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
The document asks how to incorporate cross-sectional scores, such as recent momentum or price-to-book ratios, into a minimum-variance portfolio. The proposed idea is to balance portfolio variance against a reward for holding assets with stronger scores. It…
The discussion surveys approaches to investment analysis and portfolio construction rather than identifying a single accepted industry standard. It covers fundamental value analysis, mean-variance and factor models, risk measures such as value at risk,…
The document asks how to assign market risk premium, RMW, CMA, and momentum exposures to an individual stock, given that the author already computes firm size from equity market value. The included answer redirects the reader to established factor data and…
The document asks how to estimate factor risk premia with the Fama–MacBeth procedure when liquidity is among the factors. It outlines the general setup of assets, factors, and time periods, then describes averaging the period-by-period factor price estimates…
This question considers whether a long-only portfolio can be explained or replicated using a linear combination of long-short factor returns, such as Fama–French factors or Betting Against Beta. The proposed analysis is a return regression: factor…
The document clarifies how beta relates the returns of two instruments in a simple linear model. If the goal is to estimate the return of asset Y from the observed return of asset X, beta is the covariance of X and Y returns divided by the variance of X…
The document compares portfolio optimization using a full asset return covariance matrix with a factor model. In the factor formulation, each asset’s return is represented by exposures to a smaller set of factors plus an idiosyncratic component. The…
The document describes building monthly seasonal and seasonal reversal signals from up to twenty years of historical returns. For each date and asset, the seasonal measure averages observations from the same calendar month at annual lags, while the reversal…
This short note identifies income statement fields that may be useful in quantitative analysis of a company’s quarterly filing. Its suggested selection includes sales, cost of sales, gross margin, operating income, other income or expense, pretax income,…
The document asks how to constrain a tangency portfolio so its weighted average ESG score exceeds a chosen threshold. It presents Python calculations for the unconstrained efficient frontier, global minimum-variance portfolio, and tangency portfolio from a…
The document compares suggested sources for historical US company financial statements, focusing on income statements and balance sheets and concerns about restatements or revisions. One response points to SEC filings as the source to consult when accuracy…
The document explains the distinction between factors that describe returns and factors that predict them. A regression of an asset’s return on a contemporaneous market factor can explain past variation, but it does not provide a forecast unless the…
The document addresses how to represent sustainability in a return comparison using the Fama–French three-factor model. It considers two related but distinct questions: estimating the return difference between a portfolio of high-scoring ESG firms and a peer…
This exchange explains how a set of 25 portfolios is formed by independently sorting stocks into five market-cap groups and five lagged-momentum groups, then taking the intersections. Size groups use regional capitalization breakpoints; momentum groups use…
The document distinguishes the CAPM theory from a time series regression of an asset’s excess returns on market excess returns. In the regression, the intercept is alpha, the slope is beta, and the residual captures variation not explained by the market…
This exchange describes cross-sectional regression as a way to relate securities’ returns in a given period to attributes thought to be priced, such as book-to-market ratios or market capitalization. The resulting coefficients can be interpreted as returns…
The document considers whether API services can screen equities in real time using conditions such as proximity to a 52-week low, valuation ratios, and earnings growth. The replies explain that an API is a way to access data or brokerage services; the…
The note explains the intuition behind the betting-against-beta strategy and its connection to the Capital Asset Pricing Model (CAPM). CAPM implies that higher-beta stocks should offer higher expected returns to compensate for their greater market risk,…
The document examines how to choose standard errors for asset-pricing panel regressions, such as CAPM or multifactor models estimated with monthly data. It frames time-clustered errors as a way to account for cross-sectional dependence and asks how they…
The document discusses why exact future stock or bond price levels are difficult to predict while noting that some narrower patterns and investment decisions may still be useful. The answers distinguish price forecasting from portfolio management,…
The document poses questions about asset pricing in a consumption CAPM setting with quadratic utility and consumption growth whose mean and volatility vary with the business cycle. It asks how securities tied positively to consumption should be priced, how a…
The document explains the weighting structure of the market, SMB, HML, and momentum factors commonly used in Fama–French and Carhart regressions. The market factor is described as a value-weighted return across eligible US firms. For SMB, HML, and momentum,…
The document suggests finance applications for natural language processing projects, emphasizing tasks beyond generic news or social-media sentiment analysis. Proposed research directions include extracting risk-factor exposures from company reports,…
The document presents a proposed equity alpha expression built from estimated earnings per share, cash flow per share, estimated sales per share, and estimated dividend per share. It reports using a United States top-stock universe with a one-period delay, a…