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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
8Currency Momentum FactorMonthlycurrencies6.48%10%factor investing, forex system, FX anomaly, momentum, smart beta
9Currency Value Factor – PPP StrategyQuarterlycurrencies7.8%9.06%factor investing, forex system, FX anomaly, smart beta, value
11Quantpedia Premium (Buy Premium account to see this strategy)     
12Pairs Trading with StocksDailyequities11.16%5.85%arbitrage, equity long short, pairs trading
13Short Term Reversal in StocksWeeklyequities16.25%6.8%equity long short, factor investing, reversal, smart beta, stock picking
21Momentum Effect in CommoditiesMonthlycommodities14.6%25.57%factor investing, momentum, rotational system, smart beta
28Value and Momentum Factors across Asset ClassesMonthlybonds, equities, REITs11.9%10%asset class picking, factor investing, momentum, smart beta, value
32Quantpedia Premium (Buy Premium account to see this strategy)     
34Quantpedia Premium (Buy Premium account to see this strategy)     
57Quantpedia Premium (Buy Premium account to see this strategy)     
62Quantpedia Premium (Buy Premium account to see this strategy)     
84Quantpedia Premium (Buy Premium account to see this strategy)     
108Soccer Clubs’ Stocks ArbitrageDailyequities42%50%alternative data, arbitrage, reversal, short selling, stock picking
110Quantpedia Premium (Buy Premium account to see this strategy)     
111Quantpedia Premium (Buy Premium account to see this strategy)     
115Quantpedia Premium (Buy Premium account to see this strategy)     
117Quantpedia Premium (Buy Premium account to see this strategy)     
118Time Series Momentum EffectMonthlybonds, commodities, currencies, equities16.21%11.73%factor investing, momentum, smart beta
122Momentum Factor Combined with Asset Growth EffectMonthlyequities23%20.3%equity long short, factor investing, financial statements effect, momentum, momentum in stocks, smart beta, stock picking
136Residual Momentum FactorMonthlyequities9.18%15.27%equity long short, factor investing, momentum, momentum in stocks, smart beta, stock picking
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The Encyclopedia of Quantitative Trading Strategies

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