{"id":"W3125209868","doi":"10.1017/s0022109019000589","title":"Model Comparison with Sharpe Ratios","year":2019,"lang":"en","type":"article","venue":"Journal of Financial and Quantitative Analysis","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":154,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto","funders":"","keywords":"Sharpe ratio; Portfolio; Econometrics; Ranking (information retrieval); Inference; Mathematics; Mean squared error; Economics; Measure (data warehouse); Statistics; Computer science; Financial economics; Artificial intelligence","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.04721468,0.002323531,0.002853611,0.006657408,0.001198502,0.004124143,0.003311664,0.003287348,0.01143519],"category_scores_gemma":[0.285295,0.0008221572,0.004288375,0.003124535,0.002906996,0.007767501,0.004950083,0.004932218,0.001519873],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001581531,"about_ca_system_score_gemma":0.001765046,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002317875,"about_ca_topic_score_gemma":0.001352088,"domain_scores_codex":[0.9655309,0.02621503,0.00134212,0.002667079,0.003482794,0.0007621129],"domain_scores_gemma":[0.7495435,0.2115854,0.008832664,0.02274496,0.006088564,0.001204973],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0007587234,0.0002773628,0.01387503,0.0006933964,0.002197203,0.0005708662,0.0003895559,0.4921527,0.001409787,0.3971959,0.008825372,0.08165406],"study_design_scores_gemma":[0.00011865,0.0004335669,0.00238656,0.00008939904,0.0002359322,0.0002792416,0.0001322256,0.6181448,0.001415355,0.3737513,0.002928108,0.00008487525],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.04334412,0.001896107,0.9444682,0.001126243,0.0002640634,0.0001909185,0.0009335701,0.0009981428,0.006778557],"genre_scores_gemma":[0.777811,0.001397885,0.2136567,0.0008563103,0.0004422873,0.000573218,0.00290157,0.0005898913,0.001771183],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.04721468,"threshold_uncertainty_score":0.2496981,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05196756307253343,"score_gpt":0.263165170481,"score_spread":0.2111976074084665,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}