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.
2,013 documents
The article presents a scenario analysis of how sustained high crude prices could affect energy-importing and energy-exporting economies. It argues that higher energy costs may shift income toward resource exporters, raise manufacturing expenses in importing…
This overview explains how factor models can identify portfolio risk drivers and how factor strategies can target their associated return premia. It describes equity factors such as value, size, momentum, volatility, quality, yield, growth, and liquidity,…
The document explains how a trading portfolio values positions, converts PnL and exposure across currencies, calculates equity, and records account snapshots. It describes price and exchange-rate selection, including mark prices, side-specific quotes, last…
The McClellan Summation Index is presented as a cumulative market-breadth indicator built from the McClellan Oscillator. Its underlying RANA measure compares the number of bullish candles with the number of bearish candles across symbols sharing a selected…
The MultiMFITrend_x10 indicator summarizes Money Flow Index oscillator positions across ten timeframes. Each displayed line corresponds to one timeframe’s indicator reading, allowing the chart user to view several oscillator states together. The lines use…
This research summary reviews the US retirement system through three pillars: federal retirement benefits, employer-sponsored pension plans, and individual retirement accounts. It compares their contribution or collection arrangements, asset management, and…
The report studies momentum-based rotation among 15 E Fund industry, theme, and selected broad-market ETFs. It compares 20-, 60-, and 120-day return momentum measures, using information coefficient and ranked portfolio tests over a historical Chinese market…
The document describes KRI_HTF, an indicator variant that lets users choose the chart timeframe through an input parameter. The supplied example sets the timeframe to four hours, while indicating that another timeframe can be selected in the indicator…
This introductory comparison explains shared market features and differences between trading company shares and cryptocurrencies. Both markets rely on supply and demand, operate through digital platforms, and expose participants to losses. The article…
The document explains an optimal-transport approach to measuring dependence between asset return series. It first transforms observations into empirical copula coordinates using normalized ranks, which removes marginal scales while retaining dependence…
The document reviews research on the negative convexity of periodically rebalanced stock and bond portfolios. Rebalancing maintains target weights, but it repeatedly sells assets that have gained and buys those that have lagged. When stocks and bonds move…
This overview surveys approaches to combining strategies and allocating capital across assets. It traces the progression from fixed mixes and mean-variance optimization to Black-Litterman allocations that incorporate investor views, endowment-style exposure…
The document introduces quantitative timing as a way to choose when to buy or sell assets using historical prices, market indicators, and mathematical models. It describes moving averages, including simple and exponential forms, as tools for tracking price…
This literature summary covers two separate topics. The first describes a framework for studying how mutual fund managers’ personal characteristics relate to performance, decomposing outcomes into overall results, return and risk, and timing and security…
This Russian-language overview introduces LumiBot, a Python framework for building, backtesting, and running trading strategies through supported brokers. It describes a shared strategy lifecycle for hand-coded rules and AI-assisted agents, with historical…
This review explains why diversification may help more during declines than during gains, and why average correlations can hide that difference. It recommends estimating an asset pair’s downside relationship by conditioning on the portfolio’s main growth…
This review challenges the assumption that diversification works equally in rising and falling markets. It argues that the useful question is how a prospective diversifier behaves when a portfolio’s main growth asset falls. To measure downside correlation,…
This indicator displays three Relative Strength Index series from user-selected timeframes in a separate chart window, together with their average. It lets users set the RSI period and overbought and oversold levels, choose which timeframe series to show,…
This short note describes calculating a moving average in relation to the timeframe currently displayed, so that averages on different chart intervals can represent comparable spans of market activity. Its example compares an exponential moving average of…
This report summary outlines a risk-budgeting approach to domestic multi-asset allocation conditioned on economic growth and inflation regimes. It describes statistical comparisons of asset behavior across those states and reports rotation patterns: bonds…
The document is a brief summary of a research report on constructing a manager-of-managers portfolio. It names three stages: selecting an asset-allocation approach, evaluating investment managers, and managing the portfolio dynamically over time. It also…
The document outlines a proposal for a U.S. Bitcoin reserve alongside a broader stockpile of other digital assets. It says the stockpile would initially contain assets forfeited to the government, while additions to the Bitcoin reserve could use…
The overview describes a multi-asset trading platform that uses a Rust core for event-driven processing and Python for strategy control and system orchestration. Its central design idea is to use common strategy and execution components across research,…
This research review examines whether education ties among Chinese hedge fund managers are associated with fund performance. It builds time-varying networks in which funds are connected when their managers share a school and a similar field of study, then…