Boosting the Equity Momentum Factor in Credit

20 Pages Posted: 3 Sep 2020 Last revised: 28 Apr 2021

See all articles by Hendrik Kaufmann

Hendrik Kaufmann

Quoniam Asset Management GmbH

Philip Messow

Quoniam Asset Management GmbH

Jonas Vogt

Quoniam Asset Management GmbH

Date Written: April 27, 2021

Abstract

Machine learning techniques have gained enormously in popularity in recent years, but so far only to a very limited extent in fixed income research. In this paper we would therefore like to do some pioneering work, and apply Boosted Regression Trees to the Equity Momentum factor in the corporate bond market. We report large performance gains to investors using these machine learning-driven forecasts, roughly doubling the alpha and information ratio to industry standard Equity Momentum strategies. Next to the past equity returns, we include size and liquidity of stocks and bonds into our model framework.

Keywords: Cross-Sectional Asset Pricing, Market Anomalies, Momentum, Machine Learning, Boosting

JEL Classification: G11, G12, G14

Suggested Citation

Kaufmann, Hendrik and Messow, Philip and Vogt, Jonas, Boosting the Equity Momentum Factor in Credit (April 27, 2021). Available at SSRN: https://ssrn.com/abstract=3668928 or http://dx.doi.org/10.2139/ssrn.3668928

Hendrik Kaufmann (Contact Author)

Quoniam Asset Management GmbH ( email )

Frankfurt
Germany

HOME PAGE: http://www.quoniam.com

Philip Messow

Quoniam Asset Management GmbH ( email )

Frankfurt
Germany

HOME PAGE: http://www.quoniam.com

Jonas Vogt

Quoniam Asset Management GmbH ( email )

Frankfurt
Germany

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