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.
5,701 documents
This report reviews the issuance and performance of Chinese private CTA products in the first quarter of 2018, then discusses equity index futures, government bond futures, and commodity markets. It links strategy ideas to changes in volatility, trading…
The document reviews three quantitative allocation approaches: rotating between equities and bonds, flexible multi-asset allocation, and multi-asset trend following. Each approach is offered at conservative, moderate, and aggressive risk levels, allowing…
This research note outlines a framework for evaluating funds and constructing allocations across active equity funds, enhanced index funds, and active bond funds. For equity funds, it discusses classification and performance attribution using both holdings…
The study summary describes estimating bond fund asset exposures from externally available data when reported holdings are delayed, infrequent, and incomplete. Its central method is regression: fund returns are related to price-weighted asset returns, using…
This research digest reviews two portfolio topics. The first concerns Shiller’s cyclically adjusted price-to-earnings ratio (CAPE): it can help forecast long-run equity returns as valuations tend to mean-revert, but its short-term signal is unreliable when…
This podcast summary introduces Superstate's approach to representing traditional financial assets on a blockchain. Its featured product, USTB, is described as a tokenized short-term US government bond product. The discussion centers on using blockchain to…
This overview classifies quantitative funds by strategy, market, instrument, and time horizon. It describes trend following, which seeks sustained price moves and can have a low win rate while relying on occasional large trends, and countertrend trading,…
This report reviews Chinese market and exchange-traded product developments for the week of March 30 to April 3, 2020. It summarizes moves in domestic equity indexes, bond yields, precious metals, currencies, and traded ETP categories. Equity and…
The study outlines China’s convertible bond market and develops a screening factor intended to identify bonds with relatively low embedded-option valuations. It decomposes convertible bond value into a discounted bond component and an option component. Under…
This account describes applying the Campisi model to attribute pure bond fund returns using portfolio holdings and a benchmark. It separates total and excess returns into four effects: coupon income, government-bond yield changes, credit-spread changes, and…
The document introduces over-the-counter options as privately negotiated, nonstandard contracts and focuses on binary, or digital, options. Unlike ordinary options with payoffs that vary continuously with the underlying price, a binary option pays a fixed…
This research note presents a framework for explaining bond fund returns and identifying portfolio style. It decomposes returns into income, government yield-curve movements, credit spread effects, convexity, and bond roll-down. Income is further divided…
This weekly report reviews Chinese market conditions and fund activity, with particular attention to plans to include exchange-traded funds in the Stock Connect program and the approaching release of restrictions on shares in the first public REITs. It also…
This report outlines a method for analyzing open-ended bond fund returns and deriving a residual alpha measure for fund screening. It groups risk exposures into eight factors spanning interest-rate curve movements, credit risk, equity markets, and money…
This market outlook examines whether a narrowing or inverted spread between long and short US Treasury yields reliably signals an approaching recession. It argues that historical examples of a true ten-year versus one-year inversion are limited, and that…
The document explains two Hyperliquid aligned quote asset specifications. AQAv1 links a stablecoin’s onchain supply to protocol revenue sharing and offers trading incentives when the asset is used for eligible spot pairs or HIP-3 perpetual markets. Its…
This research summary outlines a strategic allocation model that maps Chinese equities and bonds to underlying macroeconomic risks. It uses principal component analysis to define five factors: economic growth, interest rates, credit, term spread, and…
The article adapts an efficiency ratio to a trend strategy for Chinese government bond futures. The ratio compares the absolute net price change over a lookback window with the sum of absolute price changes in that window. Values nearer one indicate a more…
This research applies macroeconomic momentum signals to active bond trading, aiming to forecast government bond yield direction as well as changes in term and credit spreads. It contrasts active strategies focused on capital gains with passive approaches…
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 article links Japan’s bear-steepening yield curve and weakening yen to a possible reduction in global credit supply. It argues that Japan’s debt burden may constrain short-term rate increases, while Japanese holdings of foreign debt make the country an…
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 forum exchange concerns tick-level backtesting of a spread between a cash bond instrument and a futures contract. The questioner has externally downloaded tick data in CSV form because the data source lacks cash-bond ticks, and asks how to import and…
This report develops indicators from the gap between actual Chinese economic releases and market forecasts. It groups indicators into growth, liquidity, and inflation categories, assigns expected effects on domestic equities, bonds, and commodities, and…