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.
15 documents
This document sets out criteria for assembling a curated ETF list across equity and bond regions and categories. The stated filters include sufficient fund size, a preference for distributing share classes when dividend yield is used as a valuation measure,…
The document examines whether forecast weights should be fitted separately for each instrument, pooled across all markets, or pooled within similar groups, and whether blending these estimates can balance robustness with market-specific performance. It…
The document describes how to separate and benchmark several parts of a personal investment and trading portfolio. It distinguishes UK single stocks, long-only investments, an equity-neutral sleeve created by hedging ETF exposure with futures, systematic…
The document presents example ETF allocations for investors with different amounts to invest and different risk targets. For larger portfolios, it gives mixes of UK, Asian, European, and US equities alongside emerging-market, global government, global…
This annual review explains how the author groups UK stocks, ETFs, equity hedges, systematic futures trading, and cash to assess performance against suitable benchmarks. It reports contributions and internal rates of return, compares stock picking and…
The author considers whether a systematic futures portfolio should be manually repositioned ahead of the Brexit vote. The stated approach is to follow the strategy’s rules rather than introduce a discretionary directional bet, especially for a close, binary…
The document models daily-reset two-times long and short leveraged ETF returns by multiplying each day’s underlying return and compounding the resulting daily values. It includes annual management, spread, and commission costs, then uses Gaussian daily…
The article examines how geometric returns relate to compounding, diversification, and portfolio construction. It considers the claim that diversification can justify additional costs and argues that an all-equity portfolio may be inferior to one that…
This annual performance review excerpt explains how the author divides household financial assets and trading activity into distinct performance categories. It separates UK single stocks, long-only investments, an equity-neutral sleeve, systematic futures…
The document challenges claims that sophisticated diversification and portfolio optimization methods reliably outperform simple weighting schemes. It describes how optimization can be sensitive to uncertain Sharpe ratio and correlation estimates, while…
The document outlines an investor’s collection of accounts and strategies, including futures trading, an equity futures hedge, UK stocks, exchange-traded funds, and a diversified stocks-and-bonds portfolio. It identifies the intended role of each: the hedge…
The post illustrates overfitting with a strategy that classifies recent price movements into patterns and estimates the following month's average return for each pattern. It progressively divides a 64-business-day lookback into more segments, creating more…
The post asks whether the VIX level predicts stock prices or volatility. It reports that average stock returns appear similar across the compared VIX conditions, while the return distribution is wider when spot VIX is high. It also notes more negative…
This personal performance review covers a UK tax year and describes returns from UK shares, stock and bond funds, systematic futures trading, and the combined portfolio. It explains the author’s benchmark choices and separates performance contribution from…
This document examines how the stock allocation that maximizes expected compound annual growth changes with stock–bond correlation and relative expected returns. It assumes a fully invested two-asset portfolio of global equities and bonds, normally…