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
This research summary examines stock and industry characteristics associated with long term performance across Chinese A-share bull and bear markets. It argues that revenue growth is especially relevant in rising markets, while profitability and valuation…
This review summarizes research on whether factor momentum explains industry momentum. The underlying study ranks factor portfolios by their recent returns, takes long positions in recent winners and short positions in losers, and compares the resulting…
This report studies twelve revenue, profit, operating cash flow, and return-on-equity growth measures in Chinese A-shares. It compares their industry and size relationships, then evaluates them using industry-neutral portfolio sorts, cross-sectional return…
The proposed stock screen combines three conditions: prior-day price amplitude above one percent, free-float shares no greater than 5.5 billion, and trailing P/E above zero. It describes the amplitude condition as a way to find active, volatile shares, the…
This report surveys quantitative enhancement of Chinese equity indices, aiming to outperform a benchmark while controlling tracking error. It places multi-factor models at the center of the approach: estimate returns and risks through factor exposures, then…
This discussion concerns industry neutralization of a stock factor, using industry indicators as explanatory variables in an ordinary least squares regression. The example joins daily stock data with industry classifications, creates dummy variables,…
The document proposes a holdings-based labeling system for domestic active equity funds, addressing the risk that fund names and stated mandates can misrepresent actual exposures and that theme funds may drift across industries. It assigns each stock one…
This stock-selection proposal combines a 14-period RSI below 65, positive parent-company net-profit growth above 20% and up to 100%, and an opening price above its 10-day moving average. It also describes requirements for positive net profit and filters…
This tutorial outlines how to construct financial factors from quarterly or annual statements, whose time intervals differ from daily price data. It recommends processing the raw financial series with Python rather than applying operators designed for…
The article considers how natural-language tools can turn a strategy idea into runnable code quickly, while warning that correct implementation does not establish a sound investment rationale. Researchers still need to justify factor choices, rebalance…
This document outlines a pre-market stock screen for shares with MACD above zero, positive trailing price-to-earnings, market capitalization below the stated ceiling, and positive net income. It treats positive MACD as a sign of an upward trend and the…
This research note studies whether the timing of stock trading value within the day contains information beyond conventional turnover factors. It examines minute-level turnover distributions, a turnover-share factor over 240 minutes, higher moments, and…
This screen targets Shenzhen main-board stocks with amplitude above one, an upward-moving average condition, and valuation limits: a price-to-earnings ratio from zero to 29.01 and a price-to-book ratio from zero to 3.11. The article explains the combination…
This note reviews two studies on cross-sectional stock returns. The first asks whether a stock’s sensitivity to economic forecast uncertainty helps explain its returns. It reports that stocks in the lowest uncertainty-beta decile outperformed those in the…
This note defines abnormal turnover as a comparison between a stock’s recent average turnover and its longer-term average, using a 20-day window against a roughly 250-day window. It reports factor-test statistics and discusses whether the signal may be more…
This stock screen combines a 14-period RSI threshold with fundamental and size conditions. It looks for A-share companies whose RSI is below 65, whose year-over-year parent-company net profit growth is above 20% and no greater than 100%, whose market…
This strategy selects China A-shares by circulating market capitalization, removes suspended and specially treated stocks, and holds the smallest-ranked names in equal weights. The described implementation targets 50 stocks and rebalances on the first…
The document describes a Chinese equity screen that combines three conditions: membership in the metaverse industry, a positive institutional-flow reading, and a circulating share count no greater than 5.5 billion. It presents the screen as a way to focus on…
This brief article proposes analyzing the relationship between ESG scores and conventional style-factor exposures to understand how ESG investment exposure may be obtained. Its stated analysis concerns US equities and fund data. The central idea is that if…
The document describes a framework for computing quantitative stock factors as recursive transformations of numerical indicators. It says factor logic can be defined with programming languages or XML: procedural languages suit more complex structures, while…
This article describes a way to assess whether a feature built from recent stock price and volume data helps predict returns over the next five minutes. Using minute data for the 50 constituents of the SSE 50, it aligns feature values with future-return…
This proposed A-share screen combines a price-amplitude condition, simultaneous crossings among three moving averages, and return on equity above 15% in each of five consecutive years. It presents the ROE filter as a way to favor companies with sustained…
This research summary considers adding investment themes to traditional multi-factor equity models. Themes are treated as possible sources of concentrated risk when they drive market moves, and as potential alpha sources when their returns carry information…
This report summary discusses how investment themes can be incorporated into equity multi-factor models as both risk exposures and potential sources of return. It recommends selecting themes whose constituents share fundamental drivers and show statistically…