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 describes a US equity long-short momentum strategy that selects stocks appearing among recent winners or losers in two overlapping formation windows. It buys stocks ranked in the top decile in both windows and shorts those in the bottom decile,…
The accrual anomaly is the observed negative relationship between accounting accruals and subsequent stock returns. The proposed explanation is that investors focus on reported earnings and underweight the distinction between cash earnings and accruals. If…
The document explains the book-to-market factor, which ranks stocks by book value relative to market price. Its basic long-short construction buys stocks with high book-to-market ratios and sells those with low ratios; the described example uses NYSE, AMEX,…
The low-volatility effect is the reported tendency for lower-risk stocks to deliver stronger risk-adjusted returns than higher-risk stocks. A straightforward implementation ranks stocks by the volatility of their past weekly returns, forms decile portfolios,…
The strategy seeks to reduce conventional momentum’s changing exposure to broad equity factors. It estimates each stock’s monthly residual returns from a regression on the Fama–French three factors, then ranks stocks by standardized residual performance over…
The document describes a monthly long-short stock strategy that seeks momentum among large companies by focusing on stocks with high recent volatility. It filters for exchange-listed shares priced above $5, separates stocks by market capitalization, and uses…
The document describes a monthly long–short strategy that ranks six Russell equity style portfolios: small-, mid-, and large-cap value and growth. Each month, it measures their returns over the previous 12 months, buys the strongest style, and shorts the…
The document describes a country equity strategy based on the idea that investors with leverage or margin constraints may bid up high-beta assets. A practitioner can estimate each country ETF’s beta against the US equity index over a rolling one-year window,…
The strategy ranks no-load equity mutual funds by their returns over the prior six months, selects the top decile, weights those funds equally, and holds the portfolio for three months. The document also discusses two alternative signals: a fund’s proximity…
The document describes a monthly equity reversal strategy that conditions recent returns on a fundamental strength score, or FSCORE. The score adds up nine financial statement signals covering profitability, leverage, liquidity, and operating efficiency.…
The document describes the January effect: small-cap stocks have historically tended to earn especially strong returns in January. A simple strategy buys small-cap stocks at the start of January and holds large-cap stocks for the rest of the year. The…
The document describes a U.S. stock strategy that ranks non-financial NYSE, AMEX, and NASDAQ companies by the prior year’s change in total assets. At each June year-end, it forms ten equal groups, buys the lowest-growth group, and shorts the highest-growth…
The document describes an equity strategy that ranks NYSE, Nasdaq, and AMEX stocks by research and development spending relative to market capitalization. At the end of April, it sums each company’s R&D expenditure over the prior five years, scales that…
The investment factor, commonly called CMA, compares returns from diversified portfolios of firms with low and high asset growth. The described interpretation is that conservative firms, which invest less, have tended to outperform aggressive firms, which…
The document describes a monthly long-short strategy that ranks commodity futures by their past 12-month performance, buys the strongest quintile, and sells the weakest. The cited research finds profitable continuation strategies and reports an average…
The document describes a cross-sectional momentum strategy for U.S. real estate investment trusts. Each month, it ranks listed REITs by their returns over the prior 11 months, leaving out the most recent month, and divides them into equal-weighted groups.…
This document describes a monthly sector rotation rule using ten sector ETFs. Each month, rank the funds by their prior 12-month returns, invest equally in the three strongest, hold for one month, and then rebalance. The stated aim is to outperform a broad…
This document describes a monthly, long-only strategy that combines stock momentum with environmental, social, and governance scores. It frames portfolio selection as a knapsack problem: one characteristic acts as the portfolio constraint and the other as…
The strategy ranks North American stocks by environmental, social, and governance scores, then buys the highest-scoring fifth and shorts the lowest-scoring fifth for each dimension. The stock universe covers Canada and the United States, excludes shares…
The document describes a stock-selection strategy using language measures calculated from companies’ 10-K and 10-Q filings. Lexical richness reflects vocabulary variety, lexical density measures the share of information-carrying language, and specific…
This document explains a cross-sectional commodity carry strategy that ranks futures by roll returns, buys the strongest contracts, and shorts the weakest. Its simple monthly example equally weights the top and bottom quintiles and holds the positions for…
This strategy uses SEC 13F holdings disclosures to identify stocks that active mutual fund managers appear to favor most strongly. It proposes defining a universe of active managers, selecting each manager’s most concentrated or highest-conviction positions,…
The document explains the betting-against-beta (BAB) factor and its proposed cause: investors with leverage or margin limits may bid up high-beta stocks to pursue higher returns, depressing their future risk-adjusted performance. Investors able to use…
The document explains why dividend yield alone may miss how companies return cash to shareholders. It defines net payout yield using dividends, share repurchases, and common share issuance, divided by market capitalization. The rationale is that buybacks can…