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 document explains a convertible-bond rotation strategy that ranks bonds by absolute price and holds a selected group of the cheapest issues. Unlike a double-low approach, it does not use conversion premium as a selection variable. Its thesis depends on…
The article explains how tokenization represents claims or economic rights linked to tangible and intangible assets as blockchain-based tokens. It describes fractional ownership and the use of smart contracts to automate functions such as settlement and…
The document presents a flow-based framework for macro trading, arguing that traders should study how liquidity and credit move through central banks, commercial banks, companies, and shadow banks. It explains how bank lending creates deposits, why…
This document summarizes a research note on building a systematic framework for allocating among asset classes, with a focus on domestic equities and bonds. It says the research team had worked on asset allocation for several years and began consolidating…
This research note organizes convertible-bond factors into three groups: factors from the underlying stock, factors describing the bond-stock relationship, and the convertible bond’s own price and volume behavior. It reports that earnings yield and…
This Chinese-language research digest summarizes two topics. The first concerns systematic style investing in fixed income: it reports that value, momentum, carry, and defensive premia have shown notable results in both government and corporate bonds,…
This research summary reviews how unexpected U.S. monetary policy changes affected U.S.-registered stock and bond mutual funds from 2009 through early 2017. It measures policy surprises using narrow-window changes in Treasury yields around Federal Open…
This report summary introduces over-the-counter options as customized, non-standardized contracts negotiated between counterparties or arranged through an intermediary. It focuses on binary, or digital, options, whose payoff is discontinuous: at expiry the…
This report uses a cycle model to assess global markets in 2018. It identifies recurring short, medium, and long cycles in year-over-year financial and economic indicators, and says regression analysis supports their role in asset-price movements. The…
This podcast recap summarizes an interview with Dakota’s founder about stablecoins, tokenized real-world assets, institutional adoption, and crypto-oriented business banking. It presents stablecoins as a potential way for fintech firms and businesses to move…
This study treats a convertible bond as combining straight-bond value and embedded equity-option value, and examines how bond returns relate to the underlying stock. It reports positive return correlation across conversion-status groups, with average…
Gerber statistics offer a threshold-based way to estimate dependence between asset returns. Each return is classified by whether it rises or falls beyond an asset-specific threshold; paired observations count as concordant when both move substantially in the…
This strategy rebalances a portfolio when asset weights move far enough from their targets. It calculates each holding's drift, then sells assets above target and buys those below target. Users specify target assets and weights, choose a drift threshold, and…
The document explains reverse repurchase agreements as secured short-term financing: one party sells securities for cash and agrees to repurchase them later at a higher price, with the price difference functioning as interest. It outlines the transaction’s…
This report summary presents a strategic allocation framework that shifts the budgeting unit from asset classes to macroeconomic drivers, aiming to reduce exposure to changing correlations among assets. Principal component analysis is used to derive five…
A forum user asks how to import bond data for backtesting when signals may depend on yield to maturity, while trades use full price. The question also raises the handling of clean and full prices, tick data, and the difficulty of applying price adjustment…
This report overview describes Vanguard’s growth, product mix, and emphasis on keeping investment costs low. It presents historical figures for assets, product counts, investor reach, and average fees, and discusses the firm’s expansion into ETFs and…
The document outlines conservative investing as an approach that prioritizes limiting losses and seeking dependable returns over pursuing the highest possible growth. It presents long holding periods and restrained trading as ways to reduce the influence of…
This document describes a long-only strategy for a Bund contract CFD on a four-hour chart. Entries are triggered when a normalized, smoothed price-action indicator reaches either extreme threshold or crosses above zero, with Monday entries excluded. The…
This report summary outlines a fixed-income-plus-equity portfolio design in three stages: strategic allocation, tactical timing, and capital management. Strategic weights are set with a mean-variance model using broad equity and bond indices, with periodic…
The document summarizes research that classifies corporate bond funds as liquidity demanders or suppliers according to how their trades align with dealer inventory cycles. Using TRACE transactions and fund holdings, the underlying study infers inventory…
This document summarizes a Q2 2024 survey of 100 senior digital asset professionals and interviews with industry contributors. Respondents report existing crypto allocations and expectations for further adoption. They also describe potential blockchain…
The document explains why current rates for senior, junior, and mezzanine real estate financing are difficult to estimate from a single benchmark. Borrowing costs vary with the risk-free rate, the project’s risk premium, and the developer’s perceived credit…
The document works through the present value of thirteen annual payments of $365, with the first payment due four years from now and a 3% interest rate. Its two-stage calculation first values the thirteen-payment annuity at the date three years from today,…