Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
9 documents
This report examines whether commodity futures signals and trades should use the most liquid main contract or an actively traded near-month contract. It defines active near-month contracts using liquidity and price sensitivity, then compares contract choices…
This 2018 research summary introduces China’s two-year government bond futures contract, covering its notional size, eligible delivery bonds, price limits, and minimum margin. It explains that the delivery basket’s remaining-maturity range is narrow, helping…
This article explains a cross-sectional futures strategy that ranks commodity contracts by roll yield, going long markets in backwardation and short markets in contango. It distinguishes weekly signal-based direction changes from contract rolls: the former…
The document outlines a process for forecasting dividends for index constituents, aggregating those estimates into an index-level total, and predicting when the dividends will be paid. Historical distributions are described as concentrated mainly in May…
This document summarizes a commodity futures strategy based on carry and the futures term structure. It describes a directional rule in which the nearby, or main, contract is bought when its price is below the next contract and sold when it is above it. The…
This study examines whether futures-curve shape can rank commodity markets. It explains backwardation, where deferred contracts are cheaper than nearer ones, and contango, where they are more expensive. The article connects these patterns to supply, demand,…
This literature summary reports research on investment strategies in Chinese commodity futures and notes that long-only approaches produced limited economic returns. Among twelve long-short strategies examined, momentum and term-structure strategies showed…
This Chinese-language research digest summarizes two topics. The first concerns systematic style investing in fixed income: it reports that value, momentum, carry, and defensive premia have shown notable results in both government and corporate bonds,…
This study examines value, momentum, carry, and defensive factor returns across six asset classes using data spanning roughly a century. It compares each factor’s discovery period with earlier and later periods, using the long history and cross-asset…