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 April 2020 brokerage-report summary argues that overseas pandemic concerns had weakened prices without materially lowering broad-market valuations or company earnings forecasts at that point. It frames semiconductor shares against a late-2018 price…
This document summarizes Ibbotson and Chen’s supply-side approach to estimating long-run equity returns and risk premiums. It decomposes US stock returns over 1926–2000 using inflation, earnings, dividends, valuation multiples, payout ratios, book value,…
This analysis proposes heterogeneous volatility as an alternative to the standard volatility factor in multi-factor equity selection. Standard volatility is the dispersion of a stock’s returns. The proposed measure instead captures the volatility of returns…
The document explains feature engineering as the process of turning raw data into variables that better represent a prediction task. It argues that useful features matter in quantitative strategy research because market data and factor choices constrain what…
This Chinese-language post proposes an equity screen combining a daily price-range condition, sustained return on equity above a threshold over five years, and ranking by trading amount as a proxy for capital activity. The intended rationale is to find…
The document describes plotting utilities for evaluating quantitative factors through tear sheets. A summary report combines factor quantile statistics, return tables, quantile return plots, information coefficient analysis, and turnover measures. The…
This research summary describes a stock-selection factor intended to measure herding in China’s A-share market. It applies the LSV model to intraday transaction records, classifying trades as buyer- or seller-initiated to estimate the relative strength of…
This Chinese-language post outlines an equity screen for stocks listed in 2021. It ranks candidates by volume ratio, selecting the top 100, and seeks stocks whose closing price is near the 10-day moving average. The stated rationale is that relative volume…
This post describes a Chinese A-share stock screen combining turnover, recent limit-up activity, exchange segment, and valuation. It seeks Shenzhen Main Board stocks with turnover between 3% and 12%, at least one limit-up in the prior 25 days, PE from 0 to…
This proposed equity screen combines daily price movement, a record of strong return on equity over five years, and a price above its 250-day moving average. The article’s expanded version adds bullish KDJ and MACD comparisons and limits turnover to below…
The document presents a stock selection screen combining a daily high-low range threshold, five consecutive years of return on equity above 15%, and positive institutional ownership or activity. It then proposes additional filters: a bullish MACD…
This Chinese-language report outlines a framework for evaluating single factors used in quantitative stock selection. It organizes the assessment around information coefficients (IC) and portfolio grouping tests. The IC section includes rank IC, the…
This proposed Chinese equity screen combines a price-range condition, a signal described as main-fund control on the prior day, and year-over-year net profit growth between 20% and 100%. The author presents the combination as a way to find stocks with…
The document examines how information coefficients (ICs) are used to assess stock-selection factors and assign weights in multifactor models. It distinguishes Pearson correlation from rank correlation and points out a gap in the usual inference: a larger IC…
This research note examines why stocks with high correlation to their benchmark may perform better than low-correlation stocks in the China A-share market, despite findings cited for overseas markets. It explains benchmark correlation in terms of constituent…
The post describes a stock screening rule combining amplitude greater than one, a rounded price pattern, and positive institutional movement. It presents these conditions as a way to find stocks with meaningful activity, smoother price behavior, and apparent…
The proposed stock screen combines a rising 30-day moving average, three simultaneous technical-indicator golden crosses, and a daily increase in holdings above a stated percentage threshold. The post interprets these conditions as evidence of rising longer-…
The document outlines a Chinese equity screen combining three conditions: price amplitude above 1, the stock price above its five-day moving average, and evidence of net institutional buying. It presents volatility as relevant to short-term trading, the…
The document explains performance attribution as a way to identify where a portfolio’s returns and risks come from, assess whether excess returns may persist, investigate large fluctuations, compare strategies, and monitor the investment process. It outlines…
This research summary compares factor-based Smart Beta products with active quantitative and index-enhancement strategies. It reports that applying commonly used Chinese equity alpha factors to S&P 500 constituents produced little excess return before fees,…
This A-share screening approach combines a 14-period RSI threshold below 65 with company and size filters. It excludes recently listed firms, requires positive profitability, and restricts market capitalization to between 1 and 100 billion yuan. The final…
The document proposes a Chinese stock screen requiring amplitude above 1, MACD above its zero line, and circulating market capitalization between 5 billion and 10 billion yuan. It frames these filters as a combination of price movement, a technical trend…
The document describes a Chinese equity screen combining four conditions: daily amplitude above 1, an opening price near the 10-day moving average, market capitalization no greater than 10 billion yuan, and positive net income. It explains the intended…
The post describes a stock screen that selects Shanghai-listed shares, requires a dividend ratio above the stated threshold for 2019, and ranks candidates by capital strength. It frames the listing prefix as a possible proxy for larger, more liquid companies…