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Quant strategy categories

63 — A strategy can belong to more than one category.

Factor factor

77 strategies
promisingLightGBM Factor Model (JP All Stocks)+2.27marginalAmihud Illiquidity Premium (US S&P 500)+0.07marginalEarnings Yield (JP All Stocks)+0.20marginalGarman-Klass Volatility Factor (JP All Stocks)+0.59marginalGarman-Klass Volatility Factor (JP Growth Stocks)+0.24marginalIdiosyncratic Volatility (JP All Stocks)+0.38marginalIdiosyncratic Volatility (JP Growth Stocks)+0.13marginalInformation Discreteness (US S&P 500)+0.08

Anomaly anomaly

36 strategies
marginalCalendar Effects (US S&P 500)+0.20marginalGarman-Klass Volatility Factor (JP All Stocks)+0.59marginalGarman-Klass Volatility Factor (JP Growth Stocks)+0.24marginalIdiosyncratic Volatility (JP All Stocks)+0.38marginalIdiosyncratic Volatility (JP Growth Stocks)+0.13marginalLiquidity Premium / Amihud Illiquidity (US S&P 500)+0.27marginalLow Volatility Anomaly (JP All Stocks)+0.38marginalLow Volatility Anomaly (JP Growth Stocks)+0.19

Momentum momentum

27 strategies
marginalEarnings Yield x Momentum (JP All Stocks)+0.25marginalCross-Sectional Momentum (US S&P 500)+0.65marginalPost-Earnings Announcement Drift (JP All Stocks)+0.11marginalTrend Following / Donchian Breakout (US S&P 500)+0.10marginalVolatility Breakout (US S&P 500)+0.25rejectedEarnings Yield x Momentum (JP Growth Stocks)-0.07rejected52-Week High Momentum (JP All Stocks)-0.23rejected52-Week High Momentum (JP Growth Stocks)-0.53

Cross Sectional cross-sectional

19 strategies
promisingLightGBM Factor Model (JP All Stocks)+2.27marginalLightGBM Factor Model 12f-quality (JP Growth Stocks)+0.42marginalLightGBM Factor Model 13f-financial (JP Growth Stocks)+0.42marginalLightGBM Factor Model 16f-all (JP Growth Stocks)+0.42marginalLightGBM Factor Model (JP Growth Stocks)+0.42marginalCross-Sectional Momentum (US S&P 500)+0.65marginalMulti-Factor Composite (JP Growth Stocks)+0.22marginalShort-Term Reversal (JP Growth Stocks)+0.33

Reversal reversal

12 strategies
marginalShort-Term Reversal (JP Growth Stocks)+0.33marginalShort-Term Reversal Regime-Gated (JP Growth Stocks)+0.46marginalShort-Term Reversal (US S&P 500)+0.09marginalVolatility Ratio Reversal (JP Growth Stocks)+0.12rejectedEarnings Reversal (JP All Stocks)-0.79rejectedEarnings Reversal (JP Growth Stocks)-0.18rejectedShort-Term Reversal (JP All Stocks)-0.55rejectedSkewness Reversal (JP All Stocks)-0.45

Volatility volatility

12 strategies
marginalGarman-Klass Volatility Factor (JP All Stocks)+0.59marginalGarman-Klass Volatility Factor (JP Growth Stocks)+0.24marginalVol-of-Vol Stability (JP All Stocks)+0.25marginalVol-of-Vol Stability (JP Growth Stocks)+0.09marginalVolatility Breakout (US S&P 500)+0.25marginalVolatility Ratio Reversal (JP Growth Stocks)+0.12rejectedGarman-Klass Volatility Factor (US S&P 500)-0.78rejectedVol-of-Vol Stability (US S&P 500)-0.21

Fundamental fundamental

11 strategies
marginalEarnings Yield (JP All Stocks)+0.20marginalEarnings Yield x Momentum (JP All Stocks)+0.25marginalForecast Revision (JP Growth Stocks)+0.26rejectedEarnings Yield (JP Growth Stocks)-0.27rejectedEarnings Yield x Momentum (JP Growth Stocks)-0.07rejectedFinancial Quality Factor (JP Growth Stocks)-0.72rejectedForecast Revision (JP All Stocks)-0.01rejectedPEG Ratio Value (JP All Stocks)-0.41

