Boosting the Equity Momentum Factor in Credit
研究将机器学习中的提升回归树应用于公司债市场的权益动量因子，发现该方法能显著提升投资绩效，使阿尔法和信息比率翻倍。
Machine learning techniques have gained popularity in recent years but only to a limited extent in fixed-income research. This article shows some new work in the application of “boosted regression trees” for the equity momentum factor in the corporate bond market. We report significant performance gains to investors from using machine learning–driven forecasts, roughly doubling the alpha and information ratio of better known equity momentum strategies. In addition to past equity returns, we include size and liquidity of stocks and bonds in our model framework.