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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
22Term Structure Effect in CommoditiesMonthlycommodities11.73%23.84%factor investing, rotational system, smart beta, term spread
23Quantpedia Premium (Buy Premium account to see this strategy)     
25Size Factor – Small Capitalization Stocks PremiumYearlyequities12%32%small cap, stock picking
26Value (Book-to-Market) FactorYearlyequities11.34%26.62%factor investing, fundamental analysis, smart beta, stock picking, value
31Market Seasonality Effect in World Equity Indexes6 Monthsequities8.8%0%market timing, seasonality
32Quantpedia Premium (Buy Premium account to see this strategy)     
33Post-Earnings Announcement EffectQuarterlyequities15%0%earnings 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 EffectYearlyequities22.13%0%factor investing, fundamental analysis, smart beta, stock picking, value
37Net Current Asset Value EffectYearlyequities31.19%0%factor investing, fundamental analysis, smart beta, stock picking, value
38Accrual AnomalyYearlyequities7.5%10.26%accruals effect, equity long short, factor investing, fundamental analysis, smart beta, stock picking
41Turn of the Month in Equity IndexesDailyequities7.2%6.9%market timing, seasonality
43Quantpedia Premium (Buy Premium account to see this strategy)     
44Paired SwitchingQuarterlybonds, equities11.3%9.3%asset class picking, fund picking, market timing, momentum, rotational system
45Short Interest Effect – Long-Short VersionMonthlyequities19.7%17.14%equity long short, factor investing, smart beta, stock picking
46Short Interest Effect – Long Only versionMonthlyequities26.8%0%factor investing, smart beta, stock picking
47Quantpedia Premium (Buy Premium account to see this strategy)     
48Quantpedia Premium (Buy Premium account to see this strategy)     
50FED ModelMonthlybonds, equities11%10%asset class picking, market timing
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The Encyclopedia of Quantitative Trading Strategies

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