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 considers how to estimate daily risk-free rates when Treasury bill yields are available only monthly or weekly, a data limitation the author says can arise in developing economies. The proposed method converts a period yield into an equivalent…
The discussion addresses how to obtain historical Eurozone fixed-income index data for a multi-factor study of European bond funds when Bloomberg is unavailable and replacement ETFs lack sufficiently long histories. The response names Yieldbook index…
The document discusses choosing a real-world stochastic model for property price index risk in Monte Carlo analysis. It recommends considering a factor model that links local and national property indexes with economic predictors such as GDP, while noting…
The document sketches a multifactor geometric Brownian motion framework for pricing options whose payoffs depend on multiple assets. Each asset has its own volatility, while shared Brownian factors create dependence; factor loadings determine the modeled…
The document explains why rows generated from a Sobol sequence repeat when the generator is reinitialized inside each asset loop. The generator should persist across draws, and its dimension should match the number of random coordinates needed for one…
The document asks whether indexes exist for hedge funds, private equity, and venture capital. The answer identifies HFR as a provider of hedge fund indexes, including an investable index, but says the respondent is not familiar with comparable private equity…
The document addresses a data problem for researchers working with hedge fund performance: broker-provided daily index histories may begin later than the period they need. The question asks for free daily levels of HFRX or a comparable index with history…
The document clarifies the distinction between Bloomberg’s open source data distribution technology and access to Bloomberg’s data. The API and its documentation are publicly available, but connecting to Bloomberg’s database and downloading its data requires…
The document compares ways to obtain historical company fundamentals for multiple stocks in machine-readable formats. The original request prioritizes several years of data, broad international coverage, index-level or identifier-based retrieval, and sample…
The note describes several ways a central bank can acquire foreign currency and how reserve holdings can be used. In a market-based system, the bank may sell domestic currency to buy dollars or other reserve assets when demand for the local currency is…
The document surveys alternatives to the sample covariance matrix used in Markowitz mean-variance portfolio construction. It names RiskMetrics exponentially weighted moving average estimators from 1996 and 2006, multivariate DCC-GARCH, and Ledoit-Wolf…
The document explains that beta’s sign is determined by covariance, or equivalently correlation, with the chosen reference market. The market portfolio in the CAPM is an idealized aggregate; empirical analysis usually uses a narrower index, such as a stock…
The note asks how to measure the relationship between a portfolio of assets and an external series, such as housing prices. Averaging each asset’s correlation with the external metric, weighted by portfolio holdings, may seem appropriate, but the response…
The document asks whether Bloomberg Terminal can identify securities using CRSP permanent security numbers or Compustat company keys, and how its coverage compares with familiar identifiers. The response reports seeing support for several international and…
The document proposes studying a quantity formed by multiplying the difference in expected returns of two return series by the square root of the variance of their return difference. This reverses the variance term’s placement in the conventional information…
The document asks how to extract principal components and correlations from multiple data sets organized at different weekly or monthly periods, with observations taken on several days around an event. The response reframes the main challenge as estimating…
The document asks whether Federal Reserve quantitative easing should increase U.S. home sales and prices, noting an apparent decline in housing prices after 2009. Its answer first corrects a key distinction: encouraging home purchases means more demand,…
The document presents a question about translating a multi-period asset allocation problem into a dynamic programming formulation. Wealth evolves through investment returns applied to current wealth plus income, while the investor chooses portfolio fractions…
The document explores how to size a trade in one asset when several other assets have lagged correlations with it. It raises the problem of double-counting signals when the predictor assets are correlated with each other, and asks how to estimate the…
The document addresses pricing a positive-part payoff built from weighted prices of two assets observed at multiple dates. It asks whether a closed-form formula exists when a spread involves more than two prices. The response proposes moment matching:…
The document asks whether tactical asset allocation ranges around strategic benchmark weights can be derived from asset-class correlations and information ratios without starting from proposed tactical weights or signals. It outlines two existing approaches:…
The answer contrasts the former Australian dollar LIBOR benchmark with BBSW by describing how each rate was formed. BBSW is quoted by major Australian banks and is based on prices for discounted securities. The former AUD LIBOR, by contrast, relied on…
The document explains the distinction between US M1, which covers balances readily used for transactions, and broader M2, which also includes savings balances, time deposits, and retail money funds that can be converted to spendable funds. It describes how…
The document responds to a request for introductory reading on concepts such as beta, global minimum variance, and the Sharpe ratio, along with basic hedging theory and basis trading. The answer points readers toward a general investments textbook for the…