Matthias Rumpf

4th of December 2017

Jours fixes usually take place on the first monday of the month, starting at 5:00 p.m., in HoF E.01 / Deutsche Bank of the House of Finance (Campus Westend).

[Matthias Rumpf, E-Finance Lab]

Can robo-advice restore rationality in self-directed portfolios?

In a field experiment, we test what happens when people are given access to a tool that provides a simple visual representation of the ex-ante efficiency of simulated portfolios for private investors. We find that 18% of clients that were invited by (e-)mail accessed the tool. Those opting-in are younger, richer and more financially sophisticated. Observing each simulation run and subsequent portfolio transactions, we find that a) investors optimize the (ex-ante) efficiency in terms of portfolio Sharpe ratio using the simulation tool, i.e. the robo, and b) the higher the increase in efficiency the more simulated positions are implemented. Furthermore, we will analyze if simulated efficiency gains indeed translate into actual portfolios.