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 guide explains how to operate several automated trading strategies or crypto baskets at once through OctoBot Cloud. It presents diversification across strategy types, asset baskets, and exchanges as a way to spread exposure and reduce dependence on one…
The document proposes separating sector allocation from industry selection because broad sector shifts are linked more closely to economic conditions, while industry performance depends on factors such as earnings, valuation, and capital flows. It argues…
The document summarizes research using public Northbound investor holdings and trading-flow data to build 12 factors for Chinese equities. It reports testing those factors from December 2016 through December 2019 across Northbound-held stocks, the CSI 800,…
This research summary argues that bond fund rankings based on a single historical performance measure can be distorted by differences in market style, objectives, holdings, manager skill, fund size, and risk controls. Its proposed approach narrows the…
The report explains the Black-Litterman model as a portfolio construction approach that starts from market-equilibrium expected returns and blends them with an investor’s views. It describes the prior return estimates as grounded in CAPM and mean-variance…
This study examines whether U.S. equity mutual fund managers adjust market exposure when broad stock mispricing changes. It builds a market mispricing measure from a financing-based long-short factor, then orthogonalizes it against macroeconomic variables. A…
This brief post introduces a Python implementation of Markowitz portfolio theory, a framework for constructing portfolios by balancing expected return against risk. It says the article works through the theory and implementation, but the supplied document…
This brief Chinese-language post describes a stock-selection submission that adds price-to-sales and dividend-yield filters, then increases the weight assigned to dividend yield. The author says the results improved, but provides no performance figures, test…
The document outlines a China equity industry-rotation strategy using the Shenwan Level 1 industry classification. It ranks industries with a composite momentum measure formed from recent 5-day, 20-day, and 60-day returns, weighted 0.4, 0.3, and 0.3. Each…
This research report explains how equity risk factors and factor models can help identify portfolio risks, estimate return covariances, and analyze portfolio performance. It distinguishes risk factors from alpha factors and discusses factor returns,…
The document summarizes U.S. retirement accounts, especially 401(k) plans and IRAs, as flexible account structures that offer a broad range of investments. It reports that mutual funds represent about half of assets and describes equity funds as the largest…
This strategy ranks constituents of the CSI Dividend Index using a combined score based on dividend yield and return on equity (ROE). Dividend yield represents distributions relative to share price, while ROE is used as a measure of how effectively a company…
This report studies whether rotating among industry and thematic exchange-traded funds can support an absolute-return portfolio. It selects 14 industries with matching funds from a broader set of Chinese industry groups, then compares a rotation portfolio…
The document describes a weekly rotation strategy based on relative performance in two Chinese equity indexes: the CSI 300 and the CSI 500. It calculates each index’s return over a 20-trading-day lookback and compares the two signals. The strategy invests…
This report outlines the first step in a multi-factor model research process: selecting which factors to combine. It proposes using a hedging perspective and benchmark factor exposures as part of the screening criteria, with the stated aim of reducing the…
This code outlines a daily trading workflow in which separate AI agents research a universe of leveraged exchange-traded funds, argue bullish and bearish cases, and pass their summaries to a trading judge. The universe includes leveraged long and inverse…
The document explains the traditional 60/40 allocation: 60% in equities and 40% in bonds, periodically rebalanced to restore those weights. It presents the portfolio as a simple, low-cost benchmark that can use domestic or global assets. Its rationale is…
This report summary presents an investment case for Chinese technology equities and the China Securities Technology 50 Strategy Index. It argues that sharp market declines may offer opportunities to add exposure, based on a claimed review of 13 major…
This study examines whether active U.S. equity mutual funds that increase portfolio concentration subsequently achieve better risk-adjusted performance. Its rationale is a tradeoff: concentrating holdings can give greater weight to the manager’s strongest…
This article offers a discretionary framework for narrowing a watchlist around active Chinese market themes. It distinguishes an initiating leader, a later catch-up leader, a larger-cap trend anchor, and passive follower stocks. The suggested cues include…
This BigQuant forum post asks why account positions do not appear to update immediately after orders in a daily backtest, and how to schedule trades at specific intraday times. The example strategy selects up to ten Chinese stocks using listing age,…
Buy and hold is a passive investment approach in which an investor selects securities and keeps them through short-term market fluctuations. The document explains that owning common stock can provide voting rights and participation in company profits, while…
This report evaluates an industry-allocation approach that favors high return on equity and low price-to-book ratios. It reports weak and unstable long-run results from tests using available ROE data, and says even an optimistic assumption about knowing the…
This document describes a portfolio allocation overlay that uses rolling economic drawdown as a control target. It adjusts allocation weights using drawdown measured over a moving window while accounting for the time value of money, aiming to reflect…