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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
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12Pairs Trading with StocksDailyequities11.16%5.85%arbitrage, equity long short, pairs trading
13Short Term Reversal Effect in StocksWeeklyequities16.25%14.94%equity long short, factor investing, reversal, smart beta, stock picking
14Momentum Factor Effect in StocksMonthlyequities8.3%16.6%factor investing, momentum, momentum in stocks, smart beta, stock picking
15Momentum Factor Effect in Country Equity IndexesMonthlyequities17.7% country picking, factor investing, momentum, rotational system, smart beta
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20Volatility Risk Premium EffectMonthlyequities26%19%factor investing, smart beta, volatility effect, volatility premium
21Momentum Effect in CommoditiesMonthlycommodities14.6%25.57%factor investing, momentum, rotational system, smart beta
22Term Structure Effect in CommoditiesMonthlycommodities11.73%23.84%factor investing, rotational system, smart beta, term spread
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26Value (Book-to-Market) FactorMonthlyequities3.6%12.02%factor investing, fundamental analysis, smart beta, stock picking, value
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28Value and Momentum Factors across Asset ClassesMonthlybonds, equities, REITs11.9%10%asset class picking, factor investing, momentum, smart beta, value
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33Post-Earnings Announcement EffectQuarterlyequities15% earnings announcement, equity long short, factor investing, fundamental analysis, smart beta, stock picking
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We've found 82 Free, 108 Prime and 804 Premium strategies.Upgrade subscription to unlock more

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    The Encyclopedia of Quantitative Trading Strategies

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