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.
5,922 documents
The document summarizes research proposing a portfolio-centered framework that brings ex ante and ex post attribution into one structure. It applies a consistent approach to explaining portfolio alpha, expected risk, and realized returns, broadening…
This brief summary of a factor-investing report reviews tests of capital-structure and solvency measures. For nine capital-structure factors, the report compares grouped portfolio performance, long-short returns, information coefficients, and Fama-MacBeth…
The document summarizes research on whether actively managed equity funds earn stronger future returns when their trading increases the technological similarity of their holdings. It describes Active Technological Similarity (ATS), built from the overlap in…
This research summary reviews dynamic ways to allocate among equity style factors, contrasting them with static allocation and grouping methods by whether they rely on returns, risk, or both. It first builds the investable factor set: 28 underlying factors…
This document explains a MetaTrader 4 script that builds an offline chart for a user-defined basket of instruments and updates it as new ticks arrive. It calculates basket prices using a geometric mean, allows directional weights—including fractional…
The report outlines portfolio attribution methods for stocks and bonds, using both holdings and return series. For equity holdings, it applies a multifactor framework to separate common-factor returns from idiosyncratic returns, then estimates portfolio…
This report reviews ESG investing through active stock selection, benchmark optimization, and factor portfolios. It summarizes research using company ESG scores and components for five MSCI equity regions over 2010–2017, with quarterly portfolio rebalancing.…
This strategy selects U.S. equities by asset growth, then uses price momentum to choose long and short positions. It first screens for exchange-listed stocks, removes the smallest market capitalization names according to the source description, and ranks the…
The request specifies a stock factor backtest using a named factor table and factor. Factor values should be converted to ranks, with smaller values preferred. The intended universe is the CSI 1000, excluding Beijing Stock Exchange listings and ST-designated…
This forum post raises operational problems encountered after submitting previously successful stock strategies for simulated trading. The author reports that some buy instructions appear a day early and are later marked invalid, that incomplete purchases…
The report reviews how to assess pure bond funds using disclosed portfolio data, covering asset allocation and leverage, bond-type exposure, concentration, duration, and turnover. It then explains bond performance attribution, contrasting Campisi with…
This configuration defines an equity prediction workflow for China’s CSI 300 universe. It applies robust feature normalization and missing-value filling, drops labels with missing values, and ranks labels cross-sectionally. An ordinary least squares linear…
The document explains why a portfolio weight constraint routine can fail when it caps bond exposure and then normalizes all weights. Normalization may push the bond allocation above its intended limit; the example describes a bond weight of 20% becoming 40%…
This reference catalog groups Python libraries used across quantitative finance. It covers strategy research and backtesting, technical indicators, risk and portfolio analysis, scientific computing, derivatives pricing, factor and time-series analysis,…
This research summary surveys dynamic allocation methods for equity style factors. It organizes the approaches by whether they use return information, risk information, or both, adapting methods originally used in broad asset allocation. The study first…
This document explains how to combine absolute, time-series momentum with relative, cross-sectional momentum in a multi-asset portfolio. It describes a unified portfolio framework that treats each pair of instruments as a relative-momentum opportunity,…
This report examines industry exposures in an existing multi-factor stock-selection portfolio, tests how the model performs across sectors, and constructs industry-neutral long and short portfolios. It identifies sectors where the model appeared unsuitable…
The strategy ranks a broad set of commodity futures by their performance over the previous 12 months, divides the available contracts into quintiles, and holds long positions in the strongest quintile and short positions in the weakest. It rebalances monthly…
The document reviews three quantitative allocation approaches: rotating between equities and bonds, flexible multi-asset allocation, and multi-asset trend following. Each approach is offered at conservative, moderate, and aggressive risk levels, allowing…
This short assignment defines quantitative investing in practical terms as using computers to carry out investment work. It identifies consistency within a fixed framework and the ability to hedge or run multiple trading styles as potential advantages. These…
This research note outlines a framework for evaluating funds and constructing allocations across active equity funds, enhanced index funds, and active bond funds. For equity funds, it discusses classification and performance attribution using both holdings…
This strategy ranks a universe of ten US sector ETFs by their trailing 12-month rate of change. At each monthly rebalance, it selects the three strongest performers, assigns them equal portfolio weights, and exits holdings that no longer qualify. The…
The document introduces attention and Transformer components, then adapts them to forecast stock returns from factor sequences. Its proposed architecture adds Time2Vec features to factor inputs, applies self-attention and encoder layers, and uses a…
These reading notes summarize an active, company-focused approach to equity investing. They organize stock selection around business quality, valuation, and timing, emphasizing industry structure and durable company advantages over tracking short-term…