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 ways traders might use live stock index quotes: to gauge broad market direction, compare sector conditions, assess a portfolio against a benchmark, adjust asset allocation, and inform stop levels or futures hedges. These are general…
The document outlines a strategy that dynamically evaluates macroeconomic event factors and selects those more closely associated with asset movements. It considers more than thirty indicators spanning economic growth, inflation, monetary conditions, and…
This guide interprets the schedule, asset rules, position limits, and scoring criteria for a stock-trading competition. It recommends planning development and simulation time in advance, describing strategy logic clearly, and accounting for the specified…
This research summary describes ranking international liquid stocks with a random forest trained on technical features. Rather than forecasting exact returns, the model estimates the likelihood that a stock will outperform an average-return threshold. The…
This example outlines a long-only stock allocation approach based on recent reported insider activity. A research agent reviews SEC filings for executives' open-market purchases and sales, excluding awards, gifts, and option exercises. It reports amounts and…
This overview proposes constructing fund of funds portfolios from four groups: broad-market index ETFs, sector ETFs, index-enhanced funds, and quantitative funds. It compares passive index funds, enhanced products, and quantitative funds by their typical fee…
This introductory tutorial presents active equity management as a connected process: forecast stock-level excess returns with an alpha model, estimate exposures with a risk model, combine expected returns and risk through portfolio optimization, execute…
The document explains why the expanding range of digital assets can be difficult for investors to understand. Bitcoin’s early role as a cryptocurrency has broadened into a complex ecosystem that includes smart contract platforms and applications such as…
This research summary examines four MSCI smart beta equity indexes—value weighted, equal weighted, momentum, and minimum volatility—against a capitalization-weighted benchmark. Using monthly observations from 1999 through 2014, it applies principal component…
This study describes active risk parity as a portfolio built around a risk-parity allocation, with controlled deviations based on investment views. In its two-asset example, Chinese equities and corporate bonds are rebalanced using rolling covariance…
This research summary examines factor weighting, orthogonalization, and timing through the relationship between composite information-coefficient weighting and Fama–MacBeth regressions. Under the stated condition that returns and factors are z-scored, it…
This document turns Peter Lynch’s PEG idea into a periodic stock-selection process for Chinese equities. It starts with companies in selected non-cyclical industries, then keeps the half scoring highest on net-profit growth and sales net margin. From that…
This meetup compilation surveys practical topics in quantitative investing, including factor design, machine learning, strategy validation, portfolio sizing, live execution, and sector rotation. It recommends building a factor library by collecting and…
This research tests Chinese industry rotation signals based on cross-sectional momentum and valuation. It reports stronger industry momentum over a one-month lookback and compares industries grouped by the percentile of their current valuation relative to…
This research summary argues that a fund’s track record can mix the results of successive managers, obscuring changes in style and investment approach. It proposes constructing a separate index for each manager from funds solely attributed to that manager,…
This overview explains factor investing as building portfolios around characteristics associated with returns, such as company size, valuation, dividends, and momentum. It distinguishes single-factor approaches from multi-factor combinations, broader factor…
This article argues that training one stock-selection model on all market data may struggle with noisy observations and changing factor behavior. Its proposed approach is to classify market conditions and maintain strategies suited to different regimes:…
This report describes a Chinese equity risk model built on a standard multifactor framework and informed by the Barra approach. It estimates stock return covariance through factor return covariance and specific return variances. The model adjusts these…
This example outlines a long-term equity selection process inspired by fundamental value investing. A research agent reviews the latest company reports and current share prices, then selects businesses based on profitability, competitive durability, and…
This note reconstructs a Chinese ETF rotation strategy that selects a small pool of relatively uncorrelated assets, including equity index ETFs and gold. Every five trading days, it compares each fund’s 20-day return, holds the strongest when that return is…
This research review examines whether actively managed U.S. equity funds can generate CAPM alpha without weakening the coskewness of their returns with the market. It explains why investors who value positive skew may care about coskewness alongside…
This article explains factor investing as the practice of expressing a market hypothesis in a measurable rule, rather than focusing first on programming. It distinguishes factors used to select securities from those used to time trades. To illustrate the…
The document presents a quantitative trading system as a combination of strategy modules and an overarching capital management layer. It separates trader psychology and the ability to adapt from the system’s operational design, then lays out a strategy…
This excerpt analyzes how China’s carbon-reduction targets and global renewable deployment could create work for construction companies in power generation, storage, and grid infrastructure. It describes engineering opportunities in wind and solar projects,…