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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
403Quantpedia Premium (Buy Premium account to see this strategy)             
413Quantpedia Premium (Buy Premium account to see this strategy)             
10Quantpedia Premium (Buy Premium account to see this strategy)             
134Quantpedia Premium (Buy Premium account to see this strategy)             
279Quantpedia Premium (Buy Premium account to see this strategy)             
362Quantpedia Premium (Buy Premium account to see this strategy)             
445Quantpedia Premium (Buy Premium account to see this strategy)             
7Low Volatility Factor Effect in Stocks – Long-Only VersionMonthly50equitiesstocksComplex strategy1986-20062111.3%10.1%0%Strongfactor investing, smart beta, stock picking, volatility effect0.72
11Quantpedia Premium (Buy Premium account to see this strategy)             
13Short Term Reversal Effect in StocksWeekly20equitiesstocksComplex strategy1990-20092016.25%6.8%0%Strongequity long short, factor investing, reversal, smart beta, stock picking1.8
18Quantpedia Premium (Buy Premium account to see this strategy)             
25Size Factor – Small Capitalization Stocks PremiumYearly1000equitiesstocksComplex strategy1927-20108412%32%-92%Moderately Strongsmall cap, stock picking 
26Value (Book-to-Market) FactorYearly1000equitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%Strongfactor investing, fundamental analysis, smart beta, stock picking, value0.28
33Post-Earnings Announcement EffectQuarterly1000equitiesstocksComplex strategy1987-20041815%0%0%Strongearnings announcement, equity long short, factor investing, fundamental analysis, smart beta, stock picking 
34Quantpedia Premium (Buy Premium account to see this strategy)             
35Quantpedia Premium (Buy Premium account to see this strategy)             
36Net Payout Yield EffectYearly1000equitiesstocksComplex strategy1984-20032022.13%0%0%Strongfactor investing, fundamental analysis, smart beta, stock picking, value 
37Net Current Asset Value EffectYearly100equitiesstocksModerately complex strategy1980-20052631.19%0%0%Strongfactor investing, fundamental analysis, smart beta, stock picking, value 
38Accrual AnomalyYearly1000equitiesstocksComplex strategy1966-2003387.5%10.26%0%Strongaccruals effect, equity long short, factor investing, fundamental analysis, smart beta, stock picking0.34
42Alpha Cloning – Following 13F FillingsQuarterly100equitiesstocksModerately complex strategy1991-20051520.21%0%0%Strongalternative data, stock picking 
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The Encyclopedia of Quantitative Trading Strategies

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