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 study examines how analyst coverage and earnings forecast revisions relate to the negative association between idiosyncratic volatility (IVOL) and future stock returns in Chinese A-shares. It measures IVOL from residual volatility in a Fama–French…
This weekly report summarizes several Chinese equity strategies for May 2018, including multi-factor index enhancement, short-horizon price-volume, AI stock selection, Smart Beta, event-driven selection, ESG, similarity matching, and an R-breaker trading…
This announcement describes the launch of a collaborative factor research group and outlines how participants will share and preserve their work. The organizers propose regular progress summaries, periodic research reports, and presentations, with factors…
This research summary examines whether intraday data can improve sector-rotation signals, focusing on realized skewness and the share of volatility attributable to downside moves. It describes constructing these measures from high-frequency observations and…
This post proposes screening Chinese beverage manufacturing stocks using three filters: a daily high-low range greater than 1% of the opening price, a dividend yield above 25% for 2019, and membership in the beverage manufacturing industry. It presents the…
The document reviews Chinese A-share stocks with very large gains from two perspectives. First, it surveys high-return stocks by year since 2009 and considers market conditions, company size, recent listings, and corporate restructuring as possible…
The document defines industry leader stocks as companies with strong analyst coverage and fundamentals that are closely related to those of other firms in their industry. It reports that analysts tend to cover more heavily companies whose fundamentals move…
The research constructs a specific market-capitalization factor by modeling cross-sectional stock market value from company financial measures and market variables. The model’s residual—actual market capitalization relative to the value estimated from those…
The article summarizes research that uses active share, or portfolio deviation from a benchmark, as a proxy for a fund manager’s conviction. It reports that strong past performance is associated with subsequent increases in active share, particularly for…
The document summarizes research on combining market anomalies and on refining multi-factor models. For anomaly strategies, it reports that returns to many well-known anomalies declined after academic publication, while diversified long-short portfolios…
This research summary examines why the Fama-French five-factor model may omit useful information. It argues that adding momentum produces a stronger explanatory and investment framework, then addresses why the traditional book-to-market value factor can…
This page summarizes several quantitative investing topics: timing equity factors with cross-sectional and time-series indicators; adjusting portfolios to target volatility; modeling changing stock-bond correlations; assessing tactical asset-allocation…
This stock screen targets companies classified in the metaverse industry and requires three bullish crossovers: MACD above its signal line, the five-period moving average crossing above the ten-period average, and the five-period average crossing above the…
This stock screening proposal combines a daily high-low range threshold with a requirement for consistently strong return on equity across five years. It then uses the interaction of price change and changes in trading volume as a further selection signal,…
This document describes a Chinese stock screen combining three conditions: daily price amplitude above a threshold, a historical dividend yield above a threshold, and positive forecast year-over-year earnings growth. It gives example indicator and Python…
This Chinese A-share screening note describes selecting stocks on the first trading day of each month when MACD is above zero, trailing P/E is positive, and the 2019 dividend ratio exceeds 25%. It interprets MACD as a trend filter, positive P/E as a basic…
This guide surveys how machine learning can support quantitative investing, from data preparation and model evaluation to portfolio selection. It explains supervised, unsupervised, and reinforcement learning, and reviews methods including regularized…
This weekly Chinese equity factor note compares value and growth styles and reports relative performance across six industry-neutral long-short factor groups. Value and growth were described as broadly balanced, while quality measures such as return on…
This note proposes screening Chinese stocks associated with the metaverse theme using price proximity to a 10-day moving average, market capitalization below 10 billion yuan, and positive profitability indicators. The moving-average condition is framed as a…
The proposed Chinese stock screen selects companies with turnover between 3% and 12%, year-over-year growth in net profit attributable to parent shareholders above 20% and at most 100%, and a connection to the metaverse theme. The article presents the rule…
This research summary describes a dynamic rebalancing overlay for multi-factor equity portfolios. The portfolio keeps its regular monthly rebalance, while market-cap factor exposure is checked daily mid-month. If exposure breaches a set threshold, the…
This stock-screening proposal combines a price-amplitude threshold with positive daily MACD and a record of return on equity above 15% for five consecutive years. It pairs a technical measure of price behavior and trend with a fundamental measure intended to…
This study applies Lasso, adaptive Lasso, and Elastic Net to select equity factors and combine them into stock-selection signals. Its motivation is that correlated predictors can make ordinary multivariate regression unstable. The reported experiments show…
The post asks whether a factor-analysis module’s rebalance period measures returns before or after the factor observation. The author expected each factor-sorted group’s reported return to represent the return earned by holding its stocks for the stated…