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.
8 documents
The document describes a cross-sectional commodity futures strategy based on return asymmetry. It defines an IE measure as the difference between the counts of unusually large positive and negative daily returns, using a rolling 260-day window. At each month…
The low-volatility effect is the reported tendency for lower-risk stocks to deliver stronger risk-adjusted returns than higher-risk stocks. A straightforward implementation ranks stocks by the volatility of their past weekly returns, forms decile portfolios,…
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 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…
Dispersion trading seeks to capture the difference between index and single-stock option volatility risk premia. A basic position sells index options and buys options on constituent stocks. Because the trade is exposed to correlation, it tends to benefit…
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 document explains a strategy that trades the VIX futures basis and hedges broad equity exposure with E-mini S&P 500 futures. It interprets the basis as a volatility risk premium: the cited research finds it forecasts futures returns, even though it does…
The document explains why equity index options may carry a volatility risk premium: investors value protection against sharp losses and may pay more for options than subsequent realized volatility justifies. It describes a monthly strategy that sells a…