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.
5,701 documents
The article surveys factors that can shape algorithmic strategy design across cash equities, bonds, derivatives, commodities, and foreign exchange. It presents general practices such as testing strategies on in-sample and out-of-sample data, setting…
This article explains how to collect government bond yields from web pages and use them to derive interest rate differentials for forex analysis. It describes finding the data source in a page or its linked resources, extracting the quoted yield, and…
This paper studies portfolio choice over an individual’s life when income is stochastic and investments include stocks, a bond, and life insurance. The objective accounts for consumption, death benefits, and terminal wealth. A convex trading constraint…
This account traces Bridgewater’s All Weather approach from Ray Dalio’s early effort to understand how markets respond to economic surprises. Its central framework separates asset returns into cash, broad market exposure (beta), and manager skill (alpha),…
This study constructs fixed-income fund-of-funds portfolios from products managed by one fund company, considering a setting where the available fund universe is limited. It separates funds into low-, medium-, and high-risk pools based on fund categories,…
This document introduces two ways to estimate the duration of public bond funds. The stated inputs are portfolio holdings disclosed in quarterly fund reports and the fund’s regularly published net asset value. The purpose is to give investors a way to assess…
The document explains a nine-cell framework for classifying bond funds along two dimensions: interest-rate sensitivity and credit quality. Duration determines whether a fund has limited, moderate, or extensive rate sensitivity, with thresholds varying by…
The document describes a rotation strategy for Chinese convertible bonds, which can behave more like equity or more like fixed income depending on their conversion and bond premiums. It groups bonds as equity-oriented, bond-oriented, or balanced, and says…
This 2019 outlook reviews China’s financial product and asset management markets amid regulatory change. It argues that rapid market expansion had already slowed before the new asset management rules, with aggregate assets contracting in 2018. The report…
This report outlines a framework for classifying and evaluating bond funds, with emphasis on medium- and long-term pure bond funds. It groups funds by investment objective, such as seeking returns above the bond market or favoring particular bond types,…
The report summary presents a Campisi-style performance attribution model for bond funds using net asset value returns, an approach intended for cases where timely holdings data are scarce, especially for private funds. It describes five explanatory factors:…
This article compares active and index approaches to high-yield bonds, focusing on costs, liquidity, market-value weighting, and pricing inefficiencies. Its central case for active management is that thin trading can make index rebalancing costly and…
This article examines how often an investor should make decisions when each decision reflects some degree of skill and incurs trading costs. It models repeated independent outcomes and argues that expected compounded return depends nonlinearly on skill,…
This document introduces convertible bonds as instruments combining debt with an option to convert into the issuer’s shares. It outlines core contract features: face value, conversion price and period, coupon, conditional early redemption, and investor put…
This document introduces convertible bonds as instruments combining debt with an option to convert into the issuer’s shares. It outlines core contract features: face value, conversion price and period, coupon, conditional early redemption, and investor put…
This discussion examines how to exclude Chinese convertible bonds after an issuer announces early redemption. The author found that the platform’s redemption-terms table showed one row each for two example bonds, including contractual trigger conditions,…
This primer explains how blockchain tokens can represent claims on physical or financial assets, from commodities and property to treasuries and intellectual property. It outlines the infrastructure involved, including smart contracts, legal and compliance…
This review explains why diversification may help more during declines than during gains, and why average correlations can hide that difference. It recommends estimating an asset pair’s downside relationship by conditioning on the portfolio’s main growth…
This review challenges the assumption that diversification works equally in rising and falling markets. It argues that the useful question is how a prospective diversifier behaves when a portfolio’s main growth asset falls. To measure downside correlation,…
The newsletter argues that further steepening in US and other sovereign yield curves could signal fiscal strain, currency debasement, and shifting central bank policy. It outlines a possible sequence: central banks lower short-term rates, governments rely…
The article explains how blockchain tokens can represent claims on assets such as property, art, intellectual property, commodities, securities, and infrastructure. Fractional ownership and secondary trading may broaden investor access and improve liquidity,…
The document describes a framework for separating active fixed-income fund returns into persistent strategic factor exposure, short-term tactical exposure, and residual return, which it treats mainly as security selection. Long-run factor betas are estimated…
This report proposes attributing bond fund returns from net asset value histories, addressing the limited holdings data available for many fixed income funds, especially private funds. Its Campisi-inspired regression model uses five risk factors representing…
The document offers a brief allocation recommendation for bond funds in a period of increasing credit risk. It advises favoring funds with higher credit scores and specifies a threshold of 2.7 or above according to the authors’ credit scoring table. The…