Robeco: Männliches vs. weibliches Aktienportfolio

In seinem aktuellen Blog-Beitrag betrachtet Jeroen Blokland, Portfoliomanager bei Robeco, die Unterschiede in der Aktiienauswahl zwischen Frauen und Männern.

This week SigFig, an algorithm-based investment manager, published a very entertaining report that, once again, demonstrates that men and women have a totally different approach when it comes to investing. In addition, it also convincingly confirmed all stereotypes about male and female investing capabilities. As this article from Business Insider summarizes men trade more, realize lower returns, and are significantly more likely to lose money. However, totally unmoved by any of these statistics, men remain the most optimistic about their chances to beat the market.

Returns on male and female stocks

The SigFig study included an insightful graph, which reveals that men and women are drawn to completely different companies. Men favor stocks of companies that ‘make the headlines’, while women go for the ‘less trendy picks’. This graph is related to the central question that this blog will try to answer. Based on these ‘male’ and ‘female’ stocks, who would have been the better investor? Men or women?

To find out I calculated the 1-year total return for all the stocks mentioned in the SigFig graph. I then averaged the returns of all stocks that are in the ‘female’ portfolio and the returns of all stocks in the ‘male’ portfolio. The result is quite remarkable. Not women, but men realized the better return. Their portfolio of nine ‘men’-stocks generated a return of almost 26%, while the female portfolio returned 23%. A difference of almost 3%. Not that women did poorly, though. Both portfolios massively outperformed the S&P 500 index which realized a total return of ‘just’ 16%.

The graph also includes the average returns without Apple. According to the SigFig graph Apple is either equally loved by men and women, or (more likely) functions as a benchmark against which the attractiveness of other companies is measured. In both cases, however, it makes sense to exclude Apple from the male and female portfolio. But when the staggering performance of Apple is left out (+66%) both the men and women portfolio still manage to beat the S&P 500 Index (and that is including Apple.)

Equally risky

Now, it could be the case that the female portfolio is less risky, which explains why it trails the male portfolio. This is not the case, however. The graph below shows the average volatility of the stocks in both portfolios. As the graph reveals the risk profile of the two portfolios is very similar, between 23-24%. The difference in volatility is too small to explain the 3% return differential. (Mind you, to keep things simple correlation effects are not taken into account.) Both portfolio are, however, significantly more risky than the S&P500 index, probably also because the number of stocks is too limited to reach full diversification benefits.

So, perhaps men can beat women in this specific occasion? Let me do a final check to know for sure. Thus far, I have used equally-weighted average returns to compare the male and female portfolio. But as the SigFig graph shows, some companies are more ‘likeable’ than others. For instance, for women Frontier Communications, with an attractiveness value of 1.4, is even more attractive than Amazon, which scores a value of 1.1. If we take these scores and use them as portfolio weights the relative attractiveness of companies can be taken into account when calculating average returns.

Order restored, Women beat MenWhen we use the relative attractiveness to calculate average returns the order is restored. As the graph below shows the average return on the female portfolio is now marginally higher than the average return of the male portfolio. So, once the level of ‘conviction’ is taken into account, something that is commonly done to determine the (relative) size of investments, women again come out on top. There is just no way around it.

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