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.
10 documents
This historical account explains how Bridgewater developed the All Weather approach from a broader effort to understand recurring economic relationships. Its core framework separates returns into cash, market beta, and manager alpha, then considers how…
These reading notes explain how futures can offset exposure to changes in commodity prices, exchange rates, or other market variables. A short hedge suits a party that benefits when an asset price rises and loses when it falls, such as a producer planning a…
This overview classifies quantitative funds by strategy, market, instrument, and time horizon. It describes trend following, which seeks sustained price moves and can have a low win rate while relying on occasional large trends, and countertrend trading,…
The article reviews a historical-data study comparing value averaging (VA), dollar-cost averaging (DCA), and a randomized contribution schedule across equity, gold, and commodity indexes. DCA invests a fixed amount at regular intervals. VA instead sets a…
The article defines CTA strategies as professionally managed approaches focused mainly on futures, with possible options exposure, and sketches their development in overseas and Chinese markets. It describes the shift of Chinese CTA activity toward commodity…
The document explains calendar spread arbitrage: taking opposite positions in different delivery months of the same futures contract when their price relationship departs from its usual range. It describes bull spreads, which buy the nearer month and sell…
This article introduces cross-commodity futures arbitrage as trading the relative price of two related contracts, typically entering opposing positions when their spread or ratio moves away from an expected range and closing as it reverts. It groups…
This review summarizes historical evidence on how assets and active strategies performed during periods of high and rising inflation in the United States, United Kingdom, and Japan. It defines inflation episodes using accelerating year-over-year inflation…
The guide introduces time series as observations ordered in time and treats them as outcomes of an underlying random process. It describes trend, seasonality, and serial dependence as common patterns in financial data, noting commodity seasonality and…
The document explains why a simple moving average of intraday volume can give misleading comparisons. Volume patterns vary across times of day, particularly across regional sessions, and can also differ by weekday. Comparing a bar with an average that mixes…