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OOS Return Stats OOS Risk Stats OOS Risk & Return

#0001

Asset Class Trend-Following

Monthly

Equities

Bonds

Commodities

REITs

11.27%

6.87%

momentum asset class picking trend-following

#0002

Momentum Asset Allocation Strategy

Monthly

Equities

Bonds

Commodities

REITs

14.49%

11.00%

momentum asset class picking rotational system

#0003

Sector Momentum - Rotational System

Monthly

Equities

13.94%

18.38%

momentum rotational system sector picking

#0005

FX Carry Trade

Monthly

Currencies

7.27%

9.60%

carry trade FX anomaly forex system factor investing smart beta

#0007

Low Volatility Factor Effect in Stocks

Monthly

Equities

11.30%

10.10%

stock picking volatility effect factor investing smart beta

#0008

Currency Momentum Factor

Monthly

Currencies

7.61%

10.22%

momentum FX anomaly forex system factor investing smart beta

#0009

Currency Value Factor - PPP Strategy

Quarterly

Currencies

7.82%

9.33%

FX anomaly forex system value factor investing smart beta

#0012

Pairs Trading with Stocks

Daily

Equities

11.16%

5.85%

equity long short pairs trading arbitrage

#0013

Short Term Reversal Effect in Stocks

Weekly

Equities

16.25%

14.94%

stock picking reversal equity long short factor investing smart beta

#0014

Momentum Factor Effect in Stocks

Monthly

Equities

8.30%

16.60%

momentum stock picking momentum in stocks factor investing smart beta

#0015

Momentum Factor Effect in Country Equity Indexes

Monthly

Equities

17.70%

momentum rotational system country picking factor investing smart beta

#0016

Reversal Effect in International Equity ETFs

3 Years

Equities

6.40%

rotational system reversal country picking factor investing smart beta

#0020

Volatility Risk Premium Effect

Monthly

Equities

26.00%

19.00%

volatility effect volatility premium factor investing smart beta

#0021

Momentum Effect in Commodities

Monthly

Commodities

14.60%

25.57%

momentum rotational system factor investing smart beta

#0022

Term Structure Effect in Commodities

Monthly

Commodities

11.73%

23.84%

rotational system term spread factor investing smart beta

#0025

Size Factor - Small Capitalization Stocks Premium

Yearly

Equities

6.10%

25.60%

stock picking equity long short small cap factor investing smart beta

#0026

Value (Book-to-Market) Factor

Monthly

Equities

3.60%

12.02%

stock picking value fundamental analysis factor investing smart beta

#0028

Value and Momentum Factors across Asset Classes

Monthly

Equities

Bonds

REITs

11.90%

10.00%

momentum asset class picking value factor investing smart beta

#0031

Market Seasonality Effect in World Equity Indexes

6 Months

Equities

8.80%

market timing seasonality

#0033

Post-Earnings Announcement Effect

Quarterly

Equities

15.00%

stock picking equity long short fundamental analysis earnings announcement factor investing smart beta

#0036

Net Payout Yield Effect

Yearly

Equities

22.13%

stock picking value fundamental analysis factor investing smart beta

#0037

Net Current Asset Value Effect

Yearly

Equities

31.19%

stock picking value fundamental analysis factor investing smart beta

#0038

Accrual Anomaly

Yearly

Equities

7.50%

10.26%

stock picking equity long short fundamental analysis accruals effect factor investing smart beta

