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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
170Quantpedia Premium (Buy Premium account to see this strategy)             
353Quantpedia Premium (Buy Premium account to see this strategy)             
416Quantpedia Premium (Buy Premium account to see this strategy)             
357Quantpedia Premium (Buy Premium account to see this strategy)             
496Quantpedia Premium (Buy Premium account to see this strategy)             
233Quantpedia Premium (Buy Premium account to see this strategy)             
405Quantpedia Premium (Buy Premium account to see this strategy)             
26Value (Book-to-Market) FactorYearly1000equitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%Strongfactor investing, fundamental analysis, smart beta, stock picking, value0.28
28Value and Momentum Factors across Asset ClassesMonthly6bonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%Strongasset class picking, factor investing, momentum, smart beta, value0.79
95Quantpedia Premium (Buy Premium account to see this strategy)             
159Quantpedia Premium (Buy Premium account to see this strategy)             
247Quantpedia Premium (Buy Premium account to see this strategy)             
207Value Factor – CAPE Effect within CountriesYearly10equitiesETFsModerately complex strategy1980-20113214.7%26.1%-17.8%Strongcountry picking, factor investing, rotational system, smart beta, value0.56
444Quantpedia Premium (Buy Premium account to see this strategy)             
380Quantpedia Premium (Buy Premium account to see this strategy)             
504Quantpedia Premium (Buy Premium account to see this strategy)             
498Quantpedia Premium (Buy Premium account to see this strategy)             
203Quantpedia Premium (Buy Premium account to see this strategy)             
370Quantpedia Premium (Buy Premium account to see this strategy)             
148Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 443 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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