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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityIndicative PerformanceConfidence in AnomalyKeywords
25Size Factor – Small Capitalization Stocks PremiumYearly1000equitiesstocksComplex strategy6.1%Moderately Strongequity long short, factor investing, small cap, smart beta, stock picking
26Value (Book-to-Market) FactorMonthly1000equitiesstocksComplex strategy3.6%Strongfactor investing, fundamental analysis, smart beta, stock picking, value
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28Value and Momentum Factors across Asset ClassesMonthly6bonds, equities, REITsETFs, funds, futuresSimple strategy11.9%Strongasset class picking, factor investing, momentum, smart beta, value
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31Market Seasonality Effect in World Equity Indexes6 Months1equitiesCFDs, ETFs, funds, futuresSimple strategy8.8%Weakmarket timing, seasonality
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33Post-Earnings Announcement EffectQuarterly1000equitiesstocksComplex strategy15%Strongearnings announcement, equity long short, factor investing, fundamental analysis, smart beta, stock picking
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36Net Payout Yield EffectYearly1000equitiesstocksComplex strategy22.13%Strongfactor investing, fundamental analysis, smart beta, stock picking, value
37Net Current Asset Value EffectYearly100equitiesstocksModerately complex strategy31.19%Strongfactor investing, fundamental analysis, smart beta, stock picking, value
38Accrual AnomalyYearly1000equitiesstocksComplex strategy7.5%Weakaccruals effect, equity long short, factor investing, fundamental analysis, smart beta, stock picking
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41Turn of the Month in Equity IndexesDaily1equitiesCFDs, ETFs, funds, futures, optionsSimple strategy7.2%Strongmarket timing, seasonality
42Alpha Cloning – Following 13F FillingsQuarterly100equitiesstocksModerately complex strategy20.21%Strongalternative data, stock picking
44Paired SwitchingQuarterly2bonds, equitiesETFs, funds, stocksSimple strategy11.3%Strongasset class picking, fund picking, market timing, momentum, rotational system
45Short Interest Effect – Long-Short VersionMonthly1000equitiesstocksModerately complex strategy19.7%Moderately Strongequity long short, factor investing, smart beta, stock picking
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