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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
1Asset Class Trend-FollowingMonthlybonds, commodities, equities, REITs11.27%6.87%asset class picking, momentum, trendfollowing
2Asset Class Momentum – Rotational SystemMonthlybonds, commodities, equities, REITs15%9.6%asset class picking, momentum, rotational system
3Sector Momentum – Rotational SystemMonthlyequities13.94%18.38%momentum, rotational system, sector picking
5FX Carry TradeMonthlycurrencies7.49%9.7%carry trade, factor investing, forex system, FX anomaly, smart beta
7Low Volatility Factor Effect in Stocks – Long-Only VersionMonthlyequities11.3%10.1%factor investing, smart beta, stock picking, volatility effect
8Currency Momentum FactorMonthlycurrencies6.48%10%factor investing, forex system, FX anomaly, momentum, smart beta
9Currency Value Factor – PPP StrategyQuarterlycurrencies7.8%9.06%factor investing, forex system, FX anomaly, smart beta, value
12Pairs Trading with StocksDailyequities11.16%5.85%arbitrage, equity long short, pairs trading
13Short Term Reversal in StocksWeeklyequities16.25%6.8%equity long short, factor investing, reversal, smart beta, stock picking
14Momentum Factor Effect in StocksMonthlyequities14.3%20.89%factor investing, momentum, momentum in stocks, smart beta, stock picking
15Momentum Factor Effect in Country Equity IndexesMonthlyequities17.7%0%country picking, factor investing, momentum, rotational system, smart beta
16Mean Reversion Effect in Country Equity Indexes3 Yearsequities6.4%0%country picking, factor investing, reversal, rotational system, smart beta
20Volatility Risk Premium EffectMonthlyequities26%19%factor investing, smart beta, volatility effect, volatility premium
21Momentum Effect in CommoditiesMonthlycommodities14.6%25.57%factor investing, momentum, rotational system, smart beta
22Term Structure Effect in CommoditiesMonthlycommodities11.73%23.84%factor investing, rotational system, smart beta, term spread
25Small Capitalization Stocks Premium AnomalyYearlyequities12%32%small cap, stock picking
26Value (Book-to-Market) FactorYearlyequities11.34%26.62%factor investing, financial statements effect, smart beta, stock picking, value
28Value and Momentum Factors across Asset ClassesMonthlybonds, equities, REITs11.9%10%asset class picking, factor investing, momentum, smart beta, value
31Market Seasonality Effect in World Equity Indexes6 Monthsequities8.8%0%market timing, seasonality
33Post-Earnings Announcement EffectQuarterlyequities15%0%earnings announcement, equity long short, factor investing, financial statements effect, smart beta, stock picking
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