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.
28 documents
The document describes a monthly, long-only strategy that ranks country equity index ETFs by their past returns and holds the strongest markets. It gives a typical lookback range of 10 to 12 months and cites research using a portfolio of leading country…
The document describes an equity factor strategy that tilts a global stock portfolio toward companies whose ESG ratings have risen and away from those whose ratings have fallen. ESG momentum is measured over the prior 12 months, and the portfolio is…
Post-earnings announcement drift (PEAD) is the tendency for stocks to continue moving in the direction of an earnings surprise after the announcement. The document describes a quarterly US equity strategy combining two signals: standardized unexpected…
The document describes a monthly cross-sectional strategy across 22 commodity futures. It calculates each contract’s skewness over the prior 12 months, buys three commodities with the lowest skewness, and shorts three with the highest, using equal weights…
The document describes a monthly strategy that blends momentum across equity factors with a broad market portfolio. It forms fast and slow signals from each factor’s recent one-month and twelve-month returns, ranks signal magnitudes to allocate factor…
This document describes a monthly equity strategy based on how similar the positive language in companies’ latest 10-K or 10-Q filings is to prior language. It uses a vendor’s cosine-similarity measure, ranks covered stocks into deciles, buys the…
The document describes a calendar anomaly in which equity returns have historically been concentrated around the month boundary. The interval runs from the final trading day of one month through the third trading day of the next. A basic implementation buys…
The net current asset value (NCAV) rule compares a company’s current assets, less all liabilities, with its market value; it excludes long-term assets. Graham’s rationale is that a sufficiently large discount may offer liquidation-value protection. The…
This strategy ranks five ETFs representing US stocks, foreign stocks, bonds, real estate, and commodities by their trailing 12-month returns. It selects the three strongest, weights them equally, holds them for one month, then repeats the ranking and…
The document describes cross sectional momentum in foreign exchange: currencies with stronger recent returns have tended to outperform recent laggards. A simple version ranks a universe of roughly 10 to 20 currencies by their trailing 12 month returns…
The January Barometer proposes using an equity index’s January return to guide exposure for the remaining eleven months. A positive January signals holding equities; a negative one signals moving to Treasury bills. The document also describes a long-bond…
The document describes a monthly long-short stock strategy that seeks momentum among large companies by focusing on stocks with high recent volatility. It filters for exchange-listed shares priced above $5, separates stocks by market capitalization, and uses…
The document describes a monthly long–short strategy that ranks six Russell equity style portfolios: small-, mid-, and large-cap value and growth. Each month, it measures their returns over the previous 12 months, buys the strongest style, and shorts the…
The FED Model compares the aggregate equity earnings yield with the yield on long-term government bonds. This strategy estimates the stock market’s next-month excess return with a rolling predictive regression that uses the yield gap as its input. At each…
The document describes a contrarian strategy using 16 single-country equity ETFs. Rank countries by their returns over the previous 36 months, buy the four weakest performers, and short the four strongest; rebalance every three years. The cited research…
The document describes an equity strategy that ranks NYSE, Nasdaq, and AMEX stocks by research and development spending relative to market capitalization. At the end of April, it sums each company’s R&D expenditure over the prior five years, scales that…
The document explains the rebalancing premium as the return potentially gained by periodically restoring portfolio weights. Rebalancing sells assets that have risen relative to the portfolio and buys those that have fallen. A buy-and-hold portfolio instead…
The investment factor, commonly called CMA, compares returns from diversified portfolios of firms with low and high asset growth. The described interpretation is that conservative firms, which invest less, have tended to outperform aggressive firms, which…
This equity strategy uses the timing of corporate announcements as a signal for stock performance around earnings. The proposed explanation is that managers may have information about upcoming results: they tend to announce repurchases ahead of favorable…
The document describes a futures spread strategy based on the price difference between WTI and Brent crude oil. It explains that the oils differ in composition and production and transport characteristics, while temporary shocks may cause their price spread…
The document describes a stock-selection strategy using language measures calculated from companies’ 10-K and 10-Q filings. Lexical richness reflects vocabulary variety, lexical density measures the share of information-carrying language, and specific…
The document explains a relative value strategy that pairs stocks with similar historical price paths. It normalizes total return series, selects close matches using the sum of squared price differences, and trades the selected pairs in a later period. When…
The dollar carry trade uses the average forward discount of a basket of developed-market currencies relative to the US three-month Treasury rate to choose a currency position. If the US rate exceeds the basket’s average forward discount, the strategy goes…
The document describes a calendar effect attributed to semi-monthly paychecks. Its proposed explanation is that employees receive wages around the 15th and some retirement contributions arrive at financial institutions for investment the following day. The…