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 examines how to interpret minimum monthly-observation requirements for three- and five-year market beta estimates. Its proposed reading is that each estimate uses returns across its stated lookback window—up to 36 months for the three-year…
The document distinguishes two ways to report goodness of fit in a two-step Fama–MacBeth factor analysis. Rolling windows belong to the first-stage time-series regressions used to estimate portfolio betas. The second stage uses those betas in cross-sectional…
This document asks how practitioners should interpret the J-statistic in linear factor models, where the test evaluates whether model pricing errors, or alphas, are jointly zero. The author describes simulating stock returns with normal noise but failing to…
The document explains how distorted investor beliefs can enter an asset-pricing model through a modified stochastic discount factor. Arbitrageurs’ subjective state probabilities are compared with true probabilities, and their likelihood ratio multiplies the…
The discussion considers how to choose between two indices as a benchmark for a stock. It cautions against regressing price levels because financial price series may be nonstationary, making a levels regression vulnerable to spurious results. Instead,…
The document explains that broad sector and industry labels may be too coarse for some investment or research tasks, and asks about more detailed classifications of stocks. The response describes several established taxonomies that divide companies from…
The document raises a modeling problem in a dynamic Gordon framework where autoregressive coefficients govern changing price-dividend ratios. In the described application, estimated coefficients near one produce price-dividend ratios the author considers…
The document addresses inference in regressions using the Fama-French four-factor model to compare ESG and conventional mutual fund performance. Its focus is on heteroskedasticity and serial correlation, which can make conventional standard errors unreliable…
The discussion considers how to study international aircraft and defense stock returns using global size, value, and momentum factors across 30 countries from 1980 to 2016. It does not settle whether a panel model with country effects or a time-series model…
The post describes a historical S&P 500 simulation that forms annual portfolios from companies ranked by return on equity: a top group, a bottom group, and a portfolio combining both. Holdings that leave the index are sold and their value redistributed among…
The document presents several proposed ways to set relative objective weights for alpha forecasts and transaction costs in a portfolio optimizer. The setting is monthly standardized factor-model forecasts combined with a nonlinear market-impact model…
The document outlines the main steps for constructing a factor model from firm characteristics and stock returns, using a Fama–French-style approach. It recommends cleaning the data, forming characteristic-sorted portfolios for factors such as SMB, HML, RMW,…
The document asks how practitioners choose the observation window, weighting scheme, and regularization method for estimating covariance among factor returns. It begins with the usual sample covariance estimator based on daily factor returns. The response…
The document surveys approaches to forecasting asset returns, including time-series, cross-sectional, and panel models. Time-series examples include autoregressive models, moving averages, and ARIMA; the discussion says lag choice should be guided by…
The document explains where to look in Thomson Reuters Eikon for historical fundamentals of S&P 500 constituents. A constituent-analysis fundamentals view may show only a current snapshot; the suggested route is the Fundamentals area and its Standardized…
The document considers how to identify which candidate factor returns help explain mutual fund returns. It presents factor selection as a feature-selection problem and lists several approaches: rank factors using individual correlations, use recursive…
The document raises whether a long-short equity strategy based on exposure to a factor called MIF can withstand broad market declines. It describes a portfolio that longs stocks with the greatest MIF exposure and shorts those with the least, then considers a…
The discussion addresses whether stock returns and estimated factor exposures should be combined for principal component analysis, and whether each dataset should be standardized first. The replies emphasize that the answer depends on the intended model,…
The document raises a factor attribution question using a fund’s estimated value and growth coefficients around the Covid market shock. As the correlation between the factors moved from negative to positive during the selloff, the fund’s estimated value…
The discussion explains how a two-factor model can estimate covariance between two stocks using their exposures to common factor returns. Each stock’s return is represented as a weighted combination of the same factor returns plus an idiosyncratic error. If…
The discussion distinguishes directional strategies, which take a view on an asset’s future movement, from relative-value approaches that trade multiple assets against one another. It names trend following as a clear example and also points to systematic…
The document asks how to calculate the t-statistic for the difference between low-beta and high-beta portfolio alphas in an analysis of the beta anomaly. The accepted answer describes forming a time series of portfolio returns by subtracting one portfolio’s…
The document asks how quantitative funds build factor portfolios, such as momentum strategies, while reducing unwanted industry and style exposures. The response notes that factors commonly carry exposure to other return drivers: momentum may load on…
The document explains how to construct an industry-level market-to-book control from US and Canadian firms and apply it in an international panel. The proposed procedure groups North American firms by industry and year, computes the median market-to-book…