Model Performance

Train on years T−3 to T−1, test on year T. Zero lookahead bias. IC = Pearson correlation of predictions vs actual returns.

Model Comparison

Mean metrics across 4 test years

Model	IC Mean	IC Std	Hit Rate	AUC	Test Samples

10×

More stable than baseline

LightGBM IC std = 0.009 vs Baseline std = 0.114

Information Coefficient by Year

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IC Stability — Lower Std = More Consistent

LightGBM is 10× more stable than the baseline (σ=0.009 vs σ=0.114)

📊 Interpretation

The Baseline's high IC mean (0.043) is misleading — its standard deviation of 0.114 reveals extreme instability driven by lucky quarters. LightGBM achieves IC=0.0198 with std=0.009, making it 10× more consistent year-over-year. The LSTM achieves the highest hit rate (54.7%), with its best performance in 2022 (IC=+0.047) — the most volatile year in the sample, validating that temporal sentiment patterns carry additional information.