#0041

Turn of the Month in Equity Indexes

Daily

Equities

7.20%

6.90%

market timing seasonality

#0042

Alpha Cloning - Following 13F Fillings

Quarterly

Equities

20.21%

stock picking alternative data

#0044

Paired Switching

Quarterly

Equities

Bonds

11.30%

9.30%

momentum asset class picking rotational system market timing fund picking

#0045

Short Interest Effect - Long-Short Version

Monthly

Equities

19.70%

17.14%

stock picking equity long short factor investing smart beta

#0046

Short Interest Effect - Long Only version

Monthly

Equities

26.80%

stock picking factor investing smart beta

#0050

FED Model

Monthly

Equities

Bonds

11.00%

10.00%

asset class picking market timing

#0052

Asset Growth Effect

Yearly

Equities

20.84%

14.07%

stock picking equity long short fundamental analysis factor investing smart beta

#0055

Pairs Trading with Country ETFs

Daily

Equities

20.60%

10.00%

equity long short pairs trading arbitrage

#0067

Industry Momentum - Riding Industry Bubbles

Monthly

Equities

18.00%

momentum rotational system sector picking factor investing smart beta trend-following

#0071

Short Term Reversal with Futures

Weekly

Equities

Bonds

Commodities

Currencies

29.64%

31.40%

asset class picking reversal factor investing smart beta

#0075

Federal Open Market Committee Meeting Effect in Stocks

Daily

Equities

6.19%

market timing seasonality

#0077

Betting Against Beta Factor in Stocks

Monthly

Equities

8.86%

11.50%

stock picking equity long short beta factor factor investing smart beta

#0078

Betting Against Beta Factor in International Equities

Monthly

Equities

6.80%

13.08%

equity long short country picking beta factor factor investing smart beta

#0080

Earnings Announcement Premium

Monthly

Equities

18.36%

16.12%

stock picking equity long short earnings announcement factor investing smart beta

#0083

Pre-Holiday Effect

Daily

Equities

6.39%

market timing seasonality

#0085

Momentum in Mutual Fund Returns

Quarterly

Equities

19.00%

19.50%

momentum fund picking

#0088

52-Weeks High Effect in Stocks

Monthly

Equities

11.75%

11.00%

stock picking equity long short factor investing smart beta

#0091

Momentum Factor and Style Rotation Effect

Monthly

Equities

9.25%

16.01%

momentum rotational system factor allocation

#0096

Crude Oil Predicts Equity Returns

Monthly

Equities

11.90%

9.80%

market timing

#0100

Trading WTI/BRENT Spread

Daily

Commodities

9.92%

11.27%

pairs trading arbitrage spread trading

#0102

Option-Expiration Week Effect

Weekly

Equities

9.30%

8.70%

market timing seasonality stock picking

#0108

Soccer Clubs' Stocks Arbitrage

Daily

Equities

42.00%

50.00%

stock picking reversal arbitrage short selling alternative data

#0113

January Barometer

Monthly

Equities

10.38%

16.80%

market timing seasonality

#0114

January Effect in Stocks

Monthly

Equities

12.70%

seasonality stock picking

#0118

Time Series Momentum Effect

Monthly

Equities

Bonds

Commodities

Currencies

20.70%

15.74%

momentum factor investing smart beta

#0122

Momentum Factor Combined with Asset Growth Effect

Monthly

Equities

16.77%

13.84%

momentum stock picking equity long short momentum in stocks fundamental analysis factor investing smart beta

#0125

12 Month Cycle in Cross-Section of Stocks Returns

Monthly

Equities

8.60%

12.20%

seasonality stock picking equity long short factor investing smart beta

#0129

Dollar Carry Trade

Monthly

Currencies

5.60%

8.53%

carry trade FX anomaly forex system

#0130

Investment Factor

Yearly

Equities

3.54%

stock picking equity long short fundamental analysis factor investing smart beta

#0136

Residual Momentum Factor

Monthly

Equities

9.18%

15.27%

momentum stock picking equity long short momentum in stocks factor investing smart beta

#0140

Ramadan Effect

Monthly

Equities

6.70%

market timing seasonality

#0144

Trend-following Effect in Stocks

Daily

Equities

19.30%

15.60%

momentum trend-following stock picking momentum in stocks

#0152

Momentum Factor Effect in REITs

Monthly

REITs

9.51%

momentum stock picking factor investing smart beta

#0155

Momentum and Reversal Combined with Volatility Effect in Stocks

Monthly

Equities

16.46%

19.22%

momentum stock picking volatility effect equity long short momentum in stocks factor investing smart beta

