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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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1Asset Class Trend-Followingbonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%1.06
2Momentum Asset Allocation Strategybonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093714.49%11%39.84%0.78
3Sector Momentum – Rotational SystemequitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%0.54
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15Momentum Factor Effect in Country Equity IndexesequitiesETFs, fundsSimple strategy1968-20094217.7%   
16Reversal Effect in International Equity ETFsequitiesETFs, fundsSimple strategy1969-1995276.4%   
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28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10% 0.79
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