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.
13 documents
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 market-timing approach that uses crude oil returns to forecast equity returns. It estimates a regression of equity returns on monthly oil returns, updates the model each month with the latest observation, and compares the…
The document examines hourly Bitcoin returns and reports that the distribution is uneven, with the strongest economically meaningful positive returns occurring at 22:00 and 23:00 UTC. It proposes a simple seasonality rule: buy Bitcoin at 22:00 UTC and close…
The document describes a calendar effect in which U.S. equity returns tend to be unusually strong around scheduled Federal Open Market Committee meetings. It outlines a simple long-only timing rule: hold an S&P 500-linked instrument from the close before a…
This strategy identifies equity industries whose estimated alpha relative to the broad market has become statistically significant, interpreting the break as a possible bubble. Using roughly a decade of historical returns, an investor estimates alpha with a…
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 the Halloween effect, a seasonal equity timing pattern in which returns have historically been stronger from November through April than from May through October. Its basic rule is to hold global equities during the winter half of 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 monthly equity reversal strategy that conditions recent returns on a fundamental strength score, or FSCORE. The score adds up nine financial statement signals covering profitability, leverage, liquidity, and operating efficiency.…
The document describes a pairs trading strategy using 22 international country ETFs. It normalizes dividend-inclusive total return series, selects the five pairs with the smallest cumulative price distance over a 120-day formation period, then trades them…
The document explains why dividend yield alone may miss how companies return cash to shareholders. It defines net payout yield using dividends, share repurchases, and common share issuance, divided by market capitalization. The rationale is that buybacks can…
This document describes a country-level equity value strategy based on Shiller’s cyclically adjusted price-to-earnings ratio (CAPE). At each year-end, it ranks 32 countries by CAPE and invests equally in the least expensive third, provided their CAPE is…
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.…