Quant Strategy Library — Academic Backtests…

Showing 801–850 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
801	Lottery Stocks and Past Performance	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
802	Global Dollar Risk Strategy	3.30%	0.27	Global	Currency	CFDs, Futures	Monthly	Paid	—	Open
803	ESG, Price Momentum and Stochastic Optimization	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
804	DRIPs and Falling Stock Prices	8.16%	0.75	United states	Equity	ETFs, Futures, Stocks	Daily	Paid	—	Open
805	Deviations of Fundamentals and Machine Learning	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
806	Double-Sorting all Possible Strategies	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
807	Principal Portfolios	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
808	Employee Satisfaction, ESG and Stock Returns	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
809	Equity Factors and Corporate Bonds	3.73%	0.60	United states	Bond	Bond	Monthly	Paid	—	Open
810	Identifying Smart Money with Options	8.09%	0.68	Global	Equity	Stocks	Daily	Paid	—	Open
811	Jump Risk in Stocks	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
812	Global Bond Portfolio Predicts Government Bonds Returns in Individual Countries	3.83%	0.69	Global	Bond	Bond, ETFs, Futures	Monthly	Paid	—	Open
813	Minimum Idiosyncratic Returns in Stocks	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
814	FOMC Cycle and Credit Risk	3.16%	0.91	United states	Bond	CDS	Weekly	Paid	—	Open
815	Time Series Factor Momentum	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
816	Idiosyncratic Liquidity in Stocks	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
817	Machine Learning Stock Picking	8.16%	0.75	United states	Equity	CFDs, Stocks	Weekly	Paid	—	Open
818	Oil Intraday Momentum	6.00%	0.63	Global	Commodity	CFDs, ETFs, Futures	Intraday	Paid	—	Open
819	Historical and Implied Volatility in FX Options	4.63%	0.32	Global	Currency	Options	Monthly	Paid	—	Open
820	Semivariance and Time Series Momentum in Futures	-0.32%	0.08	China	Commodity	Futures	Daily	Paid	—	Open
821	News and Non-news Returns in Stocks	7.89%	0.63	United states	Commodity	Stocks	Daily	Paid	—	Open
822	Committee Portfolio Selection	6.75%	0.47	United states	Bond, Equity, REITs	ETFs	Monthly	Paid	—	Open
823	Dividend Stocks and Rising or Falling Interest Rates	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
824	Impact of intangible assets on B/M	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
825	Predictability in USD/CNH FX pair	5.71%	0.39	China	Currency	CFDs, Futures	Daily	Paid	—	Open
826	Implied Volatility Spreads and Expected Market Returns in S&P500	6.60%	0.73	United states	Bond, Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
827	Return Predictability in Firms with Complex Ownership Network	3.69%	0.27	Global	Equity	Stocks	Monthly	Paid	—	Open
828	The Intraday Momentum in China	6.00%	0.63	China	Equity	Stocks	Monthly	Paid	—	Open
829	Basis Momentum Commodity Premia in China	6.52%	0.39	China	Commodity	Futures	Monthly	Paid	—	Open
830	Carry Commodity Premia in China	6.52%	0.39	China	Commodity	Futures	Monthly	Paid	—	Open
831	Momentum Commodity Premia in China	6.52%	0.39	China	Commodity	Futures	Monthly	Paid	—	Open
832	Betting against beta in China	7.89%	0.63	China	Equity	Stocks	Monthly	Paid	—	Open
833	Cross-sectional Effects of Bases in Equity Indexes Futures	6.54%	0.50	Global	Commodity	Futures	Monthly	Paid	—	Open
834	Size factor in China	6.77%	0.74	China	Equity	Stocks	Monthly	Paid	—	Open
835	Value factor in China	6.77%	0.74	China	Equity	Stocks	Monthly	Paid	—	Open
836	Long-Term Institutional Trades and the Cross-Section of Returns	6.00%	0.63	United states	Equity	Stocks	Quarterly	Paid	—	Open
837	Profitability Factor in Chinese Equities	6.52%	0.39	China	Equity	Stocks	Monthly	Paid	—	Open
838	Quality Strategy in the Indian Market	1.44%	0.17	India	Equity	Stocks	Quarterly	Paid	—	Open
839	Jump Risk in Commodities	7.89%	0.63	Global	Commodity	Futures	Monthly	Paid	—	Open
840	The Cross-Section of Non-Professional Analyst Skill	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
841	Large cap US Corporate Bond Short Term Reversal	3.85%	0.51	United states	Bond	Bond	Weekly	Paid	—	Open
842	Betting On and Against the Right Semibetas	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
843	Currency Factor Momentum	6.00%	0.63	Global	Currency	CFDs, Futures	Monthly	Paid	—	Open
844	Intraday Momentum in Fixed Income	3.84%	0.52	Global	Bond	CFDs, Futures	Intraday	Paid	—	Open
845	The Ex-dividend Date in the European Market	4.77%	0.38	Europe	Equity	Stocks	Daily	Paid	—	Open
846	Multi Asset Pairs Momentum	6.23%	0.47	Global	Bond, Commodity, Equity, REITs	Bond, ETFs, Futures, Stocks	Monthly	Paid	—	Open
847	Low-risk Anomaly Index	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
848	Momentum effect in Chinese B-shares	7.54%	0.58	China	Equity	Stocks	Monthly	Paid	—	Open
849	Intraday Time-series Momentum in Chinese Futures	6.52%	0.39	China	Commodity	Futures	Intraday	Paid	—	Open
850	Corporate Bond Value Strategy	3.47%	0.73	United states	Bond	Bond	Monthly	Paid	—	Open

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