Liquidity liquidity

9 strategies
marginalAmihud Illiquidity Premium (US S&P 500)+0.07marginalLiquidity Premium / Amihud Illiquidity (US S&P 500)+0.27rejectedAmihud Illiquidity Premium (JP All Stocks)-1.12rejectedAmihud Illiquidity Premium (JP Growth Stocks)-0.87rejectedLiquidity Premium / Amihud Illiquidity (JP All Stocks)-0.99rejectedLiquidity Premium / Amihud Illiquidity (JP Growth Stocks)-0.56rejectedTurnover Factor (JP All Stocks)-0.20rejectedTurnover Factor (JP Growth Stocks)-0.01

Machine Learning machine-learning

9 strategies
promisingLightGBM Factor Model (JP All Stocks)+2.27marginalLightGBM Factor Model 12f-quality (JP Growth Stocks)+0.42marginalML Factor 12f-Quality with Meta-Label Filter (JP Growth Stocks)+1.08marginalLightGBM Factor Model 13f-financial (JP Growth Stocks)+0.42marginalLightGBM Factor Model 16f-all (JP Growth Stocks)+0.42marginalLightGBM Factor Model (JP Growth Stocks)+0.42marginalML Factor with Meta-Label Filter (JP Growth Stocks)+0.66marginalML Factor Regime-Gated 12f-quality (JP Growth Stocks)+0.50

Mean Reversion mean-reversion

9 strategies
promisingPairs Trading / Statistical Arbitrage (JP Growth Stocks)+1.84promisingPairs Trading / Statistical Arbitrage (US S&P 500)+1.67marginalShort-Term Reversal Regime-Gated (JP Growth Stocks)+0.46rejectedGap Reversal (JP All Stocks)-0.74rejectedGap Reversal (JP Growth Stocks)-0.22rejectedGap Reversal (US S&P 500)-0.41rejectedMean Reversion (JP All Stocks)+0.01rejectedMean Reversion (JP Growth Stocks)-0.03

Volume volume

9 strategies
marginalVolume Anomaly (US S&P 500)+0.05rejectedMomentum × Volume Interaction (JP All Stocks)-0.01rejectedMomentum × Volume Interaction (JP Growth Stocks)-0.21rejectedMomentum × Volume Interaction (US S&P 500)+0.01rejectedVolume Anomaly (JP All Stocks)-0.25rejectedVolume Anomaly (JP Growth Stocks)+0.00rejectedVPT Divergence (JP All Stocks)-0.60rejectedVPT Divergence (JP Growth Stocks)-0.79

Beta beta

6 strategies
rejectedBetting Against Beta (JP All Stocks)-0.90rejectedBetting Against Beta (JP Growth Stocks)-0.68rejectedBetting Against Beta (US S&P 500)-1.20rejectedDownside Beta (JP All Stocks)-0.65rejectedDownside Beta (JP Growth Stocks)-0.25rejectedDownside Beta (US S&P 500)-1.15

Breakout breakout

6 strategies
marginalTrend Following / Donchian Breakout (US S&P 500)+0.10marginalVolatility Breakout (US S&P 500)+0.25rejectedTrend Following / Donchian Breakout (JP All Stocks)-0.31rejectedTrend Following / Donchian Breakout (JP Growth Stocks)-0.16rejectedVolatility Breakout (JP All Stocks)-0.93rejectedVolatility Breakout (JP Growth Stocks)-0.55

Intraday intraday

6 strategies
marginalOvernight vs Intraday Return (US S&P 500)+0.08rejectedGap Reversal (JP All Stocks)-0.74rejectedGap Reversal (JP Growth Stocks)-0.22rejectedGap Reversal (US S&P 500)-0.41rejectedOvernight vs Intraday Return (JP All Stocks)-0.40rejectedOvernight vs Intraday Return (JP Growth Stocks)-0.40

