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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
28Value and Momentum Factors across Asset ClassesMonthlybonds, equities, REITs11.9%10%asset class picking, factor investing, momentum, smart beta, value
27Quantpedia Premium (Buy Premium account to see this strategy)     
26Value (Book-to-Market) FactorYearlyequities11.34%26.62%factor investing, fundamental analysis, smart beta, stock picking, value
25Size Factor – Small Capitalization Stocks PremiumYearlyequities12%32%small cap, stock picking
24Quantpedia Premium (Buy Premium account to see this strategy)     
23Quantpedia Premium (Buy Premium account to see this strategy)     
22Term Structure Effect in CommoditiesMonthlycommodities11.73%23.84%factor investing, rotational system, smart beta, term spread
21Momentum Effect in CommoditiesMonthlycommodities14.6%25.57%factor investing, momentum, rotational system, smart beta
20Volatility Risk Premium EffectMonthlyequities26%19%factor investing, smart beta, volatility effect, volatility premium
19Quantpedia Premium (Buy Premium account to see this strategy)     
18Quantpedia Premium (Buy Premium account to see this strategy)     
17Quantpedia Premium (Buy Premium account to see this strategy)     
16Reversal Effect in International Equity ETFs3 Yearsequities6.4%0%country picking, factor investing, reversal, rotational system, smart beta
15Momentum Factor Effect in Country Equity IndexesMonthlyequities17.7%0%country picking, factor investing, momentum, rotational system, smart beta
14Momentum Factor Effect in StocksMonthlyequities14.3%20.89%factor investing, momentum, momentum in stocks, smart beta, stock picking
13Short Term Reversal Effect in StocksWeeklyequities16.25%6.8%equity long short, factor investing, reversal, smart beta, stock picking
12Pairs Trading with StocksDailyequities11.16%5.85%arbitrage, equity long short, pairs trading
11Quantpedia Premium (Buy Premium account to see this strategy)     
10Quantpedia Premium (Buy Premium account to see this strategy)     
9Currency Value Factor – PPP StrategyQuarterlycurrencies7.8%9.06%factor investing, forex system, FX anomaly, smart beta, value
We've found 71 Free and 397 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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