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 document turns a past trading approach into a simple stock selection and exit rule. It selects the ten stocks with the highest dividend yields over the previous three years, buys them immediately, and sells one month after a dividend payment if the yield…
The post raises an architectural question about combining multiple CTA strategies in a live portfolio. The author has Bollinger-channel and DKX strategies that calculate indicators and position changes, but finds their individual money management conflicts…
This algorithmic strategy combines a nine-signal Piotroski-style fundamental score with short-term return reversal. It ranks stocks using the most recently available quarterly statements, classifies firms as strong, middle, or weak on fundamentals, and pairs…
The report reviews two major historical gold rallies and argues that the drivers of gold prices vary over time. It examines two short-term and four long-term factors, using rolling correlations to show that relationships between these factors and gold are…
This strategy searches China A-shares for an established uptrend, then enters on a modest pullback. It defines the trend with five moving averages, spanning short to longer periods, arranged from highest to lowest. A pullback signal occurs when a candle…
This essay contrasts two views of investment risk. Modern portfolio theory uses volatility, standard deviation, and beta as measurable proxies, treating diversifiable company-specific risk separately from market-wide risk. The value investing perspective…
This research summary discusses high-frequency equity factors built from combinations of price and volume data to capture trading behavior. It describes two examples: an illiquidity factor adjusted for price-path changes and a factor based on aggressive buy…
The article explains constant proportion portfolio insurance (CPPI) by building it up through five related allocation strategies. It starts with investing only interest income in stocks, then considers the present value of future interest, reserving enough…
The article presents parameter-plane analysis as a way to visualize how combinations of strategy settings affect backtest results. Its example is a Chinese equities strategy combining valuation and float market capitalization ranks. It varies the number of…
This short submission translates an investor’s dividend approach into a broad selection and portfolio process. It favors established companies with relatively high dividend yields and stable performance, holds them over a longer horizon, and refreshes the…
This document compares long-only index funds, index-enhanced funds, and quantitative funds in the Chinese public fund market. It notes differences in fees and subscription or redemption efficiency, and frames market, sector, size, and other style exposures…
This report summary evaluates historical fundamentals and price information as inputs to industry allocation in China. It highlights trailing-twelve-month ROE, single-quarter ROE, and ROE growth as useful historical factors, while finding industry-level…
This overview surveys a broad range of investment approaches and the decisions they emphasize. It covers value and growth selection, quantitative modeling, momentum, income generation, index investing, and diversification across asset classes. It also…
This report summary examines whether Chinese public mutual funds’ past risk-adjusted performance predicts future performance, with fund selection and fund-of-funds investing as the motivation. It evaluates managers using alpha from several asset-pricing…
This industry-rotation approach identifies turning points in broad or sector indexes to classify market conditions as rising or falling. It then ranks industries by their performance rankings over the prior year within those market states, on the premise…
This review describes a framework for separating portfolio returns into fundamental growth and changes in valuation. It applies the decomposition to value, momentum, quality, and a combined value-quality factor, using long-short portfolios formed from U.S.…
This review describes a framework for separating portfolio returns into fundamental growth and changes in valuation. It applies the decomposition to value, momentum, quality, and a combined value-quality factor, using long-short portfolios formed from U.S.…
This document summarizes three research topics. The first compares earnings announcement returns (EAR) with standardized unexpected earnings (SUE), describing EAR as a measure of the market response to unexpected information in earnings announcements. It…
This strategy takes monthly long or short positions across a diversified set of commodity, currency, equity-index, and government-bond futures. For each contract, it compares its excess return over the previous 12 months with zero, going long after a…
This Chinese market report examines sector allocation using fund quarterly holdings, institutional ownership, and company earnings expectations. It describes which sectors funds increased or reduced during the first half, compares public fund and northbound…
This tutorial illustrates how combining assets or strategies can smooth portfolio returns and raise the portfolio Sharpe ratio, even when individual components have weak risk-adjusted performance. It generates synthetic return series, builds equal-weight…
This June 2022 market-timing note characterizes the broad Chinese equity market as ranging near a lower zone, with moderate-to-low valuations and limited scope for improved risk appetite. It recommends keeping exposure measured and using the 10-day moving…
This short assignment defines quantitative investing as using data-based portfolio strategies to seek steady investment growth. It presents automation and reduced emotional influence as advantages, while identifying a steep learning curve and substantial…
The strategy ranks stocks each month using five inputs: trailing-twelve-month price-to-earnings and price-to-sales ratios, price-to-book value, one-month price momentum, and one-month trading value. The author reports that trailing-twelve-month PE and PS…