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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
25Size Factor – Small Capitalization Stocks PremiumYearlyequities6.1%25.6%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 StocksMonthlyequities8.3%16.6%factor investing, momentum, momentum in stocks, smart beta, stock picking
13Short Term Reversal Effect in StocksWeeklyequities16.25%14.94%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 StrategyQuarterlycurrencies7.82%9.33%factor investing, forex system, FX anomaly, smart beta, value
8Currency Momentum FactorMonthlycurrencies7.61%10.22%factor investing, forex system, FX anomaly, momentum, smart beta
7Low Volatility Factor Effect in Stocks – Long-Only VersionMonthlyequities11.3%10.1%factor investing, smart beta, stock picking, volatility effect
6Quantpedia Premium (Buy Premium account to see this strategy)     
We've found 75 Free and 510 Premium strategiesUpgrade to Premium to unlock Premium strategies

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    The Encyclopedia of Quantitative Trading Strategies

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