{"title":"在系统性公司债券选择策略中整合多种信号","authors":"Arik Ben Dor, Stephan Florig","doi":"10.3905/jfi.2023.1.174","DOIUrl":null,"url":null,"abstract":"With the growth of systematic credit investing in recent years, signals have proliferated, and it is increasingly important to process and synthesize the data effectively. We discuss several important considerations faced by investors when combining signals to form a systematic credit strategy, highlighting the trade-offs and pitfalls of different methods. Using examples based on actual credit signals, we demonstrate that careful attention to the issues raised can enhance performance significantly.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"2005 8","pages":"5 - 22"},"PeriodicalIF":0.0000,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Integrating Multiple Signals in Systematic Corporate Bond Selection Strategies\",\"authors\":\"Arik Ben Dor, Stephan Florig\",\"doi\":\"10.3905/jfi.2023.1.174\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"With the growth of systematic credit investing in recent years, signals have proliferated, and it is increasingly important to process and synthesize the data effectively. We discuss several important considerations faced by investors when combining signals to form a systematic credit strategy, highlighting the trade-offs and pitfalls of different methods. Using examples based on actual credit signals, we demonstrate that careful attention to the issues raised can enhance performance significantly.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"2005 8\",\"pages\":\"5 - 22\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-11-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jfi.2023.1.174\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2023.1.174","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Integrating Multiple Signals in Systematic Corporate Bond Selection Strategies
With the growth of systematic credit investing in recent years, signals have proliferated, and it is increasingly important to process and synthesize the data effectively. We discuss several important considerations faced by investors when combining signals to form a systematic credit strategy, highlighting the trade-offs and pitfalls of different methods. Using examples based on actual credit signals, we demonstrate that careful attention to the issues raised can enhance performance significantly.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.