Abstract
Robo-advisor (RA) platforms have become fundamental in the areas of finance and technology, as they have revolutionized the way investments are carried out and managed. Nevertheless, investment strategies using traditional financial management are currently being maintained. The objective of this research is to compare an investment portfolio that utilizes similar strategies to those of a RA against an investment portfolio that makes decisions through a consensus of valuation analysts. Fuzzy Jensen’s Alpha is used to compare both portfolios. To create a new portfolio strategy proposal for RA platform as well as a value investing portfolio, we selected Latin American listed companies in Mexico, Colombia, Peru, Chile, and Brazil for the sample. Additionally, we used ETFs to replicate those countries. The timespan considered was from January 15, 2015 to June 28, 2019. The results report that both strategies succeeded in surpassing the benchmark; however, the analysts’ portfolio has accelerated its growth since 2018, increasing its positive gap against the RA portfolio. In this sense, the portfolio developed by the analysts gives an average return higher than the average return of the RA. Nonetheless, the RA portfolio has a higher possibility of obtaining abnormal or unexpected returns than the analyst's value investing portfolio, given the systematic risk involved.
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Caballero-Fernández, R., Cortez, K., Ceballos-Hornero, D. (2022). Robo Advisors vs. Value Investing Strategies: A Fuzzy Jensen’s Alpha Assessment. In: Rodríguez García, M.d.P., Cortez Alejandro, K.A., Merigó, J.M., Terceño-Gómez, A., Sorrosal Forradellas, M.T., Kacprzyk, J. (eds) Digital Era and Fuzzy Applications in Management and Economy. XX SIGEF 2021. Lecture Notes in Networks and Systems, vol 384. Springer, Cham. https://doi.org/10.1007/978-3-030-94485-8_13
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