Quant Strategy Library — Academic Backtests…

Showing 851–900 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
851	Post Seasoned Equity Offering Returns in China	1.67%	0.20	China	Equity	Stocks	Semi-yearly	Paid	—	Open
852	The Low Volatility Anomaly in Equity Sectors	7.89%	0.63	Global	Equity	Stocks	Monthly	Paid	—	Open
853	Momentum and High Accruals	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
854	Oil Volatility Affects Industry Momentum in China	6.60%	0.73	China	Equity	Stocks	Monthly	Paid	—	Open
855	Momentum and Low Risk Effects in India	5.93%	0.59	India	Equity	Stocks	Monthly	Paid	—	Open
856	Boosted Regression Trees in Corporate Bonds	3.73%	0.60	United states	Bond	Bond	Monthly	Paid	—	Open
857	Surprise in Short Interest	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
858	Variance Scaled Momentum in Emerging Markets	6.12%	0.45	Emerging markets	Equity	Stocks	Monthly	Paid	—	Open
859	Capturing Energy Risk Premia	6.75%	0.47	United states	Commodity	Futures	Monthly	Paid	—	Open
860	Equity Index and Risk-free Asset Allocation Using Neural Networks	3.84%	0.52	United states	Bond, Equity	Bond, ETFs, Futures	Quarterly	Paid	—	Open
861	Carbon Risk in the Cross Section of Corporate Bond Returns	3.73%	0.60	United states	Bond	Bond	Yearly	Paid	—	Open
862	Bond Returns Around Italian and German Treasury Auctions	6.27%	0.39	Europe	Bond	Bond	Intraday	Paid	—	Open
863	Return Seasonality and Information Cycle	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
864	Trend Factor in China	6.77%	0.74	Global	Equity	Stocks	Monthly	Paid	—	Open
865	Genetic Programming Predicts Stock Returns	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
866	Investor Meetings in China Predicts Stock Returns	5.71%	0.39	China	Equity	Stocks	Monthly	Paid	—	Open
867	Cross-Border M&A and Currency Returns	5.56%	0.47	Global	Currency	CDS, Futures	Monthly	Paid	—	Open
868	Order Imbalances at Closing Auctions and Subsequent Reversals	1.44%	0.17	United states	Equity	Stocks	Weekly	Paid	—	Open
869	Machine Learning and Earnings Announcements	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
870	Volatility effect in the Chinese A-share market	7.89%	0.63	China	Equity	Stocks	Monthly	Paid	—	Open
871	Value in Cryptocurrencies	37.74%	0.89	Global	Crypto	Crypto	Weekly	Paid	—	Open
872	Size in Cryptocurrencies	55.46%	1.04	Global	Crypto	Crypto	Weekly	Paid	—	Open
873	Notional Value Effect in Futures Markets	0.41%	0.12	Global	Bond, Commodity, Currency, Equity	Futures	Daily	Paid	—	Open
874	Editor Preference and Stock Returns	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
875	Idiosyncratic Tail Risk	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
876	Lottery and Hot Potato Stocks	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
877	Barbell Strategy	3.16%	0.58	Global	Bond, Equity	Bond, ETFs, Options	Quarterly	Paid	—	Open
878	Break Risk Factor	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
879	Learning to Rank and Cross-sectional Momentum	4.46%	0.58	United states	Equity	Stocks	Monthly	Paid	—	Open
880	Pure Growth Strategy	6.00%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
881	Slope Carry	3.83%	0.69	Global	Bond	Bond, ETFs, Futures	Monthly	Paid	—	Open
882	Reversal on Straddles	1.44%	0.17	United states	Equity	Options	Monthly	Paid	—	Open
883	Momentum on Straddles	1.44%	0.17	United states	Equity	Options	Monthly	Paid	—	Open
884	Climate Change Exposure and the Cross Section of Stock Returns	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
885	Equity Momentum Spillover to Currencies	3.63%	0.27	Global	Currency	CFDs, Forwards, Futures	Weekly	Paid	—	Open
886	Intraday Reversal in China	1.67%	0.20	China	Equity	Stocks	Intraday	Paid	—	Open
887	Intraday Reversal in US	3.36%	0.26	United states	Equity	Stocks	Intraday	Paid	—	Open
888	Presidential Economic Approval Rating and the Cross-Section of Stock Returns	6.75%	0.45	United states	Equity	Stocks	Monthly	Paid	—	Open
889	Idiosyncratic Volatility in China	6.77%	0.74	China	Equity	Stocks	Monthly	Paid	—	Open
890	Abnormal Turnover in China	6.77%	0.74	China	Equity	Stocks	Monthly	Paid	—	Open
891	Seasonal Difference in China	3.50%	0.42	China	Equity	Stocks	Monthly	Paid	—	Open
892	Climate sentiment, carbon prices and Emission minus Clean Portfolio	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
893	Machine Learning and Mutual Fund Characteristics	6.00%	0.63	United states	Equity	Funds	Monthly	Paid	—	Open
894	Output Gap Predicts FX Returns	7.89%	0.63	Global	Currency	CFDs, Forwards, Futures	Monthly	Paid	—	Open
895	Earnings Announcement Beta	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
896	Bond Yield Changes and the Cross Section of Equity Indices	4.77%	0.32	Global	Equity	ETFs, Futures	Monthly	Paid	—	Open
897	Trend Factor in Corporate Bonds	3.49%	0.87	United states	Bond	Bond	Monthly	Paid	—	Open
898	Long Term Time-series Momentum in India	6.54%	0.50	India	Equity	Futures, Stocks	Weekly	Paid	—	Open
899	Cross-sectional Intraday Sector Momentum in India	6.75%	0.45	India	Equity	Futures, Stocks	Intraday	Paid	—	Open
900	Intraday Time-series Momentum in India	6.11%	0.47	India	Equity	Futures, Stocks	Intraday	Paid	—	Open

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