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 document explains the book-to-market factor, which ranks stocks by book value relative to market price. Its basic long-short construction buys stocks with high book-to-market ratios and sells those with low ratios; the described example uses NYSE, AMEX,…
The low-volatility effect is the reported tendency for lower-risk stocks to deliver stronger risk-adjusted returns than higher-risk stocks. A straightforward implementation ranks stocks by the volatility of their past weekly returns, forms decile portfolios,…
The document describes a monthly long–short strategy that ranks six Russell equity style portfolios: small-, mid-, and large-cap value and growth. Each month, it measures their returns over the previous 12 months, buys the strongest style, and shorts the…
The document describes a country equity strategy based on the idea that investors with leverage or margin constraints may bid up high-beta assets. A practitioner can estimate each country ETF’s beta against the US equity index over a rolling one-year window,…
The strategy ranks no-load equity mutual funds by their returns over the prior six months, selects the top decile, weights those funds equally, and holds the portfolio for three months. The document also discusses two alternative signals: a fund’s proximity…
The document describes a U.S. stock strategy that ranks non-financial NYSE, AMEX, and NASDAQ companies by the prior year’s change in total assets. At each June year-end, it forms ten equal groups, buys the lowest-growth group, and shorts the highest-growth…
The document explains the rebalancing premium as the return potentially gained by periodically restoring portfolio weights. Rebalancing sells assets that have risen relative to the portfolio and buys those that have fallen. A buy-and-hold portfolio instead…
The investment factor, commonly called CMA, compares returns from diversified portfolios of firms with low and high asset growth. The described interpretation is that conservative firms, which invest less, have tended to outperform aggressive firms, which…
The document describes a monthly long-short strategy that ranks commodity futures by their past 12-month performance, buys the strongest quintile, and sells the weakest. The cited research finds profitable continuation strategies and reports an average…
The document describes a cross-sectional momentum strategy for U.S. real estate investment trusts. Each month, it ranks listed REITs by their returns over the prior 11 months, leaving out the most recent month, and divides them into equal-weighted groups.…
This document describes a monthly sector rotation rule using ten sector ETFs. Each month, rank the funds by their prior 12-month returns, invest equally in the three strongest, hold for one month, and then rebalance. The stated aim is to outperform a broad…
This document describes a monthly, long-only strategy that combines stock momentum with environmental, social, and governance scores. It frames portfolio selection as a knapsack problem: one characteristic acts as the portfolio constraint and the other as…
This document explains a cross-sectional commodity carry strategy that ranks futures by roll returns, buys the strongest contracts, and shorts the weakest. Its simple monthly example equally weights the top and bottom quintiles and holds the positions for…
This strategy uses SEC 13F holdings disclosures to identify stocks that active mutual fund managers appear to favor most strongly. It proposes defining a universe of active managers, selecting each manager’s most concentrated or highest-conviction positions,…
This document presents a foreign-exchange value strategy that uses purchasing power parity (PPP) to compare currencies with estimated fair values. The suggested universe contains 10–20 currencies. Using the latest OECD PPP figure and monthly CPI and…
Paired switching rotates investment between two negatively correlated assets instead of holding a static mix. A simple example ranks an equity fund and a government bond fund by their returns over the prior quarter, invests in the stronger performer for the…
This document describes a long-short equity factor that ranks nonfinancial U.S. stocks by a composite measure of earnings quality. It combines cash flow relative to reported earnings, return on equity, cash flow relative to assets, and debt relative to…
This document describes a country-level equity value strategy based on Shiller’s cyclically adjusted price-to-earnings ratio (CAPE). At each year-end, it ranks 32 countries by CAPE and invests equally in the least expensive third, provided their CAPE is…
The document outlines a global tactical allocation strategy that combines value and momentum signals across asset classes. It ranks investable markets using 12-month momentum, 1-month momentum, and an asset-specific valuation measure: earnings yield for…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
This document describes a quarterly, long-only US equity strategy modeled on a value ETF. It starts with NYSE stocks, removes financial firms, ADRs, and REITs, then screens for liquidity using average dollar volume over a 90-day window. Among eligible…