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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
91Momentum Factor and Style Rotation EffectMonthly6equitiesETFsSimple strategy1972-2005349.25%16.01%0%Strongfactor allocation, momentum, rotational system0.33
122Momentum Factor Combined with Asset Growth EffectMonthly1000equitiesstocksComplex strategy1964-20064323%20.3%0%Strongequity long short, factor investing, fundamental analysis, momentum, momentum in stocks, smart beta, stock picking0.94
15Momentum Factor Effect in Country Equity IndexesMonthly5equitiesETFs, fundsSimple strategy1968-20094217.7%0%0%Strongcountry picking, factor investing, momentum, rotational system, smart beta 
152Momentum Factor Effect in REITsMonthly50REITsstocksSimple strategy1980-2008299.51%0%0%Moderately Strongfactor investing, momentum, smart beta, stock picking 
14Momentum Factor Effect in StocksMonthly1000equitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%Strongfactor investing, momentum, momentum in stocks, smart beta, stock picking0.49
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85Momentum in Mutual Fund ReturnsQuarterly10equitiesfundsSimple strategy1973-20043219%19.5%0%Strongfund picking, momentum0.77
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37Net Current Asset Value EffectYearly100equitiesstocksModerately complex strategy1980-20052631.19%0%0%Strongfactor investing, fundamental analysis, smart beta, stock picking, value 
163Quantpedia Premium (Buy Premium account to see this strategy)             
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The Encyclopedia of Quantitative Trading Strategies

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