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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
25Small Capitalization Stocks Premium AnomalyYearlyequities12%32%small cap, stock picking
26Value (Book-to-Market) FactorYearlyequities11.34%26.62%financial statements effect, stock picking, value
14Momentum Factor Effect in StocksMonthlyequities14.3%20.89%momentum, momentum in stocks, stock picking
3Sector Momentum – Rotational SystemMonthlyequities13.94%18.38%momentum, rotational system, sector picking
326Quantpedia Premium (Buy Premium account to see this strategy)     
22Term Structure Effect in CommoditiesMonthlycommodities11.73%23.84%rotational system, term spread
244Quantpedia Premium (Buy Premium account to see this strategy)     
331Quantpedia Premium (Buy Premium account to see this strategy)     
151Quantpedia Premium (Buy Premium account to see this strategy)     
23Quantpedia Premium (Buy Premium account to see this strategy)     
429Quantpedia Premium (Buy Premium account to see this strategy)     
241Quantpedia Premium (Buy Premium account to see this strategy)     
344Quantpedia Premium (Buy Premium account to see this strategy)     
5FX Carry TradeMonthlycurrencies7.49%9.7%carry trade, forex system, FX anomaly
137Quantpedia Premium (Buy Premium account to see this strategy)     
206Quantpedia Premium (Buy Premium account to see this strategy)     
405Quantpedia Premium (Buy Premium account to see this strategy)     
240Quantpedia Premium (Buy Premium account to see this strategy)     
32Quantpedia Premium (Buy Premium account to see this strategy)     
281Skewness Effect in CommoditiesMonthlycommodities8.01%10.2%volatility effect
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The Encyclopedia of Quantitative Trading Strategies

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