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 summarizes a portfolio construction method that translates target macroeconomic factor exposures into asset weights. It considers six factors: equity, real interest rates, credit, inflation, emerging markets, and commodities. A standard linear…
The document outlines a China A-share stock screen based on daily price range, geography, and circulating market value. Its stated filters require amplitude above 1%, exclude Beijing-listed shares, and select companies with circulating market value above 10…
The article explains return on invested capital (ROIC), return on equity (ROE), and weighted average cost of capital (WACC) as tools for judging whether a company’s growth creates value. ROIC relates after-tax operating profit to invested capital, while ROE…
This Chinese equity screening proposal combines a ranking by capital strength with an exclusion for Beijing-listed A-shares and a revenue-growth condition. Capital strength is described broadly using measures such as trading volume, turnover, or order-side…
This Chinese research summary describes an equity index-enhancement approach using listed companies’ reported revenue by business line. It uses annual and interim report data, then applies Chinese-language keyword extraction and similarity analysis to…
The document proposes a Chinese A-share screening rule combining a robotics concept classification, turnover between 3% and 12%, float market value below 10 billion yuan, and exclusion of Beijing-listed shares. It says the exclusion is intended to reduce…
This research summary presents TS-Boost, an equity factor-selection framework designed for financial data with shifting cross-sectional patterns and low signal-to-noise ratios. Instead of pooling observations from different dates into one training set, it…
This post describes a stock-selection idea that combines MACD above zero, a favorable company characteristic, and a minimum listing history. Its rationale treats positive MACD as a sign of price strength and listing age as a way to avoid very recently listed…
This report describes a process for choosing equity factors and turning them into portfolios. It first narrows a larger set of candidate factors by weighing their correlations, volatility, cumulative returns, Sharpe ratios, and economic rationale. It then…
This stock screen combines technical filters with valuation limits for Shenzhen main-board listings. It selects shares with RSI below 65, price-to-earnings ratios between zero and 29.01, price-to-book ratios between zero and 3.11, and a 30-day moving average…
The document proposes a Chinese stock screen combining four criteria: daily high-low amplitude above 1%, prior-day trading volume above 60 million, market capitalization below 10 billion, and positive net profits over the previous three years. It presents…
This research summary examines whether mutual fund managers’ tendency to follow prior institutional trading can reveal investment skill. It describes a fund-level dynamic herding measure, FH, and tests whether funds with stronger herding subsequently…
This report studies whether changes in leading companies’ expected earnings can help select industries for rotation. Its premise is that revisions to a sector leader’s expected fundamentals may influence subsequent returns across related stocks. The analysis…
This report examines whether selecting stocks within industries can improve factor comparisons by reducing structural differences between sectors. It groups stocks using a detailed industry classification, removes recent listings and very small firms whose…
This note describes a Chinese equity screen requiring turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%, and exclusion of STAR Market stocks. The accompanying example…
This report examines stocks that mutual funds hold at a larger portfolio weight than their benchmark index. It describes these holdings as tending toward larger, higher-valued companies and certain sectors, and reports that many outperformed during fund…
The article describes a Chinese stock screen that looks for daily amplitude above 1%, total market capitalization no greater than 10 billion yuan, positive net profit, and tradable market capitalization from 5 to 10 billion yuan. It presents volatility as a…
The document proposes a stock screen that combines price amplitude above one, a rising sequence of recent lows, and a positive price-to-earnings ratio. It presents these as technical and fundamental filters intended to identify shares with substantial…
This page summarizes two research topics from an overseas literature review. The first concerns systematic value investing: it describes examining common claims about the value effect, considering how diversified value strategies might be implemented more…
The document presents a Chinese equity screen that requires a 14-period RSI below 65, a circulating market value between 5 billion and 10 billion yuan, and exclusion of Beijing-listed A shares. The example code applies these filters and, when enough…
The screen selects stocks with turnover between 3% and 12%, beginning with the Chinese stock-code prefix 60, and keeps companies whose 2021 revenue exceeded their 2018 revenue by more than 10%. The article describes this as a way to combine trading activity…
This page organizes a beginner-oriented quantitative trading curriculum and links to lessons and example strategy projects. The listed foundations include Python, pandas analysis, historical and financial data access, visualization, and DataFrame plotting.…
This report examines whether commodity futures signals and trades should use the most liquid main contract or an actively traded near-month contract. It defines active near-month contracts using liquidity and price sensitivity, then compares contract choices…
This Chinese market stock screen combines a technical momentum or condition filter with trading-flow and valuation criteria. It selects Shenzhen main-board stocks with RSI below 65, positive product of percentage price change and net super-large-order…