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 document explains how Direct Alpha and excess IRR, also called IPP, measure private asset performance relative to a public market benchmark. It presents excess IRR as the rate added to benchmark returns that makes a public market equivalent equal to one.…
This question examines how martingale optimal transport should be formulated when a payoff depends on two different assets, such as an equity and a foreign exchange rate. In the usual setup described, two time points belong to the same asset, and the…
This document outlines the Singer–Terhaar model’s use of a weighted average between an integrated-market risk premium and an isolated-market risk premium. The integrated estimate relates an asset’s premium to its correlation and volatility relative to the…
The document poses a pricing problem for a cross-currency swap whose fixed and floating rates can be adjusted at two future timestamps. Starting from an initial fixed rate in one currency and floating rate in another, it describes three possible rate…
The document considers the data needed to build a globally diversified equity portfolio: MSCI World constituents and weights, prices and historical records, corporate actions, and security identifiers and attributes. Its central practical point is that index…
The document raises the question of whether splitting asset return correlations by direction can reveal relationships hidden by a single overall correlation. It considers comparing correlations during upward and downward moves, including lagged…
The document answers whether alternatives to the DXY can track the dollar against emerging market currencies. It describes Federal Reserve H.10 trade-weighted emerging-market currency indices, available in nominal daily and monthly forms, with a CPI-adjusted…
The document explains how marginal distributions and a copula combine to define a multivariate distribution. Under Sklar’s theorem, each observation is first mapped through its marginal cumulative distribution functions to uniform values; a chosen copula…
The document explains how to calculate a portfolio’s expected return when the expected returns of its component assets and their portfolio weights are known. The method is a weighted sum: multiply each asset’s expected return by its portfolio weight, then…
The document considers portfolio optimization where an investor may hold at most one asset from each country. It presents two approaches. One uses a quadratic program to optimize weights for a chosen set of assets, with an outer local search that swaps the…
The document discusses which interest rate series to compare across currencies when researching rate differentials and foreign exchange. The question notes that interbank benchmarks differ by currency, that some IBOR series have changed availability, and…
This exchange addresses how to compare several instruments with different nominal price levels on a shared chart. The questioner finds that raw prices and log prices retain scale differences, while single-period returns are too small to make the paths easy…
The document asks how to simulate multiple stock paths with stochastic volatility while representing dependence between assets. It explains why a basic stochastic volatility model may be unsuitable for pricing: its marginal distributions may not match traded…
The document explains how to infer implied correlation between a stock and a zero-coupon bond from option-implied volatilities. The required inputs are volatility quotes for options on each asset and on a portfolio containing both; the portfolio option may…
The document defines two ways to measure average consumption growth across economies and time: averaging each agent’s log consumption growth, and first summing agents’ consumption within each economy and period, then calculating log growth in that aggregate.…
The document examines which benchmark to use when measuring strategy returns in emerging markets, especially when comparing local-currency assets with dollar-based research. One response favors nominal government yields in the currency of investment as the…
Portfolio beta is defined relative to a chosen benchmark as the covariance of portfolio returns with benchmark returns divided by the benchmark’s return variance. When holdings span bonds, sectors, and broad equities, their individual betas may refer to…
The document explains how to simulate multiple geometric Brownian motion (GBM) processes whose Brownian drivers are correlated. It separates each process’s deterministic drift from its random component: the drift remains specific to that process, while…
The document asks how to calculate a portfolio holding’s beta against a benchmark made from several assets with stated target weights. One proposed method is to build a benchmark return series and estimate the holding’s beta against it. That raises a…
The document discusses where to obtain a broad list of mutual funds and their ticker symbols. It cautions that a single free database covering funds worldwide is unlikely to exist. Commercial data providers may offer fund identifiers alongside prospectuses…
The document seeks free, aggregate data that could help estimate leverage in banking and financial sectors across Europe, Japan, Asia Pacific, and North America. It points readers toward comparative flow of funds analysis covering the United States, Japan,…
The document discusses who provides a contract for difference (CFD) and what lies beneath an index CFD. One answer describes a CFD as a bilateral agreement with a broker or dealer, which may take or hedge exposure to the underlying asset for its own account.…
The document explains how to think about pricing a down-and-out European call on a basket whose assets follow different processes. It separates simulation accuracy from model choice and payoff representation: a correctly implemented Monte Carlo can converge…
The document examines how exchange-traded products are classified and whether ETFs, ETNs, and ETCs should be named separately in portfolio descriptions. It notes that ETF structures can include open-end funds, unit investment trusts, grantor trusts, notes,…