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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
8Currency Momentum FactorcurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2009217.61%10.22%-23.89%0.3
9Currency Value Factor – PPP StrategycurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2009217.82%9.33%-26.4%0.36
25Size Factor – Small Capitalization Stocks PremiumequitiesstocksComplex strategy1926-2017926.1%25.6% 0.24
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45Short Interest Effect – Long-Short VersionequitiesstocksModerately complex strategy1988-20051819.7%17.14% 0.92
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50FED Modelbonds, equitiesETFs, funds, futuresModerately complex strategy1959-20034511%10% 0.7
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77Betting Against Beta Factor in StocksequitiesstocksComplex strategy1926-2009848.86%11.5% 0.42
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