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
The report examines how fundamental factors predict stock returns differently across groups defined by market capitalization, profitability, and volatility. It argues that factor weights should vary by group rather than applying one set of weights across the…
The article explains a method for separating a mutual fund’s total alpha into selection alpha and weighting alpha. Selection alpha is estimated by replacing reported portfolio weights with market-cap weights, isolating the contribution of choosing stocks;…
This guide explains how to launch an OctoBot Cloud strategy or crypto basket with real exchange funds. The user selects a strategy, chooses live trading, links an exchange API key, and starts the bot. OctoBot checks that the account has enough funds before…
This article explains beta as an asset or portfolio’s sensitivity to a market benchmark, estimated through linear regression. It situates beta within a factor-model view, where returns are described as a combination of exposures to other assets or factors…
The document introduces the correlation coefficient as a measure of the direction and strength of a linear relationship between two variables. It defines the coefficient using covariance and the variables’ standard deviations, and explains that its values…
This account describes applying the Campisi model to attribute pure bond fund returns using portfolio holdings and a benchmark. It separates total and excess returns into four effects: coupon income, government-bond yield changes, credit-spread changes, and…
This report outlines ways to classify equities by market capitalization, growth, and value. It uses the median market capitalization to separate large and small companies, and describes three approaches to growth and value classification: composite ranking,…
The document explains an approach to mutual-fund evaluation that adds an active peer benchmark (APB) to standard asset-pricing models. The APB is formed from the average returns of funds in a comparable style group, providing a proxy for shared strategies…
The document summarizes a macro-factor framework for strategic asset allocation, illustrated with portfolios for endowments, life insurers, and public pension plans. It lays out four stages: derive macro factors from principal components of monthly returns…
This article compares monthly portfolios formed from the highest- and lowest-volatility stocks in the CSI 300. Each portfolio holds 20 stocks, rebalanced on the first trading day of each month, and the author says the strategies were backtested over…
This paper summary challenges common ways of measuring whether assets diversify one another during poor market conditions. It argues that estimating downside correlation only on observations when both assets perform poorly omits cases where one asset gains…
This article explains time inconsistency in investment decisions: a plan that appears optimal today may no longer suit the investor later as circumstances or preferences change. It contrasts rigid pre-commitment with a dynamic equilibrium strategy designed…
The report outlines a holdings-based framework for classifying actively managed Chinese equity funds by market capitalization, growth, and value characteristics. It uses semiannual or annual full-portfolio holdings, standardizes style measures, and combines…
This document presents a framework for testing trading decisions made at multiple time scales together. It argues that portfolio selection and intraday order execution should interact within one backtest because execution quality can change which…
DFQ-2020 is a risk model for mainland Chinese equities that combines style factors, industry factors, and a market factor. It retains 40 factors and revises the construction of the Trend, Growth, and state-owned-enterprise factors relative to its…
This research note outlines a cross-sectional regression framework for studying historical returns of technical, expectation, and financial factors. It uses sequential single-factor regressions: each stage models the preceding stage’s residual, so later…
This configuration specifies a Qlib workflow for a TabNet model using the Alpha360 feature handler and CSI 300 instruments, with the index as benchmark. It sets a two-day-ahead close-price return label, applies robust normalization and missing-value filling…
This research digest covers two portfolio topics. The first examines how the timing of book-to-price data affects the Fama–French HML value factor. It says more timely book-to-price measures can improve the use of value and momentum in risk adjustment and…
This overview surveys risks that can cause portfolio outcomes to diverge from expectations. It covers market exposures such as equity prices, interest rates, currencies, and commodities; credit and liquidity risks; concentration and operational risks;…
The document argues that combining blockchain activity data with options and volatility data may help traders identify crypto opportunities and build hedges. It describes comparing on-chain transaction flows with realized volatility, as well as examining…
The research summary defines a trend turning point as a period when short-window and long-window time-series momentum signals point in opposite directions. It reports that more frequent turning points are associated with weaker risk-adjusted returns for…
The document outlines a forecast of constituent changes for four major mainland Chinese equity indices: the CSI 300, CSI 100, SSE 180, and SSE 50. Its central idea is that periodic index reconstitutions create potential trading opportunities because…
This research note presents a framework for explaining bond fund returns and identifying portfolio style. It decomposes returns into income, government yield-curve movements, credit spread effects, convexity, and bond roll-down. Income is further divided…
This discussion asks whether a financial-report event strategy can exceed its intended exposure when positions have different exit dates. The example closes existing holdings only after each reaches a specified holding period, then sets target weights for…