Scalable Capital – ethischer Robo-Advisor made in Germany

Scalable Capital Office in MuenchenRobo-Advisors sind meistens nicht transparent und basieren sich auf in der Praxis nicht funktionierende Modelle wie Markowitz oder Black-Litterman. Darüber haben wir schon sowohl in kurzem Pamphlet "Anti-Asimov’s Three Laws of Robo-Advisory" als auch in fachlichem Artikel "Stripping down the robo-advisors: sparrow-brains inside" berichtet. Anders ist scalable.capital. Scalable legt sein Modell offen und habt u.a. ein ausführliches Whitepaper veröffentlicht. Nach der Besprechung dieses Whitepapers mit Prof. Dr. Stefan Mittnik kann man eindeutig sagen: Scalable schafft den Mehrwert für Investoren. Ob dabei das Leistung/Gebühren Verhältnis passt, muss jeder für sich selbst entscheiden.

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Wifikolio AMERICANDREAM – Auch die Risikoanalyse-LITE ist behilflich

Das Wikifolio AMERICANDREAM ist ein DACH-Wikifolio (also Wikifolio aus Wikifolien), welches aus "minimal 5 und bis maximal 20 wikifolios ... mit guter Performance und geringeren Marktschwankungen" besteht. Selbst eine schnelle Risikoanalyse lässt viele Gefahrenquellen entdecken. Vor allem wird die Bedingung "mit geringeren Marktschwankungen" nicht erhalten. Darüber hinaus droht mehreren "Zutat-Wikifolien" der (baldige) Totalverlust.

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(So far) successully betting the farm – a case study of a Wikifolio UnderDogs Aktienwerte -Weltweit

We scrutinize a case of investment strategy, which aggressively bets nearly everything on a few or even on a single stock. Since inception it yielded 160% of return by maximum drawdown of -45.59%. The strategy is popular among retail investors on Wikifolio (distinguished as "Bestseller"). We critically analyze possible risks and rewards.
 Wikifolio "UnderDogs Aktienwerte -Weltweit-" - Performance chart with trend (0.25% per day)

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Quantopian – why I don’t take part

Quantopian is a very interesting FinTech project for virtually everybody, who wants to try the algorithmic trading. Yet I explain why I myself - a successful trader, experienced quant and good programmer - don't take part. Continue reading "Quantopian – why I don’t take part"

7 good Wikifolios – Automatic Statistical Performance and Risk Analysis

Wikifolio is a FinTech start-up that lets virtually everybody to become an fund manager. Wikifolio adheres to highest public disclosure standards, in particular current portfolios and complete trading statistics are available in real time. However, wikifolio lacks any statistical and chart analysis. One cannot even add a benchmark like DAX or DJ30 to a wikifolio chart. 
We propose a way to increase the value of disclosed information and looking forward for feedback from both Wikifolio trades and investors. We also hope for official feedback from Wikifolio team.

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Anti-Asimov’s Three Laws of Robo-Advisory

  1. Falsely affirm that nobody can beat the market
  2. Substitute the idea of wealth maximization with the idea of cutting-off the management fees.
  3. Don't disclose anything about the underling portfolio optimization model and avoid showing possible future portfolio dynamics.

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Big Data and Deep Learning, a technology revolution in trading or yet another hype?

Summary:

  • BigData and DeepLearning are popular buzz words nowadays. But the number of the genuine success stories is relatively small.
  • In trading the BigData technology is mostly associated with automatic analysis of the news and sentiment in social networks. But unless you are Google or Reuters, you will never be the one who gets the news first. Additionally, a market reaction both to news and sentiment is often vague and amorph.
  • Large deep neural networks closely resemble a human brain, which also has a lot of neurons, interconnected in many layers. But it doesn't mean a breakthrough to a real artificial intelligence: all is not gold that glitters.
  • a positive side: trading is only a part of the financial world. Likely, BigData + DeepLearing has a high potential in adjacent areas like risk profiling and credibility analysis.

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A simple scenario simulator for Vanguard optimal portfolio

Vanguard optimal portfolio - 100 scenarios - sample simulationThere is yet another Roboadvisor from Vanguard Group. As any RoboAdvisor, its recommendations are far from perfection. However, I like it (at least more than others) because the Vanguard guys managed to make it simple. On the other hand I am quite disappointed that they do not show how a suggested portfolio may evolve (and I am quite sure that legendary John Bogle would be disappointed too). That's why I made a simple scenario simulator on my own. It is based on sample with replacement.
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Wikifolio – a genuinely social trading and investment FinTech project

Wikifolio and LS - photo for letYourMoneyGrow.com

Summary of advantages:

  • Wikifolio allows everyone to build a proven track record. If a portfolio meets some simple requirements, an ETF on it can be issued. Technically such ETFs are issued like certificates by Lang & Schwarz and are traded by L&S directly and on the Stuttgart Exchange.
  • Wikifolio adheres to maximum disclosure policy: in particular, for every portfolio they provide complete trading history in real time.
  • Wikifolio is very suitable for the strategies that imply frequent trading since there is no costs per trade (only bid-ask spread and all-in fee of 0.95% p.a.)
  • Wikifolio liberates portfolio management from regulatory cram and lets investors meet the portfolio managers directly (without expensive and dubious middlemen). At the same time the investors do not need to transfer their money directly to portfolio managers, so there is virtually no scam risk.
  • Last but not least, numerous successful traders on Wikifolio clearly disprove the mantra that "nobody can beat the market".

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Stripping down the robo-advisors: sparrow-brains inside

Robo Advisor - Sparrow Brains

Summary:

  • Robo-advisors promise the risk profiling in a few easy steps, which is unrealistic both from mathematical and behavioral points of view.
  • The "optimal" portfolios are usually based on Markowitz-like models, which are inapplicable in practice due to their extreme numerical sensitivity to the market parameters estimation errors.
  • Robo-advisors lure investors with low management fees but minimizing fees and maximizing the wealth is not the same. Moreover, the compound costs are not so small in the long term.
  • A positive side: Robo-advisers do not (yet) foist toxic financial products upon you.

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