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.
30 documents
The document describes a cross-sectional seasonal effect: stocks that performed well in a particular calendar month tend to outperform again in that same month in later years. January is reported as the strongest month, but the pattern is said to extend…
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…
This document describes a U.S. equity long-short strategy that first selects firms with the highest annual growth in total assets, then ranks those stocks by momentum. Asset growth uses the change from year t-2 to t-1, with July as the cutoff. Each month,…
The document explains time series momentum as a strategy that uses each instrument’s own past return, rather than ranking assets against one another. Its central signal is the sign of the prior 12-month excess return: go long when positive and short when…
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…
The document describes a US equity long-short momentum strategy that selects stocks appearing among recent winners or losers in two overlapping formation windows. It buys stocks ranked in the top decile in both windows and shorts those in the bottom decile,…
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 strategy seeks to reduce conventional momentum’s changing exposure to broad equity factors. It estimates each stock’s monthly residual returns from a regression on the Fama–French three factors, then ranks stocks by standardized residual performance over…
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 document describes a country equity strategy based on the idea that investors with leverage or margin constraints may bid up high-beta assets. A practitioner can estimate each country ETF’s beta against the US equity index over a rolling one-year window,…
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 strategy ranks no-load equity mutual funds by their returns over the prior six months, selects the top decile, weights those funds equally, and holds the portfolio for three months. The document also discusses two alternative signals: a fund’s proximity…
The document explains how investors with limited capital can implement equity momentum without holding hundreds of stocks. Its example ranks UK-listed companies by their returns over the prior 12 months, excludes the smallest quarter of firms for liquidity,…
The document describes a monthly long-short strategy that ranks commodity futures by their past 12-month performance, buys the strongest quintile, and sells the weakest. The cited research finds profitable continuation strategies and reports an average…
The document describes a cross-sectional momentum strategy for U.S. real estate investment trusts. Each month, it ranks listed REITs by their returns over the prior 11 months, leaving out the most recent month, and divides them into equal-weighted groups.…
This document describes a monthly sector rotation rule using ten sector ETFs. Each month, rank the funds by their prior 12-month returns, invest equally in the three strongest, hold for one month, and then rebalance. The stated aim is to outperform a broad…
This document describes a monthly, long-only strategy that combines stock momentum with environmental, social, and governance scores. It frames portfolio selection as a knapsack problem: one characteristic acts as the portfolio constraint and the other as…
This document describes a tactical allocation rule that uses a ten-month simple moving average to time exposure across asset classes. Its example holds five equally weighted ETFs covering US and foreign equities, bonds, real estate, and commodities when each…
The document explains cross-sectional stock momentum: rank stocks by their prior returns, then buy recent winners and sell recent losers. Its example uses a 12-month formation period that excludes the latest month to reduce microstructure and liquidity…
This document describes an industry-level stock strategy based on proximity to the 52-week high. Each month, it calculates each stock’s price-to-high ratio, then forms market-cap-weighted averages for 20 industries. It buys stocks in the six industries with…