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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
21Momentum Effect in CommoditiesMonthly10commoditiesfutures, CFDsSimple strategy1979-20042614.60%25.57%Strongmomentum, rotational system0.57
22Term Structure Effect in CommoditiesMonthly10commoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%Strongrotational system, term spread0.49
23Quantpedia 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
28Value and Momentum Factors across Asset ClassesMonthly6equities, bonds, REITsETFs, funds, futuresSimple strategy1986-20072211.90%10.00%Strongvalue, momentum, asset class picking0.79
29Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
30Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
31Market Seasonality Effect in World Equity Indexes6 Months1equitiesETFs, CFDs, funds, futuresSimple strategy1970-2003348.80%Weakmarket timing, seasonality
32Quantpedia 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
37Net Current Asset Value EffectYearly100equitiesstocksModerately complex strategy1980-20052631.19%Strongstock picking, financial statements effect, value
38Accrual AnomalyYearly1000equitiesstocksComplex strategy1966-2003387.50%10.26%Strongequity long short, stock picking, financial statements effect, accruals effect0.34
39Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00
40Quantpedia Premium (Sign up to see this strategy).-0----00.00%0.00%0.00%--0.00