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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
20Volatility Risk Premium EffectMonthly4equitiesfutures, options, swapsModerately complex strategy1986-19951026%19%0%Strongfactor investing, smart beta, volatility effect, volatility premium1.16
256Quantpedia Premium (Buy Premium account to see this strategy)             
107Quantpedia Premium (Buy Premium account to see this strategy)             
139Quantpedia Premium (Buy Premium account to see this strategy)             
161Quantpedia Premium (Buy Premium account to see this strategy)             
460ESG Factor Investing StrategyYearly1000equitiesstocksVery complex strategy2002-2011103.25%0%0%Moderately Strongalternative data, equity long short, ESG investing, factor investing, smart beta, stock picking 
194Quantpedia Premium (Buy Premium account to see this strategy)             
398Quantpedia Premium (Buy Premium account to see this strategy)             
100Trading WTI/BRENT SpreadDaily2commoditiesfuturesSimple strategy1995-20041039.4%21.65%-13.45%Moderately Strongarbitrage, pairs trading, spread trading1.64
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241Quantpedia Premium (Buy Premium account to see this strategy)             
328Quantpedia Premium (Buy Premium account to see this strategy)             
211Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 409 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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