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 Expert Advisor demonstrates how to move positions from an expiring futures contract to its successor. It manages three instruments specified through input parameters. For each instrument, the configured volume determines both the position size and…
This article presents a supervised learning-to-rank approach to stock selection. It defines a universe using the constituents of the SSE 50, labels stocks by discretizing their subsequent five-day returns into 20 ordered classes, and trains on data from 2011…
The article examines how global equities, bonds, commodities, and diversified long-short style premia behave across economic growth, inflation, real-rate, volatility, and liquidity regimes. It constructs standardized macro indicators from U.S. economic and…
The document describes a partial-replication method that selects a small set of stocks to track an index by capturing the systematic factors driving its returns. It estimates the number of factors, uses principal components to estimate factor loadings, then…
This study asks whether cash flow measures predict stock returns better than conventional profitability ratios. It constructs a direct cash flow template that groups operating receipts and payments and separates them from financing, taxes, investment, and…
This overview describes alpha as a return opportunity identified by studying historical data and relationships among market, company, macroeconomic, and text information. It outlines a research cycle: develop an economic rationale and measurable signal,…
This research summary proposes a framework for classifying and selecting bond funds according to investment objective, portfolio holdings, historical performance, and manager record. It emphasizes medium- and long-term pure bond funds, assessing their…
This configuration describes a Qlib workflow for training a TCTS model on the CSI 300 universe using Alpha360 features. The data span 2008 to 2020, with training through 2014, validation over 2015–2016, and testing from 2017 to mid-2020. Feature processing…
This research note reviews the CSI Dividend Index and the Bosera CSI Dividend ETF, which tracks it. The index draws 100 Shanghai and Shenzhen A-shares from stocks with high average after-tax cash dividend yields over the prior two years, then weights them by…
This analysis describes the CSI Dividend Index and the Bosera CSI Dividend ETF that tracks it. The index selects 100 Shanghai and Shenzhen A-shares with high average after-tax cash dividend yields over the previous two years, then weights constituents by…
This report describes a Chinese equity strategy that predicts the future effectiveness of seven style factors and adjusts their portfolio weights over time. It uses historical information coefficients, macroeconomic data, and market variables as model…
This report summary examines Chinese public mutual funds around the second quarter of 2018, focusing on actively managed equity funds. It describes falling scale and share counts for active equity products, differences in reported returns across fund types,…
This report summary examines Chinese public mutual funds around the second quarter of 2018, focusing on actively managed equity funds. It describes falling scale and share counts for active equity products, differences in reported returns across fund types,…
The document groups common Chinese A-share factors into style, technical, and fundamental categories. Style factors include market, size, and value; technical factors include reversal, low turnover, and low volatility; fundamental factors cover profitability…
The document explains a Brinson-style framework for decomposing portfolio returns into a benchmark baseline, the combined effects of active asset allocation and the benchmark, the combined effects of security selection and the benchmark, and the actual…
This example shows how to run a historical backtest of a cryptocurrency portfolio using a drift rebalancer and Alpaca’s backtesting data source. The described method compares holdings with target weights and trades assets that have drifted from those…
This research summary explains a method for testing whether U.S. equity mutual fund managers adjust market exposure when broad stock misvaluation changes. It constructs a misvaluation measure from a long portfolio of repurchasing firms and a short portfolio…
This research summary describes a multi-factor investment workflow that combines alpha forecasts, a risk model, transaction-cost estimates, portfolio optimization, and performance attribution. It argues that simple score-based selection or sector and…
The document describes an automated U.S. equities strategy that reconstructs a member of Congress’s reported stock portfolio from annual disclosures and subsequent transaction filings. A research agent combines the year-end holdings with later reported…
This research summary forecasts constituent changes for China’s CSI 300 and CSI 500 indices ahead of their scheduled December 2018 reviews. It explains that the indices are reviewed in June and December, and that changes can create trading opportunities when…
The report describes a multifactor stock-selection process that first evaluates and selects robust factors, then combines them into a composite score. It builds separate models for six stock universes and compares direct selection with portfolios that select…
The document explains how portfolio attribution compares a portfolio with its benchmark and decomposes excess return into drivers. It distinguishes return-based approaches, including Treynor-Mazuy, Henriksson-Merton, and related factor extensions, from…
This historical overview traces the independent development of the Capital Asset Pricing Model by Jack Treynor, William Sharpe, John Lintner, and Jan Mossin. It connects their different starting points to portfolio selection and corporate finance, and…
This brief strategy outline proposes a weekly rotation among three of the smallest stocks that meet fundamental quality and growth screens. The listed criteria include sustained net-profit growth over three consecutive years and gross margins above 20%; it…