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 discussion surveys possible ways to obtain a Russell 2000 constituent list. Suggestions include checking an ETF that physically tracks the index and downloading its holdings, using a financial data terminal, or estimating membership from market…
The document asks how to tell whether a proposed quantitative strategy adds independent exposure to a portfolio of existing strategies. It contrasts a basic comparison of long, neutral, and short position signs with a portfolio selection approach based on…
The document raises a question about a consumption-based asset-pricing model with power utility, estimated using generalized method of moments. In the described unconditional estimation, the base assets are used as moment conditions. The resulting J-test…
The document examines a parametric value-at-risk calculation when portfolio log returns are assumed normal, while percentage returns are not. It derives the portfolio return quantile by transforming the normal log-return quantile through the exponential…
The document investigates whether equities that are under-owned by institutions relative to their broad-index weights might have stronger future performance. The accepted answer identifies Active Share as a related concept: a measure of how much a fund’s…
The document examines the claim that market-value-weighted holdings must be the mean-variance tangency portfolio because market supply equals demand. One response invokes equilibrium: if investors prefer another efficient portfolio, their trades might move…
The document explains how Direct Alpha and excess IRR, also called IPP, measure private asset performance relative to a public market benchmark. It presents excess IRR as the rate added to benchmark returns that makes a public market equivalent equal to one.…
The document considers how behavioral finance might enter quantitative investing and risk models, with particular attention to portfolio optimization and option pricing. One practical portfolio approach is to constrain an optimized allocation so it does not…
The document asks how to read a portfolio-value equation written as the product of an allocation vector and an asset-price vector. In this notation, the prime mark on the allocation vector indicates its transpose, so the allocations are arranged as a row and…
The document asks why portfolio positions are conventionally written with positive quantities for assets held long and negative quantities for assets held short. It contrasts this with treating a short sale as positive cash proceeds and a purchase as…
The discussion examines why sizing each trade to a fixed fraction of account risk can produce stock positions that use far more cash than the portfolio can allocate. Its example calculates shares from the distance between an entry price and an ATR-based…
The document frames a portfolio choice problem for a risk-averse investor choosing how much initial wealth to place in one risky asset, with the remainder earning a risk-free return. It writes expected utility as a function of terminal wealth and gives the…
The discussion clarifies the relationship between exposure at default (EAD), risk weight (RW), and risk-weighted assets (RWA). In the described banking context, EAD and a customer-specific risk weight are inputs used to calculate RWA. Risk weights can…
The document asks how to adapt Expected Marginal Seat Revenue (EMSR), including its EMSRa and EMSRb variants, when fare classes consume different amounts of a shared resource. Standard EMSR is framed around fare classes that each use one unit of capacity,…
The document presents a long-only portfolio problem that minimizes Conditional Value-at-Risk (CVaR) over simulated return scenarios, without expected-return estimates or a return constraint. It asks how to interpret the optimization variables gamma and z,…
The document explains how corner portfolios arise when portfolio optimization includes inequality constraints, such as prohibiting short sales. As expected return changes along the efficient frontier, asset weights shift; when a weight reaches zero, the…
The document asks whether a portfolio’s duration can be estimated as the market-value-weighted average of the durations of its bond ETFs. It gives an example portfolio containing several funds with different stated durations and sketches the weighted-average…
Residual risk is the standard deviation of the part of portfolio returns left unexplained by a linear regression on benchmark returns. The document writes portfolio returns as an intercept, a benchmark exposure measured by beta, and a residual; it then…
The document explains how copulas can affect portfolio Value-at-Risk by modeling dependence among asset losses. Portfolio loss is the sum of individual losses, so a large total can arise from a severe loss in one position or from many positions suffering…
The document examines whether factors estimated by singular value decomposition remain stable when the asset-return matrix is re-estimated in overlapping rolling windows. It compares factor-return vectors over their shared dates using cosine distance. A…
The document considers the data needed to build a globally diversified equity portfolio: MSCI World constituents and weights, prices and historical records, corporate actions, and security identifiers and attributes. Its central practical point is that index…
The document discusses where utility functions appear in quantitative finance. One answer says utility may be implicit in portfolio optimization objectives, while no-arbitrage derivatives pricing can often proceed without specifying investors’ utility…
The document discusses how to compare a sample of multi-asset returns with a specified correlation or covariance matrix, and whether one sample can be ranked as a better match than another. It points to formal hypothesis tests for covariance matrices,…
The document describes a cross-sectional factor model in which a vector of security returns is explained by factor exposures multiplied by factor values, plus a Gaussian residual vector. It considers compressing the original factor set through a linear…