To Advise, or Not to Advise — How Robo-Advisors Evaluate the Risk Preferences of Private Investors

How good is the quality of robo-advisory? Together with Michael Tertilt, we focus in our research on the risk assessment of robo-advisors and how they translate their users‘ risk profiles into portfolio recommendations. I present this talk on the World Finance Conference 2017 in Cagliari, Italy. If you want to learn more, you will find our working paper on the SSRN network.

Timing Success Explained

Can technical trading systems outsmart their benchmark? In our analysis we take a look on what drives trading performance of SMA rules. The working paper is pending but our results have been presented on many conferences, e.g. EURO 2015 in Glasgow, MFS Annual Meetings 2016 in Lemesos and Stockholm, World Finance Conference 2016 in New York, and Quant 2017 in Venice.

Performance Analysis of Investment Strategies – Pitfalls and Surprises

Abstract

Active investment strategies are a subject of endless debates. Myriads of studies have been conducted to proof performance potential or to reject previous studies due to flaws or misinterpretations. The presentation will address three specific aspects which often are disregarded when performance is measured. Firstly, we will discuss the role of backtests and show that this instrument — even when used carefully and skilled — may lead to biased and misleading results. Secondly, we give an example that the concepts of performance and forecast power must be strictly distinguished. Finally, we demonstrate that implementation details, while largely neglected, may strongly impact and bias a strategy’s performance.

Citation

Peter Scholz & Ursula Walther (2013): Performance Analysis of Investment Strategies — Pitfalls and Surprises. Lecture Notes in Management Science Vol. 5, 176-180.

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