Six new strategies have been added.

Six new related research papers have been included into existing strategy reviews and two short free blog posts have been published during last few weeks. Plus, five trading strategies have been backtested in QuantConnect in the previous two weeks.

Analysts recommendations are quite puzzling topic among both practitioners and academics as well. The most important question related to the analysts is straightforward: what is the value of their recommendations? The research paper of Azvedo and Müller (2020) brings light on this topic, but also explores the relation of analysts recommendations and market anomalies. In line with other literature, it seems that the recommendations are significantly more valuable in international markets compared to the US market. While the prediction ability of analysts is not present in the US market, less developed markets and markets with higher limits-to-arbitrage are connected with valuable recommendations. Secondly, using around 200 cross-sectional anomalies, authors show that analysts are more lined up with anomaly-based composite mispricing measures in international markets. Therefore, there is not a bias from analysts to recommend overvalued stocks in global markets compared to the well-developed US market. We highlight several results and tables, but the paper is full of impressive results, ideas and tables. Therefore, we invite you to read this blog post as well as the source research paper.

Corporate bonds and equities of the same firm should share the same fundamentals, but does this preposition hold for the ESG scores and their implications? In the equity market, there is convincing literature that states that ESG scores lower risks or even can improve the performance of portfolios. However, it was shown that the ESG implications could not be universally applied to all countries and their markets. Novel research by Slimane et al. (2020) examines the role of the ESG in the fixed market. The paper shows that the fixed income market is probably some years behind the equity market, but the ESG is also emerging in the fixed income. The performance of ESG outperformers compared to underperformers is continually rising. In Europe, the difference is already economically significant; the rest of the world seems to lag a little. Therefore, the ESG might have a bright future also in the corporate bond market. So far, the results are promising…

We have listened to our audience and have prepared a new filtering field which you can use to screen strategies by regional focus.

Plus we continue to re-run some of our codes on a monthly basis systematically, 100 codes are at the moment part of this activity.

Thirteen new Quantpedia Premium strategies have been added into our database, and eleven new related research papers have been included in existing Premium strategies during last month.

Additionally, we have produced 12 new backtests written in QuantConnect code. Our database currently contains nearly 370 strategies with out-of-sample backtests/codes.

Also, five new blog posts, that you may find interesting, have been published on our Quantpedia blog.

Eight new strategies have been added.

Five new related research papers have been included into existing strategy reviews and two short free blog posts have been published during last few weeks. Plus, six trading strategies have been backtested in QuantConnect in the previous two weeks.

Volatility indexes are essential parts of the financial markets. They offer investable opportunities and exposure to the volatility, but most importantly, those indexes offer forward-looking measures of option-implied uncertainty. Therefore, such indexes are often used as indicators of risk or sentiment in the markets. For example, the well-known VIX index is often called the fear-index. The volatility indexes are not exclusive to the equity market. There are fixed-income option-implied volatility indexes for US Treasury futures, but the European fixed income market lacks such index. This novel research paper by Jaroslav Baran and Jan Voříšek fills this gap and proposes volatility indexes, connected to the euro bond futures using the Cboe TYVIX (US Treasury implied volatility index) (2018) methodology. As a result, the TYVIX and euro bond futures volatility indexes are directly comparable.

Authors: Jaroslav Baran and Jan Voříšek

Title: Volatility indices and implied uncertainty measures of European government bond futures