Lottery lottery

6 strategies
marginalMax Return / Lottery Effect (JP Growth Stocks)+0.23rejectedMax Return / Lottery Effect (JP All Stocks)-0.44rejectedMax Return / Lottery Effect (US S&P 500)-0.76rejectedSkewness Anomaly (JP All Stocks)-0.56rejectedSkewness Anomaly (JP Growth Stocks)-0.33rejectedSkewness Anomaly (US S&P 500)-0.63

Regime regime

6 strategies
marginalCross-Sectional Dispersion Trading (US S&P 500)+0.09marginalML Factor Regime-Gated 12f-quality (JP Growth Stocks)+0.50marginalML Factor Regime-Gated 9f-base (JP Growth Stocks)+0.50marginalShort-Term Reversal Regime-Gated (JP Growth Stocks)+0.46rejectedCross-Sectional Dispersion Trading (JP All Stocks)-0.19rejectedCross-Sectional Dispersion Trading (JP Growth Stocks)-0.25

Skewness skewness

6 strategies
rejectedSkewness Anomaly (JP All Stocks)-0.56rejectedSkewness Anomaly (JP Growth Stocks)-0.33rejectedSkewness Anomaly (US S&P 500)-0.63rejectedSkewness Reversal (JP All Stocks)-0.45rejectedSkewness Reversal (JP Growth Stocks)-0.33rejectedSkewness Reversal (US S&P 500)-1.03

Technical technical

6 strategies
marginalVolatility Ratio Reversal (JP Growth Stocks)+0.12rejectedVolatility Ratio Reversal (JP All Stocks)-0.01rejectedVolatility Ratio Reversal (US S&P 500)-0.31rejectedVPT Divergence (JP All Stocks)-0.60rejectedVPT Divergence (JP Growth Stocks)-0.79rejectedVPT Divergence (US S&P 500)-0.21

Value value

6 strategies
marginalEarnings Yield (JP All Stocks)+0.20marginalEarnings Yield x Momentum (JP All Stocks)+0.25rejectedEarnings Yield (JP Growth Stocks)-0.27rejectedEarnings Yield x Momentum (JP Growth Stocks)-0.07rejectedPEG Ratio Value (JP All Stocks)-0.41rejectedPEG Ratio Value (JP Growth Stocks)-0.48

Earnings earnings

4 strategies
marginalPost-Earnings Announcement Drift (JP All Stocks)+0.11rejectedEarnings Reversal (JP All Stocks)-0.79rejectedEarnings Reversal (JP Growth Stocks)-0.18rejectedPost-Earnings Announcement Drift (JP Growth Stocks)-0.09

Event Driven event-driven

4 strategies
marginalPost-Earnings Announcement Drift (JP All Stocks)+0.11rejectedEarnings Reversal (JP All Stocks)-0.79rejectedEarnings Reversal (JP Growth Stocks)-0.18rejectedPost-Earnings Announcement Drift (JP Growth Stocks)-0.09

Growth growth

4 strategies
rejectedPEG Ratio Value (JP All Stocks)-0.41rejectedPEG Ratio Value (JP Growth Stocks)-0.48rejectedSales Growth Rank (JP All Stocks)-0.23rejectedSales Growth Rank (JP Growth Stocks)-0.17

Anchoring anchoring

3 strategies
rejected52-Week High Momentum (JP All Stocks)-0.23rejected52-Week High Momentum (JP Growth Stocks)-0.53rejected52-Week High Momentum (US S&P 500)-0.48

Autocorrelation autocorrelation

3 strategies
rejectedReturn Autocorrelation Factor (JP All Stocks)-0.01rejectedReturn Autocorrelation Factor (JP Growth Stocks)-0.53rejectedReturn Autocorrelation Factor (US S&P 500)-0.58

Calendar calendar

3 strategies
marginalCalendar Effects (US S&P 500)+0.20rejectedCalendar Effects (JP All Stocks)-0.43rejectedCalendar Effects (JP Growth Stocks)-0.60

Composite composite

3 strategies
marginalMulti-Factor Composite (JP Growth Stocks)+0.22rejectedMulti-Factor Composite (JP All Stocks)-0.37rejectedMulti-Factor Composite (US S&P 500)-0.71

