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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
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
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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
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28Value and Momentum Factors across Asset ClassesMonthlybonds, equities, REITs11.9%10%asset class picking, factor investing, momentum, smart beta, value
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31Market Seasonality Effect in World Equity Indexes6 Monthsequities8.8%0%market timing, seasonality
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33Post-Earnings Announcement EffectQuarterlyequities15%0%earnings announcement, equity long short, factor investing, fundamental analysis, smart beta, stock picking
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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
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40Quantpedia Premium (Buy Premium account to see this strategy)     
We've found 69 Free and 392 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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