervergleich’s portfolios, have dropped in the relative ranking and appear average at this point in time. Persephone’s high risk standard portfolios (robotIQ 19% and robotIQ 21%) – which are generally riskier than the comparison set – realized the greatest drawdown as would be expected from constant-risk portfolios.

The target risk approach combined with Persephone’s proprietary market view model shows how portfolio risk can be adequately modulated according to client preferences [5]. Over a longer horizon the strengths and weaknesses of the different asset management approaches will become apparent and greater dispersions are to be expected. We will keep updating.

Background:

Persephone operates a quantitative finance platform robotIQ^© which runs one version of its digital asset management solutions in an operational fashion to manage a range of retail portfolios. These managed portfolios are published at wikifolio.com for an objective and transparent record [6]. They are compared to several robo advice offerings in the German market, which are tested by the comparison website brokervergleich.de [1].

[1] Source: Brokervergleich, Franke-Media.net, Leipzig
[2] Please see Brokervergleich Testverfahren for a detailed description of the test approach
[3] Performance of robo-advisory offerings calculated by Brokervergleich (see above), all calculations for robotIQ^© portfolios based on data from Wikifolio, Ariva, Lang & Schwarz and Persephone-own calculations
[4] robotIQ^© portfolios in solid color (VaR 13, 16, 19) have risk characteristics that are similar to the ones of other robo-advice portfolios Brokervergleich has chosen for comparison
[5] Please see separate article „Economic expectations and market views in automated portfolio management“

[6] Persephone Portfolios at www.wikifolio.com

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