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
The document considers a cross-sectional performance-attribution regression with asset returns as the response and style factors plus country indicators as predictors. It asks whether including a dummy for every country alongside a constant makes the model…
The document explains why Fama–French style time-series regressions use returns on factor portfolios, such as SMB and HML, rather than a stock’s size or book-to-market characteristics directly. Factor portfolio returns represent the payoffs associated with…
The document compares monthly and daily regressions of a portfolio described as 70% India and 30% USA against SMB, HML, WML, and a market excess return. It reports different coefficient estimates and significance levels across frequencies: the monthly…
The document asks how to find investment products whose systematic strategies and performance can be inspected and reproduced. It points to exchange-traded funds as a practical starting point, especially products built to track quantitative or…
The document explains why factor returns should be evaluated against a benchmark suited to the portfolio’s construction. For a passive long-only asset allocation, the return above the risk-free rate measures compensation over cash. For a tradable factor, the…
The document asks how to convert information coefficients observed at a monthly frequency into an annualized information ratio. It presents a proposed scaling formula and raises a discrepancy with a sample calculation that applies an additional factor. The…
The note addresses whether negative risk-free rates invalidate the CAPM or the use of a risk-free rate when calculating market excess returns in the CAPM and Fama–French three-factor model. Its answer is that the CAPM does not require the risk-free rate to…
The note considers cross-sectional estimation of factor returns when asset-loading columns are linearly dependent. Ordinary least squares then has no unique solution because the loading matrix’s cross-product is singular. A market factor combined with…
The document presents a question about applying the Capital Asset Pricing Model to a two-stock portfolio. The investor supplies portfolio weights and estimated betas, then asks how to obtain the expected return and whether a correlation inferred from the…
The note addresses whether factors in an asset-pricing model must be returns on traded portfolios. It describes a macroeconomic factor model that includes measures such as industrial production growth and inflation surprises alongside bond return spreads.…
The note outlines a process for building a UK equity sample for Fama–French five-factor or q-factor asset-pricing research. It favors Worldscope UK over combining the active UK securities list with the dead-stock list because accounting data is more…
The document distinguishes the CAPM’s theoretical expected-return relation from Jensen’s alpha as a measure of realized portfolio performance relative to an estimated benchmark. It presents the CAPM relation between expected excess return and beta, then…
The Fama–MacBeth procedure first estimates each asset’s factor exposures with time-series regressions, then runs cross-sectional regressions at each date using those exposures to explain returns. The second-stage gamma coefficients estimate time-varying…
The document asks how to measure volatility over a past sample when the goal is explanatory analysis rather than forecasting. The motivating study relates monthly mutual fund alphas to market volatility measured over the same historical period. It contrasts…
The document considers ways to assemble a spreadsheet comparing selected public companies across fields such as headquarters, market capitalization, earnings, revenue, free cash flow, debt, and cash. It describes a programmatic route using a finance data API…
The document describes simulations using the Gibbons–Ross–Shanken test to evaluate a CAPM-style model across multiple test portfolios. With returns generated under the model, the test does not reject the null; adding nonzero portfolio alphas leads to…
The document surveys possible developments in quantitative finance that could gain wider use or appear in future textbooks. It describes machine learning as a newer tool applied to established tasks, including risk analysis, risk management, and algorithmic…
The document clarifies the dividend-yield convention used in the Goyal and Welch stock return predictability data. The dataset’s dividend yield is computed as aggregate dividends paid by all stocks divided by total stock market capitalization measured at the…
The document presents a replication attempt comparing price momentum with two earnings-based momentum signals, standardized unexpected earnings (SUE) and earnings announcement returns (CAR3). The researcher describes building SUE from quarterly earnings per…
The document asks whether portfolio factor models, such as Fama–French, reduce the estimation burden in portfolio optimization. Its central question is that although modeling covariance among a smaller set of factor portfolios can reduce the dimension of the…
The discussion interprets the Arbitrage Pricing Theory as a multifactor model in which expected returns are determined by exposure to risk factors and the premia associated with those factors. Its central point is that the cited equation has no separate…
The document asks whether beta can be estimated using either excess returns or price returns. One answer challenges beta’s interpretation, arguing that regression results depend on whether beta exists in the data-generating process and whether the chosen…
The document outlines a way to analyze a portfolio’s style exposures by linking securities’ factor characteristics to subsequent returns. It proposes a cross-sectional regression across the investment universe, with next-period stock returns as the outcome…
The document distinguishes factors as systematic sources of risk from signals that directly generate alpha. In response to questions about discovering and trading factors, it presents value, momentum, and quality as examples of factors identified through…