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 event page outlines a presentation on moving from discovering individual factors to designing their portfolio weights. It identifies linear and nonlinear combinations and ICIR-based weighting as methods, with attention to their underlying rationale and…
This configuration defines a Qlib experiment using Alpha158 features for the CSI 300 and the Shanghai 300 index as benchmark. It normalizes features with robust z-scores, fills missing values, filters a selected subset of columns, and applies cross-sectional…
This summary compares two research reports on protecting portfolios during market stress: one published before a major volatility episode and another written afterward. It frames their comparison around how investors assess defensive strategies before a…
This notebook demonstrates a workflow for running an online portfolio moving average reversion algorithm in Zipline and analyzing its output with pyfolio. The example applies OLMAR to a fixed basket of seven stocks, estimates relative mean deviations from a…
This research summary describes a monthly sector-rotation framework for Chinese equities. It groups 29 CITIC first-level industries into financial, cyclical, consumer, and growth sectors, builds market-cap-weighted sector indices, and proposes selecting…
This research summary describes a multi-factor approach to selecting Chinese convertible bonds. It treats each bond’s value as a combination of straight-bond value and embedded option value, and examines how bond returns relate to the underlying stock. The…
This overview defines factors as common drivers of security returns and distinguishes systematic factor exposure from asset-specific risk. It traces the move from the market-only CAPM to multi-factor explanations such as the Fama–French market, size, and…
This research summary describes an A-share market-impact model intended to narrow the gap between simulated strategy returns and realized portfolio returns. It argues that applying one fixed slippage rate cannot reflect how impact varies across stocks,…
This strategy ranks country exchange-traded funds by estimated market beta, measured against a U.S. equity index using a rolling year of daily prices. Each month, it divides the available funds around the median beta, going long the lower-beta group and…
This research summary examines whether inventory cycle phases can help time broad sectors and the Shanghai Composite. It describes four phases—active restocking, passive restocking, active destocking, and passive destocking—and compares qualitative phase…
The strategy allocates across five exchange-traded funds representing US equities, foreign equities, bonds, real estate, and commodities. At a monthly rebalance, it holds each asset class whose price is above its 10-month simple moving average and moves the…
This study examines six smart beta factors in Chinese equities: size, value, low volatility, momentum, quality, and dividends. Its reported sample runs from July 2006 through November 2018. The summary finds differing absolute and risk-adjusted performance…
This document extends a cointegration-based spread strategy from pairs to three or more assets. It forms a weighted combination of log prices using a cointegration vector, then derives a spread return from the same weights. Under stated stationarity…
The document summarizes research on applying conditional generative adversarial networks to calibrate individual systematic trading strategies and combine them into ensembles. The proposed workflow covers training and selecting a cGAN on time-series data,…
This Chinese equities screen combines cross-sectional ranks for total market capitalization, free-float market capitalization, and closing price into a weighted score. It filters out special-treatment and suspended stocks, requires more than a year since…
This research summary examines whether changes in analysts’ consensus earnings per share (EPS) forecasts and the gap between forecasts and reported earnings can help guide rotation among Chinese equity industries. It reports that consensus EPS growth is…
This research summary examines stock-selection factors within China’s healthcare sector. It reports that size-related factors can deliver higher average returns but have been unstable, while several technical measures—including prior price change, turnover,…
This note outlines a top-down approach to investing in fixed-income funds. It recommends first forming views on short- and long-term interest rates and credit spreads, then using those views to guide bond-fund selection. When rates are expected to rise, it…
The article surveys common sources of investment loss, including broad market movements, issuer default, illiquidity, interest-rate changes, inflation, geopolitical events, concentration, business problems, and legal or regulatory changes. It explains these…
The strategy forms a monthly long-short equity portfolio from NYSE, AMEX, and NASDAQ stocks priced above five dollars. It first keeps the larger half of the eligible universe by market capitalization, then ranks stocks by six-month realized return and…
This research summary outlines an enhanced portfolio for the ChiNext, or Growth Enterprise Market, index. The authors test single-factor enhanced portfolios, then select factors using information ratios, maximum drawdowns, and relationships among factors.…
The report summary introduces the ZCBI listed index, designed to track publicly traded companies associated with Beijing’s Zhongguancun Life Science Park and the broader bioeconomy. It describes a total-return index, free-float market-cap weighting, and…
The report outlines a framework for estimating forward dividend yield by combining expected payout behavior and expected net income with the stock’s current market value. It groups cash dividend policies into fixed-per-share payouts and payouts tied to…
This review examines whether market, macroeconomic, sentiment, valuation-spread, and momentum signals can forecast equity factor returns. It explains why factor premia can vary as risk compensation, investor behavior, and market frictions change. The…