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 that a long-short portfolio’s volatility and Sharpe ratio can be computed from its excess-return or profit-and-loss stream, as for other portfolios. First account for financing, including the difference between cash borrowing and…
The document presents a bond-based approach to creating exposure to a five-year-five-year forward rate. The proposed portfolio is short a five-year bond and long a ten-year bond, with relative weights determined using duration-based interest-rate…
The document develops a first-order approach to immunizing a bond portfolio against nonparallel interest-rate shifts. It approximates each bond’s price change by differentiating its discounted cash flows with respect to rates at each maturity, producing…
The document concerns how to compress a portfolio of long and short commodity forward or futures positions across delivery months into a single front-month-equivalent exposure. The goal is to approximate portfolio profit and loss using that exposure and the…
The document asks how to interpret the Hansen-Jagannathan bound, which relates the volatility of a stochastic discount factor to the Sharpe ratio of excess returns. The question focuses on constructing a lower bound on discount-factor volatility when its…
The document asks how an expected shock to one asset should affect the weights of other holdings, and whether portfolio substitutability can explain those changes. It proposes that assets with more similar characteristics might receive more of the…
The document asks why a leverage or volatility-scaling factor changes the turnover ratio of a momentum portfolio, citing the approach associated with Barroso and Santa-Clara. It distinguishes the intuitive idea of multiplying portfolio exposures by a scale…
The document addresses how to account for upcoming corporate actions when implementing a long-short equity statistical arbitrage strategy using a Bloomberg data license. The strategy holds positions across many stocks, and the author asks how to find events…
The document proposes a way to compare mutual funds grouped by holdings-based investment style. For each style, construct both an equally weighted portfolio and a value-weighted portfolio from the funds’ quarterly returns. These alternative aggregations show…
The document clarifies the difference between compounding simple returns across periods and scaling returns for an annualized portfolio statistic. For a constant average daily simple return, compounding converts it to a yearly level return by applying the…
The document describes a proposed portfolio procedure: draw samples from a random vector of asset returns, optimize weights for each draw subject to linear constraints, and average the resulting allocations. Because the feasible set defined by the…
The document asks whether portfolios minimizing Value at Risk or expected shortfall must lie on the mean–variance efficient frontier. It explains that when asset returns follow an elliptical distribution, including Gaussian and Student t examples, minimizing…
Without a risk-free asset, investors cannot draw the usual capital allocation line from that asset or identify an optimal risky portfolio as its tangency with the efficient frontier. The document points to Black’s zero-beta CAPM as a framework for this…
The document contrasts arithmetic returns and log returns for portfolio analysis. Arithmetic returns preserve cross-sectional weighting, so they are appropriate for combining asset returns into a portfolio return for a period. Log returns add across time,…
The document asks whether Bloomberg Barclays monthly total and excess returns can be reproduced from constituent-level index data, including constituent returns, market values, and excess returns. The author reports a close but imperfect tie-out for a broad…
The document proposes clustering stocks using financial statement ratios such as price-to-book, price-to-earnings, and return on equity, potentially alongside market measures such as beta and annual price change. The suggested workflow is to form groups from…
The document describes connections between actuarial science and quantitative finance, using insurance portfolios and life insurance contracts as examples. Its central distinction is that actuarial work often estimates future distributions from observed…
The document examines why robust portfolio allocation can be useful and distinguishes choosing a portfolio for a worst-case market outcome from choosing a portfolio rule that performs well under uncertain parameters. One proposed frequentist framing…
The document asks whether a rolling Value at Risk backtest is appropriate for returns from a winner-minus-loser (WML) momentum strategy. The described procedure estimates a mean and variance from a moving historical window, computes a normal VaR threshold,…
The document investigates a claim that portfolio positions proportional to forecast returns maximize an alpha strategy’s information ratio. It relates the question to mean-variance portfolio theory, treating returns relative to a benchmark as analogous to…
The document explains how to add a market-neutrality condition to a long-only, fully invested minimum-variance portfolio in CVXPY. Given a vector of asset betas and portfolio weights, neutrality is imposed by requiring their dot product to equal zero. The…
The discussion considers how to estimate covariance when historical relationships may shift with observable conditions. Although framed around selecting a portfolio of athletes, its examples—player matchups and racing-track characteristics—illustrate why…
The document asks how to interpret dollar neutrality when a portfolio shorts an index ETF and uses the resulting proceeds to finance long-only holdings. The investor describes gross positions whose long exposure exceeds the short exposure, despite the short…
The document raises a portfolio-theory question about whether including government bonds as an available asset makes the global minimum-variance portfolio an all-bond allocation. It connects this question to the efficient frontier: the global…