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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
136Residual Momentum FactorMonthly200equitiesstocksComplex strategy1926-2009849.18%15.27%0%Strongequity long short, factor investing, momentum, momentum in stocks, smart beta, stock picking0.34
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91Momentum Factor and Style Rotation EffectMonthly6equitiesETFsSimple strategy1972-2005349.25%16.01%0%Strongfactor allocation, momentum, rotational system0.33
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102Option-Expiration Week EffectWeekly1equitiesCFDs, ETFs, futures, stocksSimple strategy1988-2010239.3%8.7%0%Strongmarket timing, seasonality, stock picking0.61
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152Momentum Factor Effect in REITsMonthly50REITsstocksSimple strategy1980-2008299.51%0%0%Moderately Strongfactor investing, momentum, smart beta, stock picking 
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78Betting Against Beta Factor in International EquitiesMonthly13equitiesETFs, futuresSimple strategy1980-2009309.77%18.46%0%Strongbeta factor, country picking, equity long short, factor investing, smart beta0.31
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The Encyclopedia of Quantitative Trading Strategies

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