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 document compares long-only index funds, index-enhanced funds, and quantitative funds in the Chinese public fund market. It notes differences in fees and subscription or redemption efficiency, and frames market, sector, size, and other style exposures…
This stock screen combines three conditions: prior-day price amplitude above 1%, a prior-day appearance on the market’s top-trading list with buying value greater than selling value, and revenue in 2021 more than 1.1 times its 2018 level. The author presents…
This report summary evaluates historical fundamentals and price information as inputs to industry allocation in China. It highlights trailing-twelve-month ROE, single-quarter ROE, and ROE growth as useful historical factors, while finding industry-level…
This report summary examines whether Chinese public mutual funds’ past risk-adjusted performance predicts future performance, with fund selection and fund-of-funds investing as the motivation. It evaluates managers using alpha from several asset-pricing…
This review describes a framework for separating portfolio returns into fundamental growth and changes in valuation. It applies the decomposition to value, momentum, quality, and a combined value-quality factor, using long-short portfolios formed from U.S.…
This review describes a framework for separating portfolio returns into fundamental growth and changes in valuation. It applies the decomposition to value, momentum, quality, and a combined value-quality factor, using long-short portfolios formed from U.S.…
This document summarizes three research topics. The first compares earnings announcement returns (EAR) with standardized unexpected earnings (SUE), describing EAR as a measure of the market response to unexpected information in earnings announcements. It…
This A-share screening strategy first restricts candidates by turnover, circulating market value, and a positive-earnings condition. It then selects companies whose year-over-year growth in net profit attributable to parent-company shareholders falls within…
This tutorial outlines a preprocessing workflow for equity factor data. It filters out records without an industry classification, fills missing factor values with date and industry group means, and describes clipping outliers using percentile, standard…
This stock screen combines a turnover-rate band of 3% to 12% with an exclusion of Beijing-listed A shares and a parent-company net-profit growth condition. The final rule specifies year-over-year growth, on a trailing-twelve-month basis, above 20% and no…
This report describes a multi-factor model for analyzing stock returns and risk in China’s A-share market. Instead of assessing each stock independently, the framework represents exposures and returns through a smaller set of factors. It highlights…
This Chinese market report examines sector allocation using fund quarterly holdings, institutional ownership, and company earnings expectations. It describes which sectors funds increased or reduced during the first half, compares public fund and northbound…
The document describes a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, year-over-year net profit growth attributable to parent-company shareholders above 20% and at most 100%, and a share price below 12. It presents the…
The article examines how training-window length can affect an AI stock-selection model. It compares longer historical samples with shorter windows using manual rolling training and a held-out backtest period. In the reported experiments, changing the…
The strategy ranks stocks each month using five inputs: trailing-twelve-month price-to-earnings and price-to-sales ratios, price-to-book value, one-month price momentum, and one-month trading value. The author reports that trailing-twelve-month PE and PS…
This A-share stock screen combines a relative strength index below 65, a historical dividend payout ratio above 25% for 2019, and a ranking by stock popularity. Its stated rationale is to blend a technical filter, market activity, and a dividend-related…
This brief discussion describes how to display a sector’s price-to-earnings ratio, using banking as an example. It points to a demonstration that builds an industry P/E using an arithmetic mean approach and notes that the calculation can instead use market…
This article presents a supervised learning-to-rank approach to stock selection. It defines a universe using the constituents of the SSE 50, labels stocks by discretizing their subsequent five-day returns into 20 ordered classes, and trains on data from 2011…
The article examines how global equities, bonds, commodities, and diversified long-short style premia behave across economic growth, inflation, real-rate, volatility, and liquidity regimes. It constructs standardized macro indicators from U.S. economic and…
The document describes a partial-replication method that selects a small set of stocks to track an index by capturing the systematic factors driving its returns. It estimates the number of factors, uses principal components to estimate factor loadings, then…
This document presents a Chinese stock selection idea combining three signals: today’s increase in holdings above 5%, the prior day’s price above its 250-day moving average, and a 2019 dividend payout ratio above 25%. It frames these as indicators of capital…
This article adapts a machine-learning value strategy to Chinese A-shares. It trains an XGBoost regression model on accounting and company characteristics to forecast future price-to-book ratios. The gap between forecast and current price-to-book, scaled by…
This Chinese-language post reviews several strategy ideas in the context of a reported shift from leading stocks toward reversal patterns. It describes a multi-factor approach that looks for rebound or reversal behavior after attention-grabbing stocks pull…
This study asks whether cash flow measures predict stock returns better than conventional profitability ratios. It constructs a direct cash flow template that groups operating receipts and payments and separates them from financing, taxes, investment, and…