Working Papers

The WNE Working Papers series has been published by the Faculty of Economic Sciences at the University of Warsaw since 2008.

The WNE Working Papers series provides a fast, open channel for disseminating research conducted at the Faculty of Economic Sciences, University of Warsaw. The papers hosted here are working versions (pre-prints) and may evolve as authors refine their analyses, incorporate feedback, or progress through formal peer-review. What you read is the current version released by the authors, timestamped and assigned DOI/ISSN identifiers to ensure precise citation and version tracking. Copyright remains with the authors, who may, at any time, upload a revised file or add a note directing readers to a later, peer-reviewed publication.

The Working Papers series accepts articles by research employees of the Faculty and publications from conferences organised at the Faculty of Economic Sciences at the University of Warsaw. Articles should be original research papers which have not been previously published, on the subject of economics.

Please send your paper by e-mail: .Kgre'ybJWMV7CvkQw54[{N1+&G]#[$7Z^OqaS'H/I#ZnZ3$#+da/%5t0 

Please send 2 files:

(1) the main text without the title of the article and the authors (DOC/DOCX file) and

(2) the title page including: the title of the paper, the authors and their affiliation (DOC/DOCX file).

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Number of Results 5

WP(17/2019)302. Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach

Authors: Korzeń Kamil, Ślepaczuk Robert
The purpose of this research is to test the potential returns and robustness of an automated investment strategy. The strategy is based on momentum and macroeconomic approach, that consists of the technical core – momentum, and the additional m…

WP302. Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach

The purpose of this research is to test the potential returns and robustness of an automated investment strategy. The strategy is based on momentum and macroeconomic approach, that consists of the technical core – momentum, and the additional macro screening, which is used to determine whether investment signals generate relevant investment opportunities or just technical noise. In order to check whether the macroeconomic factor is the value added to the momentum strategy, the hybrid approach is tested and compared with the simple momentum and the macroeconomic strategy alone and then assessed on a risk-adjusted return basis. The main aim of this paper is to answer the question, whether an investor can gain surplus risk-adjusted returns from merging short-term momentum strategy with the long-term macroeconomic approach. Strategies are based on the data for the selected companies from the S&P500 index in the period ranging from 02/01/1990 to 31/12/2018.


Korzeń Kamil, Ślepaczuk Robert
investment strategy momentum macroeconomic indicators algorithmic trading risk adjusted returns

WP(9/2018)268. Momentum and contrarian effects on the cryptocurrency market

Authors: Krzysztof Kość, Sakowski Paweł, Ślepaczuk Robert
We report the results of investigation of the momentum and contrarian effects on cryptocurrency markets. The investigated investment strategies involve 100 (amongst over 1200 present as of date Nov 2017) cryptocurrencies with the largest market cap a…

WP268. Momentum and contrarian effects on the cryptocurrency market

We report the results of investigation of the momentum and contrarian effects on cryptocurrency markets. The investigated investment strategies involve 100 (amongst over 1200 present as of date Nov 2017) cryptocurrencies with the largest market cap and average 14-day daily volume exceeding a given threshold value. Investment portfolios are constructed using different assumptions regarding the portfolio reallocation period, width of the ranking window, the number of cryptocurrencies in the portfolio, and the percent transaction costs. The performance is benchmarked against: (1) equally weighted and (2) market-cap weighted investments in all of the ranked assets, as well as against the buy and hold strategies based on (3) S&P500 index, and (4) BTCUSD price. Our results show a clear and significant dominance of the short-term contrarian effect over both momentum effect and the benchmark portfolios. The information ratio coefficient for the contrarian strategies often exceeds two-digit values depending on the assumed reallocation period and the width of the ranking window. Additionally, we observe a very significant diversification potential for all cryptocurrency portfolios with relation to the S&P500 index.


