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 review surveys three directions in factor investing: refining established factor methods, incorporating new data and models, and using factors as a basis for asset allocation. It describes improving value signals with multiple valuation measures,…
This article proposes screening Chinese-listed stocks by combining moving-average conditions, a share-concentration threshold, a market-cap ceiling, and a requirement that the company not be loss-making. It presents moving-average alignment as a way to…
This Chinese equity screen combines a daily amplitude threshold, a reversal or engulfing-style candle pattern, sustained return on equity, and a valuation check against the industry average. The refined rules specify a pattern within the most recent three…
The report argues that ranking fund managers can reduce redundant information when one manager oversees several similar funds. It proposes tracking manager style across market capitalization, value versus growth, industry concentration, individual-stock…
The post proposes a Chinese stock screen combining at least five overlapping moving averages, a stated concentration filter below 20%, and a 2019 dividend ratio above 25%. It frames moving-average overlap as a possible sign of an emerging or established…
This research summary presents cash-flow duration as a framework for understanding why equity characteristics such as value, profitability, investment, low beta, and dividend payout are associated with returns. Duration measures the timing of a company’s…
This article presents a multi-asset allocation framework that combines traditional asset selection with allocation to systematic factors. It maps macroeconomic variables and style factors to asset classes, estimates exposures with time-series regressions,…
This research note discusses how to turn equity alpha signals into portfolio forecasts and combine multiple factors. It suggests converting factor z-scores into expected returns using average results from repeated cross-sectional regressions, and favors…
This stock screen narrows the universe to Shenzhen Main Board listings and combines liquidity, size, and valuation constraints. It specifies turnover between 3% and 12%, a circulating share count no greater than 5.5 billion shares, price-to-earnings between…
This summary describes a style-neutral, multi-factor stock selection system for Chinese A-shares built from short-horizon price and volume behavior. The report develops nearly 200 trading-oriented alpha factors using daily stock data, aiming to capture the…
This article proposes a Chinese stock screen combining a morning-star candlestick pattern, daily amplitude above a stated threshold, market capitalization below a stated ceiling, and positive adjusted net profit. It presents the screen as a blend of…
The report examines how fundamental factors predict stock returns differently across groups defined by market capitalization, profitability, and volatility. It argues that factor weights should vary by group rather than applying one set of weights across the…
This research review studies whether stocks with unusually high trading volume earn a premium that reflects information about the real economy. It constructs high-volume premiums from stocks ranked by recent abnormal volume, then tests whether the premiums…
The article explains a method for separating a mutual fund’s total alpha into selection alpha and weighting alpha. Selection alpha is estimated by replacing reported portfolio weights with market-cap weights, isolating the contribution of choosing stocks;…
This overview discusses two research approaches to using deep learning for equity factor discovery. The first builds stock embeddings from co-investment patterns in fund portfolios: random walks on a stock-fund graph produce sequences for skip-gram training.…
This report examines whether changes in economic growth, inflation, interest rates, and risk premiums can help guide allocation among value and growth stocks and among large-, mid-, and small-cap Chinese equities. It uses GDP growth, CPI, the ten-year…
This document proposes a stock-selection screen that requires MACD to be above zero, price-to-earnings ratio to be positive, and RSI to be below 65. Its rationale is to select stocks with a positive momentum signal, a positive valuation measure, and less…
This post describes a Chinese stock screen that starts with price amplitude, a daily control activity measure, and a comparison of the 20 day and 120 day moving averages. It interprets the moving average relationship as evidence of an intermediate to longer…
The proposed screen selects Chinese stocks using three conditions: daily amplitude above a threshold, circulating market value above a stated floor, and positive net buying by major participants during the auction. The accompanying explanation treats…
This research note studies whether stocks featured on China’s daily price-change leaderboards attract investor attention and how that attention relates to later returns. Using Sogou search index data as an attention proxy, it reports a U-shaped relationship…
The document presents two ways to estimate convexity in Chinese convertible bonds. The Black–Scholes approach substitutes implied volatility for the underlying stock’s volatility, calibrating the model price to the observed bond price before using its…
This report outlines ways to classify equities by market capitalization, growth, and value. It uses the median market capitalization to separate large and small companies, and describes three approaches to growth and value classification: composite ranking,…
This meetup Q&A surveys quantitative research topics, including collecting and cleaning market data, creating features, training models, and evaluating strategies through backtests. It lists possible information sources beyond price and volume, such as…
The document explains an approach to mutual-fund evaluation that adds an active peer benchmark (APB) to standard asset-pricing models. The APB is formed from the average returns of funds in a comparable style group, providing a proxy for shared strategies…