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
This guide explains the long-short equity approach: buying stocks expected to outperform and shorting those expected to underperform. It distinguishes general long-short portfolios from market-neutral funds, which seek to offset broad market exposure, and…
The article introduces several ways to allocate weights in a multi-asset portfolio: equal weighting, risk parity, minimum variance, and Markowitz mean-variance optimization. It describes the intuition behind each method, including equal risk contributions in…
The document surveys measures for evaluating portfolio returns alongside the risks taken to earn them. It describes risk-adjusted measures such as Sharpe, Sortino, and Calmar ratios; benchmark-relative measures such as up and down capture; and risk measures…
The document introduces Value at Risk (VaR) as a loss threshold tied to a specified confidence level and time horizon. It presents a parametric portfolio calculation that multiplies portfolio return volatility by the relevant standard-normal quantile and…
This overview presents five motivations for learning algorithmic trading: pursuing work in financial technology, using data in trading decisions, establishing a trading business, reducing manual execution burdens, and managing risk. It describes practical…
This introduction explains portfolio management as selecting and combining assets to pursue a return objective while controlling risk. It contrasts passive, active, and aggressive management, and describes bottom-up security selection alongside top-down…
This project outlines a mean-reversion strategy for liquid, shortable stocks organized across five sectors. It first screens candidate pairs for correlation, then tests their spread for stationarity with the Augmented Dickey-Fuller test. When a qualifying…
The article distinguishes unsystematic risk, which arises from company-specific problems, from systematic risk driven by broad market conditions. It lists causes such as weak management, business model flaws, labor disruptions, operational errors, and debt…
The article describes a repeatable way to develop systematic trading ideas by separating entry research from exit design. The author recommends keeping a standard exit package, such as stops and profit targets, while testing new entry signals. This makes…
The article explains recursion as a function calling itself until it reaches a stopping condition, and distinguishes direct, indirect, tail, and nested recursion. It contrasts recursive approaches with loops, noting that recursion can make naturally…
The article introduces the Capital Asset Pricing Model as a way to estimate an asset’s expected return from the risk-free rate, the asset’s beta, and the market risk premium. It distinguishes systematic risk, which affects the broader market, from…
The document explains beta as a historical estimate of how an asset’s returns move relative to a market benchmark. A regression of asset returns on benchmark returns estimates beta as the slope, while the intercept represents historical excess return in the…
The article combines company fundamentals with quantitative ranking to select equities. It describes comparing a group of large technology stocks using valuation and leverage ratios, inverting the ratios to represent value, standardizing them with Z-scores,…
The article outlines the mathematical, statistical, and programming foundations associated with quantitative finance, then describes common quant work: trading strategy development, portfolio optimization, risk management, and asset pricing. It recommends…
Survivorship bias arises when analysis includes only assets or funds that remain observable, omitting those that failed, delisted, or closed. The document explains the issue with the military aircraft example: examining only planes that returned can…
This project backtests equal-weight stock portfolios selected using alpha, prior-year returns, volatility, beta, and return divided by volatility. It varies portfolio size, stock universe, and annual, semiannual, or quarterly rebalancing, while describing…
This project outlines a market-neutral long-short portfolio framework that selects assets with cross-sectional momentum and compares equal weighting, inverse-volatility weighting, Hierarchical Risk Parity (HRP), and Hierarchical Equal Risk Contribution…
The document introduces portfolio management when the portfolio’s components are trading strategies as well as assets. It contrasts equal weighting as a starting point with Markowitz efficient-frontier allocation, which balances return against a risk…
The project proposes a daily allocation strategy across stocks in India’s Nifty Bank index. It uses three dynamic linear neural network models: one estimates the probability of a positive next-day return, while two estimate return size conditional on…
The document explains how to measure realized portfolio performance and examine where returns came from. It distinguishes a single-period return calculation, which adjusts for external cash flows at the period boundaries, from two methods for handling cash…
The article explains standard deviation as the square root of variance and a measure of how dispersed observations are around their mean. It distinguishes population and sample calculations, describing Bessel’s correction for samples, and notes that standard…
This tutorial explains vector autoregression for modeling multiple time series together. It discusses stationarity checks using augmented Dickey-Fuller tests, differencing nonstationary series, and selecting a common lag order with information criteria.…
The article presents Stereoscopic Portfolio Optimization (SPO), a framework that combines traditional mean-variance allocation with bottom-up analysis of asset-level market microstructure. It describes volatility as one possible input, while noting that…
The document explains the 52-week high effect: investors may use a stock’s annual high as a reference point and respond slowly to information as prices approach it, allowing subsequent price continuation. It also describes research comparing an…