DOI: http://doi.org.10.26405/WP/WNE/2018/268/009
Krzysztof Kość, Sakowski Paweł, Ślepaczuk Robert
cryptocurrencies bitcoin blockchain momentum effect contrarian effect investment strategy efficiency of financial markets new asset class asset allocation

WP(10/2016)201. Applying Exogenous Variables and Regime Switching to Multifactor Models on Equity Indices

Authors: Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
This article aims to extend the evaluation of classic multifactor models of Carhart(1997) for the case of global equity indices and to expand analysis performed in Sakowski, Slepaczuk, and Wywial (2015). Our intention is to test several modifications…

WP201. Applying Exogenous Variables and Regime Switching to Multifactor Models on Equity Indices

This article aims to extend the evaluation of classic multifactor models of Carhart(1997) for the case of global equity indices and to expand analysis performed in Sakowski, Slepaczuk, and Wywial (2015). Our intention is to test several modifications of these models to take into account different dynamics of equity excess returns between emerging and developed equity indices. Proposed extensions include volatility regime switching mechanism (using dummy variables and the Markov approach) and three new risk factors based on realized volatility of index returns, percentage deviation from nominal GDP trend and capitalisation relative to GDP factor. Additional modifications include introduction of common and country specific variables in order to control for global risk where fluctuations of volatility of various assets, prices of commodities, currencies and rates is really important. Moreover, instead of using data for individual stocks (which is a common approach in the literature), we evaluate the performance of these models for weekly data of 81 world investable equity indices in the period of 2000-2015. Such approach is proposed to estimate equity risk premium for a single country. Empirical evidence from the first part reveals important differences between results for classical models estimated on single stocks (either in international or US-only frame work) and models evaluated for equity indices. Additionally, we observe substantial discrepancies between results for developed countries and emerging markets. The last part of this research helps us to understand results revealed in the first part. Thanks to introduction of new risk factors, and additional common and country specific variables we were able to increase explanatory power of our factor models especially in case of emerging market indices. Finally, using weekly data for the last 15 years we illustrate importance of model risk and data overfitting effects when drawing conclusions upon results of multifactor models.


Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
multi-factor models asset pricing models equity risk premia equity indices new risk factors sensitivity analysis book to market momentum market price of risk emerging and developed equity indices

WP(39/2015)187. Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices

Authors: Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
This article aims to extend evaluation of classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al.(2015). Our intention is to test several modifications of these models to …

WP187. Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices

This article aims to extend evaluation of classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al.(2015). Our intention is to test several modifications of these models to take into account different dynamics of equity excess returns between emerging and developed equity indices. Proposed extensions include volatility regime switching mechanism (using dummy variables and the Markov approach) and the fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular market (which is a common approach in the literature), we check performance of these models for weekly data of 81 world investable equity indices in the period of 2000-2015. Such approach is proposed to estimate equity risk premium for a single country. Empirical evidence reveals important differences between results for classical models estimated on single stocks (either in international or US-only framework) and models evaluated for equity indices. Additionally, we observe substantial discrepancies between results for developed countries and emerging markets. Finally, using weekly data for the last 15 years we illustrate importance of model risk and data overfitting effects when drawing conclusions upon results of multifactor models.


Sakowski Paweł, Ślepaczuk Robert, Wywiał Mateusz
cross-sectional models asset pricing models equity risk premia equity indices new risk factors sensitivity analysis book to market momentum market price of risk emerging and developed equity indices data overfitting model risk

WP(30/2014)147. Generalized Momentum Asset Allocation Model

Authors: Arendarski Piotr, Misiewicz Paweł, Nowak Mariusz, Skoczylas Tomasz, Wojciechowski Robert
 In this paper we propose Generalized Momentum Asset Allocation Model (GMAA). GMAA is a new approach to construct optimal portfolio and is based on close examination of asset?s returns distribution. GMAA tries to capture certain market phenomena…

WP147. Generalized Momentum Asset Allocation Model

 In this paper we propose Generalized Momentum Asset Allocation Model (GMAA). GMAA is a new approach to construct optimal portfolio and is based on close examination of asset?s returns distribution. GMAA tries to capture certain market phenomena and use information they contain as predictors for future returns. Our model is validated using MSCI Indexes with MSCI World Index set as a benchmark. We find results rather promising as we managed to significantly reduce portfolio volatility and obtain stable path of cumulative returns of portfolio. Our model outperforms benchmark in terms of Information Ratio or Maximum Drawdown. Detailed sensitivity analysis was conducted at the end of this paper and it shows that our strategy is sensitive to a few optimization parameters thus further research may be required.


Arendarski Piotr, Misiewicz Paweł, Nowak Mariusz, Skoczylas Tomasz, Wojciechowski Robert
asset allocation diversification momentum trading strategy capital asset pricing models returns forecasting efficient risk and return measures
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