#0162

Momentum Effect in Stocks in Small Portfolios

Yearly

Equities

32.00%

momentum stock picking equity long short momentum in stocks factor investing smart beta

#0198

Exploiting Term Structure of VIX Futures

Daily

Equities

19.67%

volatility effect volatility premium

#0199

ROA Effect within Stocks

Monthly

Equities

12.15%

13.36%

stock picking equity long short fundamental analysis factor investing smart beta

#0207

Value Factor - CAPE Effect within Countries

Yearly

Equities

14.70%

26.10%

rotational system value country picking factor investing smart beta

#0229

Earnings Quality Factor

Yearly

Equities

7.95%

5.91%

stock picking equity long short fundamental analysis factor investing smart beta

#0237

Dispersion Trading

Monthly

Equities

15.39%

13.86%

volatility effect volatility premium factor investing smart beta

#0238

Reversal in Post-Earnings Announcement Drift

Daily

Equities

40.32%

stock picking equity long short fundamental analysis earnings announcement factor investing smart beta

#0271

Earnings Announcements Combined with Stock Repurchases

Daily

Equities

25.20%

11.11%

stock picking fundamental analysis earnings announcement trading earnings factor investing smart beta

#0281

Skewness Effect in Commodities

Monthly

Commodities

8.01%

10.20%

volatility effect factor investing smart beta

#0290

Consistent Momentum Strategy

6 Months

Equities

16.08%

25.33%

momentum stock picking equity long short momentum in stocks factor investing smart beta

#0307

Reversal During Earnings-Announcements

Daily

Equities

6.50%

3.76%

stock picking reversal equity long short earnings announcement trading earnings

#0376

Combining Fundamental FSCORE and Equity Short-Term Reversals

Monthly

Equities

12.01%

20.61%

stock picking value reversal equity long short fundamental analysis factor investing smart beta

#0419

Payday Anomaly

Daily

Equities

2.57%

4.31%

market timing seasonality

#0460

ESG Level Factor Investing Strategy

Yearly

Equities

3.25%

stock picking equity long short alternative data factor investing smart beta ESG investing

#0461

ESG Factor Momentum Strategy

Monthly

Equities

2.23%

2.50%

momentum stock picking equity long short momentum in stocks alternative data factor investing smart beta ESG investing

#0522

ESG, Price Momentum and Stochastic Optimization

Monthly

Equities

17.47%

13.49%

momentum stock picking momentum in stocks alternative data factor investing smart beta ESG investing

#0537

Monthly

Equities

5.47%

6.48%

stock picking equity long short fundamental analysis alternative data factor investing smart beta machine learning

#0578

Combining Smart Factors Momentum and Market Portfolio

Monthly

Equities

11.91%

10.46%

momentum rotational system stock picking value equity long short factor investing smart beta factor allocation

#0661

Market Sentiment and an Overnight Anomaly

Daily

Equities

15.58%

7.33%

trend-following market timing sentiment trading alternative data machine learning

#0662

How to Use Lexical Density of Company Filings

Monthly

Equities

8.16%

10.40%

equity long short alternative data machine learning

#0663

R&D Expenditures and Stock Returns

Yearly

Equities

4.67%

8.20%

stock picking equity long short smart beta

#0664

Return Asymmetry Effect in Commodity Futures

Monthly

Commodities

4.36%

7.53%

smart beta

#0701

Rebalancing Premium in Cryptocurrencies

Daily

Crypto

7.65%

2.62%

short selling cryptocurrencies diversification

#0713

Synthetic Lending Rates Predict Subsequent Market Return

Daily

Equities

15.47%

19.52%

market timing sentiment trading short selling alternative data

#0753

Overnight Seasonality in Bitcoin

Intraday

Crypto

33.00%

20.93%

seasonality cryptocurrencies