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.
6 documents
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 short-selling strategy in publicly traded soccer clubs. It proposes selling a club’s stock at the close of the business day before an important match, holding the position for one day, and equally weighting positions when multiple…
The document describes an overnight SPY approach conditioned on three sentiment and trend signals: SPY above its 20-day moving average, VIX below its moving average, and the Brain Market Sentiment indicator above its 20-day average. When all conditions hold,…
The document describes a market-timing signal based on changes in aggregate synthetic borrow intensity, estimated from options prices for a broad set of stocks and ETFs. Borrow intensity is defined as the risk-free rate less the lending fee, so its movement…
The pre-holiday effect is the reported tendency for equity markets to rise on the final trading session before a holiday. The proposed simple approach holds a broad equity exposure on specified pre-holiday sessions and remains in cash on other days.…
The document presents a calendar-based equity timing effect associated with Ramadan. It proposes holding an equally weighted basket of exchange-traded funds tracking countries with Muslim-majority populations during Ramadan and remaining in cash during the…