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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
5FX Carry TradeMonthlycurrencies7.27%9.6%carry trade, factor investing, forex system, FX anomaly, smart beta
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7Low Volatility Factor Effect in StocksMonthlyequities11.3%10.1%factor investing, smart beta, stock picking, volatility effect
8Currency Momentum FactorMonthlycurrencies7.61%10.22%factor investing, forex system, FX anomaly, momentum, smart beta
9Currency Value Factor – PPP StrategyQuarterlycurrencies7.82%9.33%factor investing, forex system, FX anomaly, smart beta, value
13Short Term Reversal Effect in StocksWeeklyequities16.25%14.94%equity long short, factor investing, reversal, smart beta, stock picking
14Momentum Factor Effect in StocksMonthlyequities8.3%16.6%factor investing, momentum, momentum in stocks, smart beta, stock picking
15Momentum Factor Effect in Country Equity IndexesMonthlyequities17.7% country picking, factor investing, momentum, rotational system, smart beta
16Reversal Effect in International Equity ETFs3 Yearsequities6.4% country picking, factor investing, reversal, rotational system, smart beta
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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
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25Size Factor – Small Capitalization Stocks PremiumYearlyequities6.1%25.6%equity long short, factor investing, small cap, smart beta, stock picking
26Value (Book-to-Market) FactorMonthlyequities3.6%12.02%factor investing, fundamental analysis, 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

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