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Performance of robotIQ and other German robo advisors

Persephone Team, April 2019

In the last months the markets continued the rally that had emerged somewhat unexpectedly in January. While the US experienced a government shutdown, the downward adjustment of future interests by FED due to slowed economic dynamism contributed to a regain of investors’ confidence and by this means fueled particularly equity markets. Until end of March, US S&P 500 was up 13% and Eurozone equities gained almost 12%.

On the other hand, the bond market situation is alerting. An increasing number of market participants is concerned about the high yield bond market and about private debt funds. This fear can be observed by tracking equity and bond volatilities with bond volatility being higher than equity volatility. Further, the US yield curve in March formally inverted (when applying the typical definition of calculating the spread between ten- and two-year yields), yielding to a manifestation of the various interpretations coming along with it [4].

Apart from the developments for corporate debt, we observe other sources for uncertainty, e.g. a deflation of the tech bubble, unresolved tariff conflicts, the struggling economy in China and recession threats in Europe. Combined, those issues persuaded us to leave our conservative allocation of Persephone’s reference portfolio unchanged throughout the first quarter of 2019.

Based on Brokervergleich’s March stats we have updated our comparison aggregating the months January – March 2029 [1][2][3].

robotiq-mar

Performance of robotIQ portfolios in this period was excellent. Particularly in March, Bitcoin price jumps drove gains in robotIQ portfolios explaining the remarkable outperformance.

We decided to add our leveraged 21 VaR portfolio to the comparison shown above. Even though the risk profile of robotIQ 21L is not comparable to any of the robo-advice portfolios partaking in the test [3], it however does demonstrates impressively how intelligent and sophisticated extensions of robo-advice models can lead to a significant outperformance (4% outperformance compared to the best performing standard robo-advice model in 3 months).

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 [5]. 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), please see Brokervergleich Testverfahren for a detailed description of the test approach
[2] 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
[3] 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
[4] Please see separate article „Signals for an upcoming recession?

[5] Persephone Portfolios at www.wikifolio.com

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