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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
5FX Carry TradeMonthlycurrencies7.49%9.7%carry trade, factor investing, forex system, FX anomaly, smart beta
6Quantpedia Premium (Buy Premium account to see this strategy)     
7Low Volatility Factor Effect in Stocks – Long-Only VersionMonthlyequities11.3%10.1%factor investing, smart beta, stock picking, volatility effect
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
13Short Term Reversal in StocksWeeklyequities16.25%6.8%equity long short, factor investing, reversal, smart beta, stock picking
14Momentum Factor Effect in StocksMonthlyequities14.3%20.89%factor investing, momentum, momentum in stocks, smart beta, stock picking
15Momentum Factor Effect in Country Equity IndexesMonthlyequities17.7%0%country picking, factor investing, momentum, rotational system, smart beta
16Mean Reversion Effect in Country Equity Indexes3 Yearsequities6.4%0%country picking, factor investing, reversal, rotational system, smart beta
17Quantpedia Premium (Buy Premium account to see this strategy)     
18Quantpedia Premium (Buy Premium account to see this strategy)     
19Quantpedia Premium (Buy Premium account to see this strategy)     
20Volatility Risk Premium EffectMonthlyequities26%19%factor investing, smart beta, volatility effect, volatility premium
21Momentum Effect in CommoditiesMonthlycommodities14.6%25.57%factor investing, momentum, rotational system, smart beta
22Term Structure Effect in CommoditiesMonthlycommodities11.73%23.84%factor investing, rotational system, smart beta, term spread
23Quantpedia Premium (Buy Premium account to see this strategy)     
24Quantpedia Premium (Buy Premium account to see this strategy)     
26Value (Book-to-Market) FactorYearlyequities11.34%26.62%factor investing, financial statements effect, smart beta, stock picking, value
28Value and Momentum Factors across Asset ClassesMonthlybonds, equities, REITs11.9%10%asset class picking, factor investing, momentum, smart beta, value
33Post-Earnings Announcement EffectQuarterlyequities15%0%earnings announcement, equity long short, factor investing, financial statements effect, smart beta, stock picking
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The Encyclopedia of Quantitative Trading Strategies

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