Dispersion dispersion

3 strategies
marginalCross-Sectional Dispersion Trading (US S&P 500)+0.09rejectedCross-Sectional Dispersion Trading (JP All Stocks)-0.19rejectedCross-Sectional Dispersion Trading (JP Growth Stocks)-0.25

Divergence divergence

3 strategies
rejectedVPT Divergence (JP All Stocks)-0.60rejectedVPT Divergence (JP Growth Stocks)-0.79rejectedVPT Divergence (US S&P 500)-0.21

Downside Risk downside-risk

3 strategies
rejectedDownside Beta (JP All Stocks)-0.65rejectedDownside Beta (JP Growth Stocks)-0.25rejectedDownside Beta (US S&P 500)-1.15

Gap gap

3 strategies
rejectedGap Reversal (JP All Stocks)-0.74rejectedGap Reversal (JP Growth Stocks)-0.22rejectedGap Reversal (US S&P 500)-0.41

Idiosyncratic Volatility idiosyncratic-volatility

3 strategies
marginalIdiosyncratic Volatility (JP All Stocks)+0.38marginalIdiosyncratic Volatility (JP Growth Stocks)+0.13rejectedIdiosyncratic Volatility (US S&P 500)-0.89

Illiquidity illiquidity

3 strategies
marginalLiquidity Premium / Amihud Illiquidity (US S&P 500)+0.27rejectedLiquidity Premium / Amihud Illiquidity (JP All Stocks)-0.99rejectedLiquidity Premium / Amihud Illiquidity (JP Growth Stocks)-0.56

Information information

3 strategies
marginalInformation Discreteness (US S&P 500)+0.08rejectedInformation Discreteness (JP All Stocks)+0.02rejectedInformation Discreteness (JP Growth Stocks)+0.00

Interaction interaction

3 strategies
rejectedMomentum × Volume Interaction (JP All Stocks)-0.01rejectedMomentum × Volume Interaction (JP Growth Stocks)-0.21rejectedMomentum × Volume Interaction (US S&P 500)+0.01

Leverage leverage

3 strategies
rejectedBetting Against Beta (JP All Stocks)-0.90rejectedBetting Against Beta (JP Growth Stocks)-0.68rejectedBetting Against Beta (US S&P 500)-1.20

Low Risk low-risk

3 strategies
marginalVol-of-Vol Stability (JP All Stocks)+0.25marginalVol-of-Vol Stability (JP Growth Stocks)+0.09rejectedVol-of-Vol Stability (US S&P 500)-0.21

Low Volatility low-volatility

3 strategies
marginalLow Volatility Anomaly (JP All Stocks)+0.38marginalLow Volatility Anomaly (JP Growth Stocks)+0.19rejectedLow Volatility Anomaly (US S&P 500)-0.93

Max Return max-return

3 strategies
marginalMax Return / Lottery Effect (JP Growth Stocks)+0.23rejectedMax Return / Lottery Effect (JP All Stocks)-0.44rejectedMax Return / Lottery Effect (US S&P 500)-0.76

Momentum Quality momentum-quality

3 strategies
marginalInformation Discreteness (US S&P 500)+0.08rejectedInformation Discreteness (JP All Stocks)+0.02rejectedInformation Discreteness (JP Growth Stocks)+0.00

Multi Factor multi-factor

3 strategies
marginalMulti-Factor Composite (JP Growth Stocks)+0.22rejectedMulti-Factor Composite (JP All Stocks)-0.37rejectedMulti-Factor Composite (US S&P 500)-0.71

Overlay overlay

3 strategies
marginalRisk Parity / Volatility Targeting Overlay (US S&P 500)+0.34rejectedRisk Parity / Volatility Targeting Overlay (JP All Stocks)-0.32rejectedRisk Parity / Volatility Targeting Overlay (JP Growth Stocks)-0.44

Overnight overnight

3 strategies
marginalOvernight vs Intraday Return (US S&P 500)+0.08rejectedOvernight vs Intraday Return (JP All Stocks)-0.40rejectedOvernight vs Intraday Return (JP Growth Stocks)-0.40

