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 note proposes a Chinese equity screen using small market capitalization, revenue growth, valuation ratios, clustered moving averages, and recent price appreciation. The initial description calls for at least five moving averages to overlap, no losses,…
This A-share screen selects stocks with turnover between 3% and 12%, year-over-year net profit growth attributable to parent-company shareholders above 20% and no more than 100%, and excludes Beijing-listed shares. The post presents the regional exclusion as…
This screening rule targets Shenzhen main-board stocks with turnover from 3% to 12%, a newly formed KDJ bullish crossover, price-to-earnings ratio from 0 to 29.01, and price-to-book ratio from 0 to 3.11. The document frames the filters as a combination of…
This Chinese stock-selection proposal combines a cash-flow strength ranking, a share-price condition, and a historical dividend payout threshold. Its initial description cites a price of 18.5 yuan and a 2019 dividend ratio above 25%, with stronger capital…
This article outlines a daily Chinese stock screen using amplitude above 1%, a controlling-shareholder measure above 21%, and turnover between 2% and 9%. Its proposed refinement adds positive price-to-earnings and price-to-book ratios, with upper bounds of…
The document introduces the manager-of-managers fund structure, in which a central manager allocates capital among independent subaccounts managed by different investment advisers. It distinguishes this approach from a fund of funds: MOM evaluates and…
The screen begins with stocks whose short-term trend is positive relative to a longer moving average, whose recent ten-day return is positive but below 35%, and whose multiple moving averages cluster together. The text interprets alignment as relative…
The screen selects stocks with an amplitude measure above one, RSI below 65, and year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%. It combines a short-term price range condition and a momentum or…
This document gives a single daily factor example for Chinese stocks. It forms a price proxy by weighting the open and high, compares that proxy with its value four bars earlier, and takes the sign of the difference. The resulting direction signal is ranked…
This note proposes screening Chinese A-shares using three conditions: reported buying or position increase above five percent, year-over-year net profit growth above 20 percent and no more than 100 percent, and a 9:25 a.m. indicated gain below six percent.…
The document proposes a daily equity screen combining price range, company size, profitability, and trading activity. It selects stocks with a daily high-low range above one percent, market capitalization below 10 billion yuan, positive net income in each of…
This Chinese stock screen combines three filters: daily price amplitude above a threshold, observations from 2021, and a 2019 dividend payout ratio above a stated level. The article interprets larger daily ranges as greater price movement and uses the…
This research review examines whether actively managed U.S. equity funds favor firms focused on a single business and whether that preference reflects industry expertise. Its proposed mechanism is that a manager with an informational edge in one industry can…
This document describes a China A-share stock selection and portfolio strategy ranked primarily by dividend yield. It filters out suspended and risk-flagged stocks, applies market-cap, positive and relatively low price-to-earnings, and share-price…
The report presents a framework for timing gold using three proposed price drivers: value preservation, safe-haven demand, and speculation. It builds the first factor from US inflation expectations and trends in US real interest rates, the second from the…
This brief explanation identifies two main reasons a quantitative factor may have low coverage: the coverage of its underlying input factors and the length of its calculation window. If an input dataset contains values for only a limited portion of the…
This Chinese-language report summarizes two overseas research papers. The first decomposes the book-to-market ratio into a market-to-intrinsic-value component and an intrinsic-value-to-book component, then examines which part relates to valuation-strategy…
The report summary describes a stock-selection factor built from a multinomial logistic model that estimates the probability of a large stock decline over the following month. It tests several decline thresholds and reports broad factor coverage, including…
This research explores how estimates of public mutual fund ownership, updated using high-frequency data between formal disclosures, can inform stock selection and sector rotation in Chinese equities. It describes two stock signals: the estimated current…
The proposed Chinese stock screen combines a 20-day moving average above the 120-day average with RSI below 65 and a revenue ratio above 1.1 for 2021 compared with 2018. It presents the moving-average relationship as a filter for an upward trend, alongside…
This research summary describes style drift in active equity mutual funds: departures from a fund’s stated investment mandate that can expose investors to unintended risks. It characterizes style along size, value versus growth, and momentum dimensions, and…
This strategy ranks stocks monthly by the share of their trading volume occurring in recent earnings-announcement months. It uses a 48-month history and focuses on the latest 16 announcement months, then divides stocks into quintiles by the resulting…
This research summary argues that consensus analyst estimates may offer limited incremental value once the market has incorporated shared information. It instead examines analyst actions that may carry less widely recognized information: renewed coverage…
The note describes PATV, a stock-selection factor based on intraday trading volume. It first compares average volume over five-minute intervals with average volume over thirty-minute intervals, then ranks the resulting ratios across stocks. The factor…