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
This document introduces the Campisi model as a framework for explaining the performance of pure bond funds. It describes decomposing a fund’s total return and excess return into four sources: income, government-bond effects, spread effects, and security…
This discussion describes a backtest problem caused by missing historical prices in a rolling maximum calculation. The author expected the portfolio to hold ten stocks, but in earlier periods it sometimes held only one or two. The suspected cause was that a…
The document proposes using convex optimization to model how farmers allocate limited arable land among crops to maximize profit. Its framework combines crop prices, production costs, and supply effects: planting more can raise output but may also depress…
This research examines whether industry rotation can enhance a CSI 500 benchmark portfolio. It compares two allocation approaches based on industry views: a moderate deviation from benchmark industry weights, and a concentrated approach that removes bearish…
This study compares two ways to build multifactor equity portfolios. Integration ranks securities by a combined score and selects those with strong exposure across the target factors. Mixing first builds separate single-factor portfolios, then allocates…
This analysis examines whether limits on how far bond yields can fall weaken bonds’ return contribution and diversification value. It models a global bond portfolio, a global 60/40 stock-bond portfolio, and a leveraged risk-balanced portfolio, using equal…
This document summarizes research on how investment fund flows relate to fund performance and asset growth. It reports that international studies generally find a positive association between performance and inflows, with a nonlinear relationship to…
The document asks how to rebalance an existing stock portfolio to a fixed target weight per holding. Its proposed sequence is to sell positions removed from the selection, adjust retained positions back to the target allocation, and then buy newly selected…
This research note proposes a price-spread deviation factor intended to measure whether a stock is relatively expensive or cheap compared with similar stocks. It frames the signal as a relative reversal measure: stocks that have recently lagged peers are…
This reference explains how information theory can measure dependence between variables, including asset returns. It introduces entropy as uncertainty, then defines mutual information as the reduction in uncertainty about one variable from observing another.…
The introduction frames pairs trading as a way to create a mean-reverting portfolio by holding one risky asset and shorting another correlated or co-moving asset. Such a spread may offer statistical arbitrage opportunities, but the central challenge is…
This document summarizes an investment research paper on incorporating environmental, social, and governance risks into emerging-market analysis. Its central argument is that these markets can be more exposed to issues such as extreme weather, resource…
The post proposes a U.S. ETF portfolio with fixed target weights: 30% in long-term Treasury exposure, 25% in gold, 20% in intermediate-term Treasury exposure, 15% in a triple-leveraged Nasdaq-100 fund, and 10% in a double-leveraged S&P 500 fund. It asks for…
This overview surveys the use of large language models and other AI methods across quantitative investing. It describes extracting sentiment and information from financial text, combining text with time-series data for market and risk forecasts, supporting…
This practitioner essay presents risk management as a process spanning strategy research, deployment, live operation, and review. It recommends examining a strategy’s behavior in severe historical drawdowns, including whether losses remain controlled,…
This MT5 tool helps traders review planned or open exposure across several instruments as a portfolio. Given comma-separated symbols and lot sizes, it calculates a Pearson correlation matrix from historical bar-to-bar returns over a configurable timeframe…
This document describes a class for applying an exponential Ornstein–Uhlenbeck model to mean-reverting portfolio prices. It inherits fitting and portfolio construction from an OU model, then works in log-price space to estimate optimal liquidation levels,…
The document explains the geometric mean as a way to summarize values that compound or multiply over time. It contrasts this approach with the arithmetic mean, which averages values by summing them, and notes that the geometric mean is suited to proportional…
The article compares retail algorithmic traders with institutional quantitative funds across trading capacity, market impact, strategy crowding, leverage, liquidity, information access, risk oversight, investor obligations, and technology. It argues that…
This code translates per-instrument trading restrictions into minimum and maximum portfolio weights, a direction for permitted adjustment, and a starting weight. It begins with wide default bounds, then applies long-only, no-trade, reduce-only, and…
This document summarizes long-run performance of Chinese equity factor portfolios and compares their results across market, economic, interest-rate, and volatility regimes. It reports that the portfolios had positive long-term returns, with size and…
The article summarizes a method for extracting priced common factors from stock returns. First, a Fama-MacBeth cross-sectional regression uses several return-predictive characteristics to estimate stocks’ expected returns. Stocks are then sorted into…
The document explains how to form and evaluate long-short stock portfolios, focusing on pairs trading. It compares hedge-ratio methods: ordinary least squares minimizes portfolio variance under a correlated random-walk and Gaussian framework, while total…
This document presents an optimization-based alternative to a simple top-ranked stock strategy. It describes using Qlib’s EnhancedIndexingStrategy to seek a balance between portfolio return and tracking error against a benchmark, with correlation and…