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.
5,701 documents
This reading list summarizes three studies on portfolio construction. One develops a finite-horizon allocation framework using nominal assets, with closed-form optimal strategies and utility. It describes how hedging demand depends on the investor’s horizon,…
This Chinese-language research digest summarizes two separate topics. The first reviews the United States target-date fund market, covering market share and flows, relative performance among fund series, and glide paths. It discusses glide-path averages and…
This research describes a bond-fund selection method built around return attribution. It expands the Campisi framework—which separates income, government-rate, credit-spread, and security-selection effects—with convertible-bond and monetary-policy effects.…
This article explains risk parity as an allocation approach that assigns comparable risk contributions across assets or risk factors, unlike capital-weighted mixes such as a conventional stock and bond portfolio. It lays out assumptions behind the method,…
This historical account explains how Bridgewater developed the All Weather approach from a broader effort to understand recurring economic relationships. Its core framework separates returns into cash, market beta, and manager alpha, then considers how…
This study asks whether corporate bonds become more vulnerable to price swings when held mainly by open-end funds with illiquid portfolios. It builds a bond-level fragility measure in two stages: first estimating each fund’s portfolio illiquidity from its…
The document presents a way to estimate how often a one-minute Chinese convertible-bond bar closes above its open after three consecutive up bars. It converts each bar’s return into a binary up-or-not indicator, scans the series for three up bars, and counts…
This study builds a convertible-bond strategy that separates bonds into equity-like, balanced, and bond-like groups using parity premium relative to bond value. It models each bond as a floor component plus option time value, then examines where factor…
This research proposes treating convertible bonds differently according to whether they are bond-like, balanced, or equity-like, classified by the premium of parity value over bond value. It explains a valuation decomposition in which a bond floor or…
This excerpt argues that investors should study the long-term history of securities rather than overreact to short-term price or earnings changes. It notes that buying and holding diversified equities can deliver market-level results, while beating the…
This troubleshooting note addresses errors that arise after adding a rolling-training module to an AI strategy for convertible bonds. It points to a revised notebook and identifies two implementation changes associated with the fix. First, the rolling…
The document describes a monthly allocation rule based on a yield gap: the difference between an earnings yield measure for the S&P 500 and the yield on a ten-year Treasury bond. It fits a linear regression using historical yield gaps and stock market…
The document summarizes a study of deep value episodes, defined as periods when the valuation gap between cheap and expensive securities is unusually wide relative to its history. The study examines individual stocks across global markets, equity index…
This glossary introduces twelve finance concepts spanning central-bank policy, corporate transactions, securities, valuation, and financial risk. It explains rediscounting and open-market operations as channels through which central banks influence liquidity…
This podcast recap explains how real-world assets can be represented on blockchains, with examples including real estate, commodities, stablecoins, and Treasury-backed products. It presents tokenization as a way to broaden access, improve transferability,…
This beginner guide explains convertible bonds as debt with interest and a right to convert into shares at a specified conversion price. It distinguishes the bond’s market price, the underlying share price, and the conversion price, then illustrates how…
Fundamental analysis estimates a security’s intrinsic value by examining economic conditions, industry trends, company finances, and qualitative factors such as management. Analysts use public information to form a value estimate and compare it with the…
This convertible-bond research note describes a relative-value approach based on the embedded option. It first compares implied volatility with the underlying stock’s historical volatility: relatively low implied volatility is treated as evidence that the…
This article recounts ten episodes it labels currency wars, moving from early paper money and metallic standards through sterling and dollar dominance, the breakdown of Bretton Woods, Latin American debt, Japan's Plaza Accord, European exchange-rate turmoil,…
This overview surveys models used to relate asset values or expected returns to risk and other inputs. It describes CAPM as linking expected return to the risk-free rate and market exposure, then introduces multifactor models such as Fama–French, which add…
The report outlines portfolio attribution methods for stocks and bonds, using both holdings and return series. For equity holdings, it applies a multifactor framework to separate common-factor returns from idiosyncratic returns, then estimates portfolio…
This 2018 research summary introduces China’s two-year government bond futures contract, covering its notional size, eligible delivery bonds, price limits, and minimum margin. It explains that the delivery basket’s remaining-maturity range is narrow, helping…
This webinar overview summarizes a macro discussion about high debt-to-GDP levels, central-bank balance-sheet expansion, and geopolitical risk as forces that may weaken confidence in fiat currencies and encourage interest in Bitcoin. The speakers compare the…
The report reviews how to assess pure bond funds using disclosed portfolio data, covering asset allocation and leverage, bond-type exposure, concentration, duration, and turnover. It then explains bond performance attribution, contrasting Campisi with…