Let us just visualize the cumulative return associated with these 208 anomaly-based long-short strategies. This may give us an inspiring insight on how the publication of anomalies generate impacts on the cumulative return of these strategies.

There are totally 208 anomalies documented in Chen and Zimmermann (2020). Here I just calculate the cumulative return for each anomaly and categorize every 5 anomalies into one group. That is, in the following figure there are 5 cumulative return plots in each panel respectively. The vertical line refers to when the intervention (publication of specific anomaly for this setting) was in place. For each time-series plot of the cumulative return associated with a specific anomaly, the **solid** part corresponds to the cumulative return during period **before** the intervention was in place while the **dashed** part corresponds to the realized cumulative return of long-short portfolio constructed from that anomaly (characteristic) during period **after** intervention was in place.