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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
21Momentum Effect in CommoditiesMonthlycommodities14.6%25.57%momentum, rotational system
22Term Structure Effect in CommoditiesMonthlycommodities11.73%23.84%rotational system, term spread
23Quantpedia Premium (Buy Premium account to see this strategy)     
24Quantpedia Premium (Buy Premium account to see this strategy)     
25Small Capitalization Stocks Premium AnomalyYearlyequities12%32%small cap, stock picking
26Value (Book-to-Market) FactorYearlyequities11.34%26.62%financial statements effect, stock picking, value
27Quantpedia Premium (Buy Premium account to see this strategy)     
28Value and Momentum Factors across Asset ClassesMonthlybonds, equities, REITs11.9%10%asset class picking, momentum, value
29Quantpedia Premium (Buy Premium account to see this strategy)     
30Quantpedia Premium (Buy Premium account to see this strategy)     
31Market Seasonality Effect in World Equity Indexes6 Monthsequities8.8%0%market timing, seasonality
32Quantpedia Premium (Buy Premium account to see this strategy)     
33Post-Earnings Announcement EffectQuarterlyequities15% earnings announcement, equity long short, financial statements effect, stock picking
34Quantpedia Premium (Buy Premium account to see this strategy)     
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36Net Payout Yield EffectYearlyequities22.13% financial statements effect, stock picking, value
37Net Current Asset Value EffectYearlyequities31.19% financial statements effect, stock picking, value
38Accrual AnomalyYearlyequities7.5%10.26%accruals effect, equity long short, financial statements effect, stock picking
39Quantpedia Premium (Buy Premium account to see this strategy)     
40Quantpedia Premium (Buy Premium account to see this strategy)     
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