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 study tests whether hedge funds can time returns in particular industries and whether that ability predicts later performance. It estimates industry timing using rolling regressions on market-adjusted industry returns, then evaluates the resulting…
This A-share selection rule looks within the metaverse-related industry for stocks appearing on the prior day's exchange trading list, then keeps those with a positive price-to-earnings ratio. The proposed rationale combines an industry theme and recent…
The article explains the price-to-earnings ratio as a way to relate a stock’s price to its earnings per share. It illustrates that two shares with the same price can have very different P/E ratios when their earnings differ, and describes the ratio…
The document summarizes research on long-horizon rotation between large-cap, high-ROE sectors and smaller-cap sectors. It argues that their relative performance can shift over periods of years, and that size-based and ROE-based rotations may move together.…
This article outlines a method for anticipating business conditions in three Chinese consumer sectors: food and beverages, textiles and apparel, and retail. It treats financial measures such as revenue, net income, returns, margins, and operating efficiency…
This report surveys U.S.-listed growth-factor ETFs, describing their number, assets, growth over time, and return characteristics. It groups the funds by market-cap segment and notes that the strongest recent absolute performers were mostly large-cap…
This article proposes screening Chinese A-share companies associated with beverage or alcohol activity. The stated filters include a turnover range, a market-cap ceiling, positive earnings over recent periods, and a business connection to beverage or alcohol…
The document answers a question about retrieving one company metric, such as management expenses, for multiple stocks. It points readers to a platform template for choosing the metric and explains that a code-list module can be used to enter the stock codes…
This Chinese-language post describes an equity screen for companies associated with the metaverse concept. It requires the 30-day moving average to be rising and return on equity to exceed 15% for five consecutive years. The accompanying discussion frames…
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…
The research note introduces APB, a stock factor intended to estimate buying and selling pressure from the relationship between price and volume. It defines the measure as the logarithm of the ratio between an equally weighted average price and a…
The document summarizes research on stock resiliency, labeled RES, as an expanded measure of liquidity. The cited study examines whether stocks with greater illiquidity earn a return premium, using resiliency as an additional measure alongside conventional…
This stock screen selects Chinese A-share companies associated with the metaverse theme, with a stated tradable share threshold and a nonempty convertible-bond name tied to outstanding bonds. The accompanying Python example draws on market listings and…
The document proposes screening Chinese A-shares for a turnover rate between 3% and 12%, market capitalization below 10 billion yuan, positive net income, and exclusion of Beijing-listed shares. It includes references to a stock selection formula and a…
This empirical study adapts the Fama–French five-factor framework to China’s A-share equities. It constructs market, size, book-to-market, profitability, and investment factors from monthly stock data, then forms size-sorted portfolios crossed with…
This note presents a stock-selection rule combining a turnover range of 3% to 12%, year-over-year growth in net profit attributable to the parent company above 20% and no more than 100%, and a close above the previous day’s low. It describes the approach as…
The document proposes a simple equity screen combining daily price movement with historical dividend yield and valuation. It selects stocks whose high-to-low range is more than one percent of the opening price, whose stated 2019 dividend yield exceeds 25%,…
This strategy combines institutional ownership with earnings forecasts to select equities. At each quarterly screening date, it ranks the market by institutional ownership and forms a pool from the 200 most institutionally held stocks. It then selects names…
This research summary examines the accrual anomaly in A-shares: accounting earnings attributable to accruals appear less persistent than earnings supported by cash flow, while market prices do not fully reflect that difference. Its regression analysis finds…
This research summary adapts Joel Greenblatt’s value-and-quality stock-ranking idea to China’s A-share market. It uses EV/EBITDA as a valuation measure and ROIC as a business-quality measure in place of the original formula’s measures. The described screen…
This short investor overview links semiconductor demand to continued investment in artificial intelligence infrastructure, data centers, and edge computing. It also notes the sector's role in cloud computing, electric vehicles, and industrial automation.…
This report outlines a framework for studying rotation among five Chinese equity style pairs: large and small cap, value and growth, consumption and cyclical, financial and nonfinancial, and technology and traditional industries. It describes building…
This report summary describes three methods for rotating among equity industries using macroeconomic information. The first models industry excess returns from cyclical components of leading indicators spanning growth, inflation, trade, and liquidity. The…
This stock-screening idea combines price range, profitability, and trend conditions. It looks for shares with an intraday high-low range greater than the 14-period average true range, return on equity above 15% in each of the prior five years, and a bullish…