Return Decomposition return-decomposition

3 strategies
marginalOvernight vs Intraday Return (US S&P 500)+0.08rejectedOvernight vs Intraday Return (JP All Stocks)-0.40rejectedOvernight vs Intraday Return (JP Growth Stocks)-0.40

Risk Parity risk-parity

3 strategies
marginalRisk Parity / Volatility Targeting Overlay (US S&P 500)+0.34rejectedRisk Parity / Volatility Targeting Overlay (JP All Stocks)-0.32rejectedRisk Parity / Volatility Targeting Overlay (JP Growth Stocks)-0.44

Seasonal seasonal

3 strategies
marginalCalendar Effects (US S&P 500)+0.20rejectedCalendar Effects (JP All Stocks)-0.43rejectedCalendar Effects (JP Growth Stocks)-0.60

Time Series time-series

3 strategies
rejectedTime-Series Momentum (JP All Stocks)-0.31rejectedTime-Series Momentum (JP Growth Stocks)-0.56rejectedTime-Series Momentum (US S&P 500)-0.31

Timing timing

3 strategies
marginalCross-Sectional Dispersion Trading (US S&P 500)+0.09rejectedCross-Sectional Dispersion Trading (JP All Stocks)-0.19rejectedCross-Sectional Dispersion Trading (JP Growth Stocks)-0.25

Trend Following trend-following

3 strategies
marginalTrend Following / Donchian Breakout (US S&P 500)+0.10rejectedTrend Following / Donchian Breakout (JP All Stocks)-0.31rejectedTrend Following / Donchian Breakout (JP Growth Stocks)-0.16

Turnover turnover

3 strategies
rejectedTurnover Factor (JP All Stocks)-0.20rejectedTurnover Factor (JP Growth Stocks)-0.01rejectedTurnover Factor (US S&P 500)-0.11

Volatility Targeting volatility-targeting

3 strategies
marginalRisk Parity / Volatility Targeting Overlay (US S&P 500)+0.34rejectedRisk Parity / Volatility Targeting Overlay (JP All Stocks)-0.32rejectedRisk Parity / Volatility Targeting Overlay (JP Growth Stocks)-0.44

Drift drift

2 strategies
marginalForecast Revision (JP Growth Stocks)+0.26rejectedForecast Revision (JP All Stocks)-0.01

Meta Label meta-label

2 strategies
marginalML Factor 12f-Quality with Meta-Label Filter (JP Growth Stocks)+1.08marginalML Factor with Meta-Label Filter (JP Growth Stocks)+0.66

Pairs Trading pairs-trading

2 strategies
promisingPairs Trading / Statistical Arbitrage (JP Growth Stocks)+1.84promisingPairs Trading / Statistical Arbitrage (US S&P 500)+1.67

Revision revision

2 strategies
marginalForecast Revision (JP Growth Stocks)+0.26rejectedForecast Revision (JP All Stocks)-0.01

Sector Rotation sector-rotation

2 strategies
rejectedSector Rotation / Sector Momentum (JP All Stocks)-0.09rejectedSector Rotation / Sector Momentum (JP Growth Stocks)-0.54

Statistical Arbitrage statistical-arbitrage

2 strategies
promisingPairs Trading / Statistical Arbitrage (JP Growth Stocks)+1.84promisingPairs Trading / Statistical Arbitrage (US S&P 500)+1.67

Carry carry

1 strategy
marginalFX Carry Trade (JPY Crosses)+0.64

Fx fx

1 strategy
marginalFX Carry Trade (JPY Crosses)+0.64

Macro macro

1 strategy
marginalFX Carry Trade (JPY Crosses)+0.64

Multi Strategy multi-strategy

1 strategy
rejectedBest Component Portfolio (JP Growth Stocks)+1.43

Portfolio Synthesis portfolio-synthesis

1 strategy
rejectedBest Component Portfolio (JP Growth Stocks)+1.43

Quality quality

1 strategy
rejectedFinancial Quality Factor (JP Growth Stocks)-0.72

Regime Switching regime-switching

1 strategy
rejectedBest Component Portfolio (JP Growth Stocks)+1.43