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 article describes REDD-COPS, a dynamic allocation method designed to constrain rolling portfolio drawdown while pursuing long-term growth. It replaces a lifetime peak-to-trough reference with a rolling economic maximum, then adjusts exposure to risky…
This short forum exchange addresses how to adapt a BigQuant strategy to rebalance on a five-day schedule. The reply recommends defining the holding-period setting in the backtest module’s initialization function, then using the K-line processing function to…
This research summary outlines a framework for evaluating private index-enhanced funds through their active exposures to risk factors. Because benchmark exposure is inherent to these products, the analysis treats deviations in style and industry exposures as…
The article defines CTA strategies as professionally managed approaches focused mainly on futures, with possible options exposure, and sketches their development in overseas and Chinese markets. It describes the shift of Chinese CTA activity toward commodity…
This research digest summarizes two papers relevant to investment research and portfolio decisions. The first examines analyst skill and influence across products at fourteen mutual fund firms. It reports that buy-side analysts contribute positively to…
This strategy studies a daily selection of ten Chinese main-board stocks ranked by free-float market capitalization, from smallest to largest. It excludes stocks marked ST, suspended stocks, companies listed for less than a year, and listings on the STAR…
This tutorial builds a multi-index rotation strategy using nine Chinese equity index ETFs as proxies for different market sectors. It ranks each index by its return from twenty sessions earlier to the latest close, then selects the strongest index if that…
This research summary compares periodic rebalancing with buy-and-hold for portfolios combining stocks and bonds. It reports that monthly rebalancing can lag buy-and-hold when stocks trend strongly relative to bonds, because rebalancing sells some of the…
This overview presents active quantitative management as a process of forecasting factor returns and managing portfolio exposures. It describes a linear model in which each stock’s return is associated with its factor exposures, factor returns, and a…
The article summarizes research that models mutual fund returns and performance persistence with a Bayesian dynamic panel. The model allows fund returns to have time-varying variances and covariances, autocorrelation, stochastic volatility, and measurement…
This research report examines conditional generative adversarial networks (cGANs) for forecasting asset returns and covariance matrices, then using those forecasts in portfolio allocation. The model conditions on recent multi-asset returns and random inputs…
The article gives a high-level taxonomy of nine quantitative approaches and the market effects each seeks to exploit. Trend following aims to capture persistent moves; mean reversion trades price dislocations around an average. Value and growth models screen…
This report evaluates 56 equity factors built from Chinese A-share trading and financial statement data. It sorts stocks into ten groups by each factor, measures the next month’s value-weighted portfolio returns, and tests the return spread between the…
This Qlib configuration defines a daily stock-ranking experiment for the CSI 300 universe, using the CSI 300 index as its benchmark. Its features combine price and volume transformations, including residual and fit measures, intraday range, and rolling…
This report reviews Chinese equity index enhancement portfolios and single-factor results for the week of March 14–18, 2022. Its portfolio construction process is described as combining return forecasts, risk controls, and portfolio optimization, with the…
This documentation describes tools for measuring relationships among asset-return series. A dependence matrix computes pairwise codependence using alternatives such as mutual information, variation of information, distance correlation, Spearman rank…
This brief forum exchange addresses how a VeighNa CTA strategy can read an account’s current position when it initializes. One participant asks whether a framework function exists, noting that calling the main engine’s position lookup directly did not seem…
This report describes three Chinese equity portfolio approaches designed to compete with active mutual funds rather than broad market indices. The fund-enhancement portfolio selects funds by performance layers, uses their holdings as a universe, and applies…
This note describes a stock-selection and rotation approach built around buying shares judged to be at relatively low price levels. A scoring system ranks candidates; the strategy buys higher-ranked stocks and holds five positions. As a holding rises, its…
This research review describes a dynamic, out-of-sample process for selecting US active equity mutual funds from observable fund characteristics. It compares elastic net, random forests, gradient boosting, and linear regression. Each year, models are trained…
This study tests whether investors can improve a diversified global equity factor portfolio by adjusting factor weights with time-series signals or cross-sectional characteristics. It applies parameterized portfolio policies to twenty long-short equity…
This notebook demonstrates a portfolio optimization workflow using FinRL’s PortfolioOptimizationEnv and the EIIE policy architecture. It downloads data for ten Brazilian stocks, scales each stock’s series, trains a policy-gradient agent on an earlier period,…
This research summary examines valuation factors for industry allocation and explains why raw valuation measures can be difficult to compare across sectors. It reviews five common measures, including earnings, book, sales, and operating-cash-flow based…
This configuration defines a futures system that combines exponentially weighted moving-average crossover forecasts at several speeds with a carry forecast smoothed over 90 days. It assigns forecast scalars to the rules, caps combined forecasts, and…