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Period: NbrInstruments: Markets:
Instruments: Complexity: Confidence:
Backtest: Performance: Volatility:
Keywords: Drawdown: Sharpe:
Free/Premium: QuantConnect: Papers:
NEW: Strategy can be used as a hedge/diversification for equity markets during downturns:
Period:
Markets:
Instruments:
Performance:
Keywords:
Free/Premium:
Crisis Hedge:
Total: 438       Premium: 369       Free: 69
IDTitlePeriod Of RebalancingNumber Of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence In AnomalyKeywordsSharpe Ratio
19Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
18Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
7Low Volatility Factor Effect in Stocks - Long-Only VersionMonthly50equitiesstocksComplex strategy1986-20062111.30%10.10%Strongstock picking, volatility effect0.72
14Momentum Factor Effect in StocksMonthly1000equitiesstocksComplex strategy1927-20108414.30%20.89%-77.46%Strongmomentum, momentum in stocks, stock picking0.49
13Short Term Reversal in StocksWeekly20equitiesstocksComplex strategy1990-20092016.25%6.80%Strongreversal, equity long short, stock picking1.80
12Pairs Trading with StocksDaily40equitiesstocksComplex strategy1962-20024111.16%5.85%Strongpairs trading, equity long short, arbitrage1.22
11Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
24Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
25Small Capitalization Stocks Premium AnomalyYearly1000equitiesstocksComplex strategy1927-20108412.08%32.00%-91.52%Moderately strongsmall cap, stock picking0.25
26Value (Book-to-Market) FactorYearly1000equitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%Strongvalue, stock picking, financial statements effect0.28
27Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
33Post-Earnings Announcement EffectQuarterly1000equitiesstocksComplex strategy1987-20041815.00%Strongequity long short, earnings announcement, financial statements effect, stock picking
34Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
35Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
36Net Payout Yield EffectYearly1000equitiesstocksComplex strategy1984-20032022.13%Strongstock picking, financial statements effect, value
38Accrual AnomalyYearly1000equitiesstocksComplex strategy1966-2003387.50%10.26%Strongequity long short, stock picking, financial statements effect, accruals effect0.34
45Short Interest Effect - Long-Short VersionMonthly1000equitiesstocksComplex strategy1988-20051819.70%17.14%Moderately strongstock picking, equity long short0.92
46Short Interest Effect - Long Only versionMonthly230equitiesstocksComplex strategy1988-20051826.80%Strongstock picking
51Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
52Asset Growth EffectYearly1000equitiesstocksComplex strategy1968-20063920.84%14.07%Strongstock picking, financial statements effect, equity long short1.20