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Boosting the Equity Momentum Factor in Credit

Author

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  • Hendrik Kaufmann
  • Philip Messow
  • Jonas Vogt

Abstract

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.

Suggested Citation

  • Hendrik Kaufmann & Philip Messow & Jonas Vogt, 2021. "Boosting the Equity Momentum Factor in Credit," Financial Analysts Journal, Taylor & Francis Journals, vol. 77(4), pages 83-103, October.
    • Handle: RePEc:taf:ufajxx:v:77:y:2021:i:4:p:83-103
    DOI: 10.1080/0015198X.2021.1954377
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