Own-research

The Knapsack problem implementation in R

16.October 2020

Our own research paper ESG Scores and Price Momentum Are More Than Compatible utilized the Knapsack problem to make the ESG strategies more profitable or Momentum strategies significantly less risky. The implementation of the Knapsack problem was created in R, using slightly modified Simulated annealing optimization algorithm. Recently, we have been asked about our implementation and the code. The code is commented and probably could be implemented more efficiently (in R or in another programming language). For example, R is more efficient with matrices, but the code would not be that “straightforward”. Lastly, the most important tuning parameter is the temperature decrease (the probability of accepting a new solution is falling with the rising number of iterations).

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Multi-Asset Skewness Trading Strategy

19.August 2020

The best course of action for every quant researcher is to try to fundamentally understand anomalies and explore their functioning besides the original scope of the academic research papers. The goal of this article was to look for inspiration and further explore the Skewness affect – the tendency of assets with the lowest skewness to outperform assets with the highest skewness. It seems that this anomaly is present not only in commodities but also in currencies, fixed income and equities. Trading strategy that exploits the effect of skewness in the multi-asset setting would earn an annual return of 7.67% when leveraged to the 15% volatility.

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The Effectivity of Selected Crisis Hedge Strategies

30.July 2020

During past months we made a set of articles analyzing the performance of equity factors and selected systematic strategies during coronavirus crisis. These articles were short-ranged with data only from the start of the year 2020, which is enough for the purpose of the quick blog posts, but very short-sighted to see the nature of these strategies. Therefore, we expanded the time range by 20 years. For a better understanding of hedge possibilities of these strategies, we have added a comparison to essential safe-haven assets, not only to equities.

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