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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
25Size Factor – Small Capitalization Stocks PremiumequitiesstocksComplex strategy1926-2017926.1%25.6% 0.24
26Value (Book-to-Market) FactorequitiesstocksComplex strategy1926-2014893.6%12.02% 0.3
33Post-Earnings Announcement EffectequitiesstocksComplex strategy1987-20041815%   
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36Net Payout Yield EffectequitiesstocksComplex strategy1984-20032022.13%   
37Net Current Asset Value EffectequitiesstocksModerately complex strategy1980-20052631.19%   
38Accrual AnomalyequitiesstocksComplex strategy1966-2003387.5%10.26% 0.34
42Alpha Cloning – Following 13F FillingsequitiesstocksModerately complex strategy1991-20051520.21%   
45Short Interest Effect – Long-Short VersionequitiesstocksModerately complex strategy1988-20051819.7%17.14% 0.92
46Short Interest Effect – Long Only versionequitiesstocksComplex strategy1988-20051826.8%   
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52Asset Growth EffectequitiesstocksModerately complex strategy1968-20063920.84%14.07% 1.2
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