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 A-share selection method combines moderate trading activity and company size with a profitability filter. It selects companies with a turnover rate from 3% to 12%, market value below 10 billion yuan, no losses, and return on equity above 15% in each of…
This post outlines a Chinese equity screen based on funding strength, company type, and a dividend payout ratio above 25% in 2019. It proposes that strong funding may signal market attention and that company ownership type can shape risk and growth…
This research note presents a framework for explaining bond fund returns and identifying portfolio style. It decomposes returns into income, government yield-curve movements, credit spread effects, convexity, and bond roll-down. Income is further divided…
The document presents a workflow for evaluating a stock factor with Chinese A-share data. It builds daily stock returns and industry returns, represents industry membership with indicator variables, and subtracts each stock’s industry return to form an…
This research summary presents a method for assessing analyst earnings forecast errors and whether investors give analyst consensus too much weight. Instead of fitting historical forecast errors to company characteristics, the method predicts future earnings…
This reference compiles expressions for the Alpha191 stock-factor set, attributed in the document to a 2017 research report on short-horizon price and volume characteristics. The expressions draw on open, high, low, close, volume, turnover value, VWAP,…
This article explains a cross-sectional futures strategy that ranks commodity contracts by roll yield, going long markets in backwardation and short markets in contango. It distinguishes weekly signal-based direction changes from contract rolls: the former…
This report outlines a method for rotating among equity style factors as the macroeconomic environment changes. It proposes two signals: identify macro events historically associated with stronger performance in particular styles, and compare current macro…
The article describes a Chinese-equity factor that looks for unusually large intraday increases in trading amount, then aggregates information around those moments into daily observations. Its rationale is that a volume surge accompanying modest, orderly…
This Chinese equity screen combines three criteria: a dividend payout ratio above 25% in 2019, at least one limit-up session in the prior 25 days, and ranking by capital strength from high to low. The post interprets capital strength as a measure of inflows…
This report tests thirteen momentum and modified-momentum signals in China’s A-share market. The signals include returns over several lookback periods, turnover-weighted returns, exponentially weighted turnover-adjusted returns, and a long-horizon regression…
This account describes extending a backtest of a Chinese small-cap strategy and finding that returns before 2024 were negative. It attributes the later high returns largely to growth in the Beijing Stock Exchange, whose smaller companies strongly affected a…
This research summary explores whether statistics computed from intraday stock data can add new signals to established multi-factor selection approaches in China’s A-share market. It evaluates realized volatility, realized skewness, and realized kurtosis as…
This post presents an A-share stock screen combining a daily price-range condition, an opening price near the ten-day moving average, and a dividend measure above a stated threshold for 2019. It supplies example formulas and Python-style logic for…
This Chinese-language post proposes an equity screen combining price movement, profitability, and revenue growth. It selects stocks with a high-low range exceeding the 14-period ATR, return on equity above 15% for five consecutive years, and revenue growth…
The document explains alpha as the return remaining after comparing a portfolio’s actual return with the return predicted by the Capital Asset Pricing Model. It gives the formula using portfolio return, the risk-free rate, portfolio beta, and benchmark…
This meetup listing raises two quantitative research questions: why factors with strong information coefficients and information ratios may produce weaker Sharpe ratios, and why combining individually strong Sharpe-ratio factors can reduce portfolio…
This research summary examines whether macroeconomic and market indicators can predict returns to equity factors, with particular attention to the size and reversal factors in Chinese stocks. It uses IVX regression, presented as a response to endogeneity and…
This summary of a Chinese securities research presentation describes several equity research approaches. It outlines an event-driven system intended to assess whether market events have an effective price impact, alongside a multi-factor risk framework and…
This document outlines a Chinese A-share stock screen combining price trends and valuation. It selects Shenzhen main-board stocks with price-to-earnings ratios from 0 to 29.01 and price-to-book ratios from 0 to 3.11, requires the 30-day moving average to be…
The proposed Chinese equity screen looks for companies with positive earnings, market capitalization within a stated ceiling, daily price amplitude above a threshold, and revenue growth between two specified years. The article frames the size and revenue…
The document presents factor analysis as a core research step for multi-factor, index-enhancement, and market-neutral strategies. It frames the analyst’s work as evaluating candidate factors before strategy researchers use them, with the quality of that…
The report proposes refining the book-to-price (BP) valuation factor by splitting book value into retained earnings and invested capital. It forms two market-value ratios: REP for retained earnings and CCP for invested capital. The stated motivation is that…
This Chinese equity screening idea selects companies with MACD above zero, nonnegative profit, and market capitalization below a stated ceiling. The positive MACD condition is intended to favor upward price momentum, while profitability and the size limit…