Lecture by Professor Juliusz Jabłecki at the QFRG and DSLab Seminar

We warmly invite you to take part in the upcoming seminar, scheduled for May 19, 2025.

During the event, organized by the QFRG and DSLab research centres, Professor Juliusz Jabłecki (Quantitative Finance and Machine Learning Department) will present a study entitled „From Theory to Practice: Polish Equity Risk Factors and Their Implementation Costs”.

The seminar will begin at 17:30 in Room B002 and will also be accessible via Zoom (please arrive or log in by 17:25).

Link to the meeting: https://uw-edu-pl.zoom.us/j/93886973103?pwd=2S2L5mY29vEPl3VGAasjTQlB1iwMHu.1

[Meeting ID: 938 8697 3103
Passcode: 716724]

The abstract of the presentation is provided below.

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This paper investigates the performance and implementability of equity factor strategies – value, momentum, quality, and low volatility (defensive) – in the Polish stock market over the 2014–2024 period. The “academic” factors constructed as long-short portfolios are found to produce positive returns lowly (or negatively) correlated with the broad market. However, once transaction costs – including bid-ask spreads, commissions, and market impact – are incorporated, net factor returns deteriorate substantially, losing much of their appeal. The absence of a developed short-selling market in Poland further challenges the direct replication of traditional academic factor models. Despite these frictions, factor signals can still add value in a long-only framework, particularly when turnover constraints and liquidity filters are introduced. Backtests of factor-tilted portfolios demonstrate that smart beta-style implementations, especially those complemented by short positions in WIG20 index futures neutralizing market exposure, offer a viable alternative to pure long-short factor strategies.