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.
2,682 documents
This strategy selects liquid U.S.-listed stocks above a minimum price and enters when a stock’s closing price reaches or exceeds its previous highest close. It holds qualifying positions in an equally weighted portfolio, adjusts allocations daily, and uses a…
This research summary examines whether stock return synchronicity—the degree to which a stock’s returns move with common factors—signals more or less information in prices. The conventional view treats high synchronicity as evidence of less firm-specific…
This algorithm implements a January barometer rule using a broad equity ETF and a Treasury bill ETF as alternatives. At the start of January, it liquidates the bill holding and invests in equities, recording the equity price as a reference. In February, it…
This study examines how Chinese and US equity markets move together, with a focus on whether movements in one market help explain later movements in the other. It uses Granger causality tests on market returns and volatility, reporting evidence of two-way…
The newsletter links weaker U.S. payroll data and expectations for Federal Reserve rate cuts with diverging moves in gold and crypto. It interprets low VIX readings, short VIX futures positioning, and differences between September and October VIX futures as…
This research summary examines why firms repurchase shares when short sellers increase their positions. It contrasts managerial myopia, in which buybacks protect near-term prices or earnings at a cost to long-term owners, with a private-information…
This podcast recap discusses institutional participation in crypto, the launch of U.S. spot Bitcoin ETFs, the more modest reception of Ethereum ETFs, and regulatory barriers to further products. It describes how financial advisers and smaller offices can…
This study examines whether investors chasing Morningstar mutual fund ratings can move stock prices through fund flows. Before Morningstar’s June 2002 methodology change, ratings were closely tied to broad fund performance and therefore favored some…
The article discusses data integration challenges when developing strategies across US equities and forex. It highlights differences in update speed, price conventions, and data formats, arguing that timestamp misalignment and latency can create gaps between…
The document describes a market neutral stock factor strategy that estimates each stock’s beta against a broad US equity index using roughly one year of daily prices. At monthly formation, stocks are ranked by beta; the lowest beta group is held long and the…
The article evaluates whether a stock’s overnight return, measured from the prior close to the next open, can proxy for firm-level investor sentiment. The rationale is that retail investors may place orders outside regular market hours, concentrating demand…
This report overview defines smart beta as a systematic, rules based way to obtain exposure to selected investment factors. It compares the United States and China through their ETF markets, describing differences in product scale, factor coverage, and index…
The article summarizes research using Forcerank, a platform where participants rank stocks by expected performance over roughly a week. Regressions of consensus ranks on past returns show that participants extrapolate recent performance, with more weight on…
This research summary examines whether mutual fund managers’ tendency to follow prior institutional trading can reveal investment skill. It describes a fund-level dynamic herding measure, FH, and tests whether funds with stronger herding subsequently…
The document explains the cyclically adjusted price-to-earnings ratio (CAPE), calculated as an inflation-adjusted share price divided by the average inflation-adjusted earnings per share over the prior decade. It compares CAPE with future real returns for…
The document presents Follow-the-Leader, a factor-based method for constructing a smaller portfolio that tracks a broad equity index. Instead of selecting stocks only by index weight or correlation with index returns, the method estimates the number of…
This daily S&P 500 strategy combines moving-average trend filters with staged long entries and a short setup. Long entries are allowed when price is above a rising 125-day average but below a 14-day average; the system can add contracts when price is above a…
This bot aims to mirror a named member of Congress’s reported stock holdings. A research agent checks House disclosure filings, using annual reports as the starting portfolio and applying later trade reports to update it. It excludes options, real estate,…
This market commentary links changing Federal Reserve rate-cut expectations with risk-asset performance, then examines relative strength and options conditions in Bitcoin and Ether. It discusses how realized volatility and the ETH/BTC ratio may reflect…
The document presents a long-only breakout and momentum system for Nasdaq instruments on hourly and four-hour charts. It builds a composite signal from normalized price momentum and a short-term upward impulse, giving the impulse component greater weight. An…
The article reviews research on the 2016 launch of Morningstar’s sustainability ratings for U.S. mutual funds. The ratings use portfolio holdings and company ESG scores to assign funds one to five stars within their categories; the star display appears more…
This report presents a short backtest of a large-cap stock strategy attributed to a multi-agent AI trading bot and compares it with SPY. The stated test ran from January 4 to January 15, 2026, using Yahoo data and a universe of large technology and other…
The article reviews research linking firms’ incentives to manage investor expectations with earnings announcement premiums and seasonal stock returns. It builds an ex ante expectation management incentive score from analyst coverage and institutional…
This market commentary links a decline in US yields and expectations of a possible soft landing with gains in Bitcoin, Ether, and gold. It reviews the coming employment and central bank events, then interprets crypto options activity: traders appeared…