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.
4,194 documents
This stock selection recipe combines trading activity, institutional participation, exchange segment, and valuation. It selects Shenzhen Main Board stocks after the close when the five-day amplitude measure is above 1, institutional participation exceeds 30,…
This A-share screening rule combines daily turnover between 3% and 12%, market capitalization below 10 billion yuan, a profitability condition based on return on equity, and price amplitude above 1. It is intended to focus on smaller companies that are…
This Chinese-language summary introduces TS-Boost, a machine-learning framework for equity factor selection. It identifies two challenges in financial data: observations may not share the same distribution over time, and market signals can have low…
The document describes a China A-share stock screen combining trading activity, recent price performance, and company earnings growth. It selects main-board stocks with turnover between 3% and 12%, a daily gain above 1% relative to the stated comparison…
This article introduces a proposed relationship between the intensity of market capital flows and investors’ choice of equity style. It suggests that when flows are subdued, style investors tend to retain their existing direction, while unusually strong…
The report overview describes MSCI’s CNE6 equity risk model for China A-shares. It organizes the model into descriptors, basic factors, and style factors, with style factors formed through two weighting stages. The model adds quality, sentiment, and dividend…
This study examines stocks that attract investors seeking rare, extreme gains. It defines lottery-like stocks as those in the highest group when stocks are sorted into ten groups by their largest daily gain over the prior month. The proposed behavioral…
This report studies whether boosted tree models can extract stock return signals from analyst expectation factors that linear models may miss. The authors note that these factors can be complex, have substantial missing data, and correlate with earnings and…
This 2019 strategy review discusses how Chinese equity quant investors might respond to a weak market and changing asset-management conditions. It questions the near-term outlook for multi-factor approaches, noting that technical factors could remain under…
The post proposes a Chinese equity screen combining daily price amplitude, afternoon large-order net inflow, and a record of high return on equity over five years. It frames the criteria as a mix of price activity, money flow, and company profitability, and…
The document shows a Chinese A-share strategy that ranks stocks using market capitalization, float capitalization, and closing price, then selects a small target list. It filters for smaller float capitalization, sufficient listing history, and nonnegative…
The article proposes a Chinese-equity screen that combines a price-range condition, a named morning-star signal, and a historical dividend payout ratio above a stated threshold for 2019. It frames the combination as a way to identify shares with short-term…
This Chinese-language post describes a daily premarket stock screen that combines MACD above its zero line, a share price below 12 yuan, and evidence of institutional accumulation. It presents the screen as a blend of technical, price, and capital-flow…
The post outlines a stock screen focused on shares whose codes begin with 60, using data from 2021. It presents this universe as relatively large-cap and liquid, then proposes adding financial filters such as a current ratio threshold and a price-to-earnings…
The article reviews a method for evaluating active mutual funds by adjusting performance first for factor exposures and then for the characteristics of stocks held. It begins with Carhart four-factor alpha, then uses either a cross-sectional regression on…
This document describes a Chinese equity screen combining turnover, parent-attributable net profit growth, and a business keyword filter. It selects stocks with turnover between 3% and 12%, profit growth above 20% and no more than 100%, and operations…
This brief summary of a factor-investing report reviews tests of capital-structure and solvency measures. For nine capital-structure factors, the report compares grouped portfolio performance, long-short returns, information coefficients, and Fama-MacBeth…
The document summarizes research on whether actively managed equity funds earn stronger future returns when their trading increases the technological similarity of their holdings. It describes Active Technological Similarity (ATS), built from the overlap in…
This summary compares financial growth signals and subsequent stock returns in overseas and Chinese markets. It defines asset growth as changes in balance-sheet items, including total assets, current assets, and inventory, and profit growth through measures…
This report describes a fundamental equity quality framework spanning profitability, growth stability, earnings quality, cash flow, operating efficiency, and solvency. It screens factors for historical long-term return behavior, then builds a composite…
This research summary reviews dynamic ways to allocate among equity style factors, contrasting them with static allocation and grouping methods by whether they rely on returns, risk, or both. It first builds the investable factor set: 28 underlying factors…
This Chinese-language post describes a simple stock screen for companies classified in the metaverse sector, with a positive recent return and market capitalization above 200 million yuan. It outlines the selection logic using sector membership, a price…
This report describes a stock rotation strategy that seeks timely events associated with excess returns. Its event factors cover shareholder actions, dividend policies, earnings forecasts and reports, growth measures, and private placements. The strategy…
This post outlines an A-share stock screen combining a daily trading-range condition, a qualifying company type, and a dividend payout ratio above a stated threshold for 2019. It explains the range condition as a way to select stocks with price movement and…