Alpha Library / Academic Anomalies
Academic Anomalies 12 alphas
Curated alphas from the academic asset-pricing literature.
| id | theme | universe | decay | warmup |
|---|---|---|---|---|
| academic_bab | volatility | equity_us, equity_cn, equity_hk | 252 | 253 |
| academic_carhart_mom | momentum | equity_us, equity_cn, equity_hk | 60 | 253 |
| academic_cma | quality | equity_us, equity_cn, equity_hk | 60 | 120 |
| academic_corr_rewire | volatility | equity_us, equity_cn, equity_hk, crypto | 60 | 140 |
| academic_high52w | momentum | equity_us, equity_cn, equity_hk | 60 | 252 |
| academic_hml | value | equity_us, equity_cn, equity_hk | 60 | 253 |
| academic_illiq | liquidity | equity_us, equity_cn, equity_hk | 21 | 22 |
| academic_mkt_rf | momentum | equity_us, equity_cn, equity_hk | 21 | 22 |
| academic_retskew | volatility | equity_us, equity_cn, equity_hk | 60 | 61 |
| academic_rmw | quality | equity_us, equity_cn, equity_hk | 60 | 61 |
| academic_smb | quality | equity_us, equity_cn, equity_hk | 60 | 60 |
| academic_strev | reversal | equity_us, equity_cn, equity_hk | 21 | 22 |