FUJI7820

Performance of robotIQ and other German robo advisors

Persephone Team, Oktober 2018

September was a good month to illustrate how arbitrary start- and end dates may obscure much of what occurred. European and Emerging Market equities fell 3-5% but recovered just in time for a nearly unchanged September evaluation. A notable observation is the increasing outperformance of American over European equities. Therefore, for long-term investments it is important to evaluate cumulative longer-term performance.

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 September stats we have updated our comparison aggregating the last three months (July – September)[4].

robotiq-okt

robotIQ portfolios of medium and high risk (robotIQ 16% and robotIQ 21%) continue to occupy the top ranks among all robo advisors over the available comparison period. However, on a risk-return basis the low (robotIQ 6% and 9%) and moderate (robotIQ 13%) risk portfolios are even more impressive.

The portfolio containing derivatives (lever.robotIQ 21%) continues to be an outlier that – until now – impressively demonstrates the potential of incorporating more sophisticated quantitative approaches into robo-advice.

The target risk approach combined with Persephone’s proprietary market view model appears to outperform its competition over the observable period on a risk adjusted basis [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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