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.
4,194 documents
The document explores how a fund of funds with many hedge funds might monitor risk more frequently than its managers’ monthly reporting allows. It compares portfolio-level monitoring with fund-by-fund analysis, which can better expose strategy-specific risks…
The document asks where to find historical S&P 500 book-value data to calculate a Graham-style earnings-to-book-value ratio over a long sample. The response points to the Ken French data library as a potential source of accounting and market data. It also…
The discussion distinguishes PCA scores, which describe observations such as dates in principal-component space, from factor loadings, which describe each stock’s exposure to the components. It explains why clustering loadings may emphasize a component with…
The document explains how risk-free rates affect long-short portfolio returns. If the long and short legs have equal funding amounts, subtracting the risk-free rate from each leg before combining them gives the same result as calculating the long-short…
The document considers whether the change in a company’s market capitalization over a fixed period can be adjusted using its average beta. The answer cautions that beta describes the covariance of returns with market returns, so there is no direct, generally…
The document clarifies the intercept in a time-series regression of portfolio excess returns on the Carhart four-factor returns. The intercept, or estimated alpha, is the portion of the portfolio’s average excess return that remains unexplained by its…
This note addresses whether log returns or simple returns are more appropriate as the dependent variable in a regression studying factors such as dividend yield and stock index returns. It corrects a common misunderstanding about regression assumptions: the…
The document asks whether stocks with lower historical return standard deviation tend to earn higher future returns, and whether this finding is broadly established. It distinguishes this measure from idiosyncratic volatility and cites two studies that…
The document explains why corporate debt can affect both equity value and volatility. In discounted cash flow valuation, interest costs can raise the cost of capital; in a structural view, equity behaves like a call option on company assets, so leverage…
The document discusses how delayed sell-side earnings revisions can distort valuation signals. After a sharp stock decline, stale forecasts may make a company look unusually cheap; after a market crash, stale aggregate estimates may likewise suggest the…
This document asks how to interpret Fama–MacBeth regressions used to assess whether a six-factor asset-pricing model predicts expected returns. It contrasts a single-factor specification, where the average intercept and market slope are reported as…
The document compares two ways to estimate a factor risk premium in a linear asset pricing model. The time-series method estimates asset exposures from returns over time and treats the factor’s sample mean as its premium; the factor is priced exactly in that…
The document compares risk parity with smart beta and shows why their relationship depends partly on how each term is defined. Risk parity is described as a portfolio construction and risk management approach that seeks diversification across risk…
The document explains why ordinary least squares estimates of slope coefficients are unchanged when a regression includes an intercept or, equivalently, when the response and regressors are demeaned and the regression is constrained to have no intercept. It…
The document describes an attempt to estimate hedge fund alpha using the Fung-Hsieh seven-factor model. The proposed analyses include a pooled estimate across funds and annual estimates, using monthly after-fee excess returns as the dependent variable and…
The document asks how to combine many statistically significant in-sample signals and whether historical covariance with mean-variance optimization is the best approach. Its answer offers a portfolio-balance intuition: add an asset or alpha exposure while…
The document asks whether momentum trading and positive feedback trading are distinct concepts, and whether individual trader data is needed to identify positive feedback or herding. The response treats momentum and positive feedback as conceptually…
The discussion examines why fundamental equity risk models, such as Barra-style models, often assign securities a binary exposure to their country, industry, or world factors. A one-zero membership indicator is a simple way to define exposures and estimate…
The document examines whether replacing the CAPM’s constant expected factor return with its realized time-varying return in time-series regressions creates an errors-in-variables problem that invalidates the GRS test. The proposed test runs asset-return…
The document explains why a first principal component computed from asset returns may appear to represent the market with all-negative loadings and a strong negative correlation to a market index. This does not necessarily indicate a different economic…
The document considers how to select and prepare market and macroeconomic time series for a portfolio return regression. The portfolio example is denominated in Swiss francs and includes global equities, fixed income, gold, commodities, currency pairs, and…
The document outlines requirements for historical global equity research data: programmatic access, coverage of delisted companies and corporate outcomes, long histories of annual and quarterly fundamentals, daily closing prices, and broad international…
The document describes a proposed liquidity-adjusted asset pricing analysis using monthly turnover, defined as average daily volume relative to shares outstanding. Because the measure is persistent, the author plans to model each stock's liquidity with an…
The note explains why Fama–French factor research commonly waits six months after fiscal year-end before using accounting data such as book-to-market and firm size. Although quarterly reports may become available sooner, reporting dates and filing delays…