We analyze the performance of investable portfolios built using predicted stock returns from machine learning methods and attribute their performance to linear, marginal non-linear and interaction effects. We use a large set of features including price-based, fundamental-based, and...

Recently many research articles have focused on the prediction of stock returns using machine learning methods. All show that regression trees and neural networks have superior predicting power than linear models. In this paper we analyze the performance of investable portfolios built using...