Society and Economy
Volume/Issue:
Volume 41: Issue 3
The Performance and Asset Allocation of German Robo-Advisors
Author:
Michael Puhle Corvinus University Budapest, Hungary

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Pages:
331–351
Online Publication Date:
Sep 2019
Publication Date:
01 Sep 2019
Article Category:
Research Article
DOI:
https://doi.org/10.1556/204.2019.41.3.4
Keywords:
robo-advisor; robo-advise; FinTech; style analysis; G11; G21; G23
Open access

After a short historical perspective on the emergence of robo-advisors and an overview of how they manage other people's money, we evaluate the performance of five German robo-advisors in the period between May 2015 and December 2018. Performance tests are conducted using Sharpe's (1966) and Jensen's (1968) performance methodologies. We also employ the returns-based style analysis of Sharpe (1992) to determine the exposure of robo-advisors to different non-overlapping asset classes. We report the following findings: First, no robo-advisor was able to beat the benchmark before or after considering fees. Second, robo-advisor performance varies greatly in the sample period even for portfolios that should appeal to clients with similar risk preferences. Third, these performance differences remain unexplained after accounting for the different asset allocations.

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Cover Society and Economy
Society and Economy
Print ISSN:
1588-9726
Online ISSN:
1588-970X

Editor-in-chief: Balázs SZENT-IVÁNYI

Co-Editors:

  • Péter MARTON (Corvinus University, Budapest)
  • István KÓNYA (Corvinus University, Budapest)
  • László SAJTOS (The University of Auckland)
  • Gábor VIRÁG (University of Toronto)

Associate Editors:

  • Tamás BOKOR (Corvinus University, Budapest)
  • Sándor BOZÓKI (Corvinus University Budapest)
  • Bronwyn HOWELL (Victoria University of Wellington)
  • Hintea CALIN (Babeş-Bolyai University)
  • Christian EWERHART (University of Zürich)
  • Clemens PUPPE (Karlsruhe Institute of Technology)
  • Zsolt DARVAS (Bruegel)
  • Szabina FODOR (Corvinus University Budapest)
  • Sándor GALLAI (Corvinus University Budapest)
  • László GULÁCSI (Óbuda University)
  • Dóra GYŐRFFY (Corvinus University Budapest)
  • György HAJNAL (Corvinus University Budapest)
  • Krisztina KOLOS (Corvinus University Budapest)
  • Alexandra KÖVES (Corvinus University Budapest)
  • Lacina LUBOR (Mendel University in Brno)
  • Péter MEDVEGYEV (Corvinus University Budapest)
  • Miroslava RAJČÁNIOVÁ (Slovak University of Agriculture)
  • Ariel MITEV (Corvinus University Budapest)
  • Éva PERPÉK (Corvinus University Budapest)
  • Petrus H. POTGIETER (University of South Africa)
  • Sergei IZMALKOV (MIT Economics)
  • Anita SZŰCS (Corvinus University Budapest)
  • László TRAUTMANN (Corvinus University Budapest)
  • Trenton G. SMITH (University of Otago)
  • György WALTER (Corvinus University Budapest)
  • Zoltán CSEDŐ (Corvinus University Budapest)
  • Zoltán LŐRINCZI (Ministry of Human Capacities)

Society and Economy
Institute: Corvinus University of Budapest
Address: Fővám tér 8. H-1093 Budapest, Hungary
Phone: (36 1) 482 5406
E-mail: balazs.szentivanyi@uni-corvinus.hu

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2023  
Scopus  
CiteScore 1.5
CiteScore rank Q2 (Sociology and Political Science)
SNIP 0.496
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Society and Economy
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Society and Economy
Language English
Size B5
Year of
Foundation		 1972
Volumes
per Year		 1
Issues
per Year		 4
Founder Budapesti Corvinus Egyetem
Founder's
Address		 H-1093 Budapest, Hungary Fővám tér 8.
Publisher Akadémiai Kiadó
Publisher's
Address		 H-1117 Budapest, Hungary 1516 Budapest, PO Box 245.
Responsible
Publisher		 Chief Executive Officer, Akadémiai Kiadó
ISSN 1588-9726 (Print)
ISSN 1588-970X (Online)

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