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.
2,013 documents
The document explores how a fund of funds with many hedge funds might monitor risk more frequently than its managers’ monthly reporting allows. It compares portfolio-level monitoring with fund-by-fund analysis, which can better expose strategy-specific risks…
The discussion questions whether C is preferred over C++ for numerical optimization and offers several possible explanations. One answer argues that C is not generally favored for numerical optimization today, with continued use often reflecting legacy code…
The document poses a valuation question about floating-floating cross-currency basis swaps whose coupons reference overnight risk-free rates and whose discounting uses the same rate. It cites a par-value expression for a basis swap and notes that its…
The document considers how to estimate a portfolio’s quarter-end return when valuations for some illiquid private assets have not yet arrived. It frames the task as predicting missing asset values from the returns of assets already marked and the portfolio’s…
The document explains how obligor asset correlations in a Vasicek single-factor credit model can be assigned under the Basel II Internal Ratings-Based framework. It presents a correlation rule that varies with probability of default, along with an adjustment…
The document asks whether two assets with equal return volatility can be combined into a product with greater percentage-return volatility, without simply using cash leverage. It considers a long-only linear combination and derives its variance from the…
The discussion distinguishes terminology by context. In bond and swap trading, the terms notional and nominal may refer to the same reference amount used to calculate contractual cash flows. In macroeconomics, nominal commonly describes a rate or value…
This explanation distinguishes an ETF’s reporting or base currency from the currencies of the assets it holds. Using a Japan equity fund as an example, it says the fund owns Japanese yen-denominated stocks and converts their value into US dollars for daily…
The document asks how to build a USD multi-curve setup for trading Fed Funds and Eurodollar futures, with Fed Funds and three-month LIBOR forecast curves. It compares discounting from an OIS curve based on effective Fed Funds with using the Interest on…
The discussion distinguishes introductory portfolio theory from the more advanced subject of portfolio management. It recommends several books associated with portfolio management, while noting that these may be too advanced for a student whose course begins…
The document addresses why returns computed from MSCI World subindices may not match the published parent-index return when weights are based on each subindex’s index level. The answer states that MSCI indices are market-cap weighted, so a rough…
The document explains why a commonly quoted All Weather allocation may not show equal risk contributions when measured with portfolio software. According to the accepted answer, the weights came from an interview describing an unleveraged sample portfolio…
The document explains why a European option on an arithmetic basket of correlated stocks generally lacks a direct Black–Scholes formula under geometric Brownian motion: the basket is a sum of lognormally distributed prices, which is not itself lognormal. It…
The document examines why annualized volatility estimated from weekly or other lower-frequency returns can exceed an estimate from daily returns. The square-root-of-time scaling rule relies on returns being identically distributed and independent; serial…
The discussion recommends public research sources for readers seeking perspectives on global macro and finance. It lists research and market commentary from asset managers, hedge funds, and sell-side firms, while noting that much sell-side work is restricted…
The document considers why the same asset-allocation strategy can show different skewness and kurtosis when evaluated with weekly rather than monthly index returns. The responses say that the reported weekly values are plausible, since higher-frequency…
The document lays out a curve-construction problem: derive discount factors for Australian-dollar cashflows collateralised with US-dollar cash. It lists available Australian OIS, bank-bill swaps, basis swaps between bank-bill tenors and OIS, and…
The document asks how to tell whether an estimated correlation between two assets is stable over time, and whether the relationship is meaningfully linear. It describes a rolling correlation estimate and an ad hoc stability rule based on the largest recent…
The document asks how to build a worldwide dashboard of companies linked to lithium and other commodities, extending beyond an Australian-market listing to regions such as the Americas, Europe, and Asia. It considers whether major financial data services…
The document introduces resources for finding R packages used in quantitative finance, naming the CRAN Finance task view and packages such as FinancialInstrument, RTAQ, blotter, and quantstrat. It poses practical questions about package choice, alternatives,…
The document discusses ways to obtain a spreadsheet of large companies ranked by market capitalization, with company names, countries, and comparable market values or weights. The suggestions include using holdings from a global equity ETF to approximate a…
The document compares geometric Brownian motion (GBM) with the Ornstein–Uhlenbeck (OU) process and presents them as parts of a broader diffusion model. In that framework, setting the mean-reversion coefficient to zero gives a non-mean-reverting process,…
The document asks for methods to manage asset allocation across discrete transition states, with attention to liquidity, trading costs, and delayed cause-and-effect relationships. It contrasts moving from cash directly into an asset with transitions between…
The document investigates a mismatch between a computed Federal Reserve dollar index value and its published value. The index formula compounds each constituent exchange-rate ratio raised to that currency's weight, then multiplies the resulting product by…