{"id":"W4295873154","doi":"10.3905/jpm.2022.1.422","title":"Financial Anomalies in Asset Allocation: Risk Mitigation with Cross-Sectional Equity Strategies","year":2022,"lang":"en","type":"article","venue":"The Journal of Portfolio Management","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":2,"is_retracted":false,"has_abstract":true,"ca_institutions":"CARE Canada; University of Toronto","funders":"","keywords":"Portfolio; Economics; Investment style; Sharpe ratio; Equity (law); Asset allocation; Recession; Capital asset pricing model; Financial economics; Monetary economics; Macroeconomics; Return on investment","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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002545535,0.0001187716,0.0002178197,0.0002992523,0.0003276295,0.0001498596,0.000359378,0.00002555355,0.0005449494],"category_scores_gemma":[0.00002291183,0.00009863105,0.00007166422,0.0003621168,0.00009665181,0.0005432836,0.0001567245,0.0002797189,0.000008711242],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0002089509,"about_ca_system_score_gemma":0.00008312727,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001703023,"about_ca_topic_score_gemma":0.00006471775,"domain_scores_codex":[0.998664,0.00006041693,0.0007616373,0.0001436125,0.000171206,0.0001991646],"domain_scores_gemma":[0.9986742,0.00002962269,0.001049391,0.0001750912,0.00004653698,0.00002522679],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.000237084,0.0001358035,0.2924752,0.00002425224,0.00006850901,0.00003293763,0.0002587832,0.02269131,0.000002309698,0.6817686,0.001890321,0.0004149183],"study_design_scores_gemma":[0.0005721712,0.0003014086,0.8297206,0.000007806929,0.00001280882,0.00002634273,0.0007393824,0.0001956767,0.000004277017,0.1572812,0.01102689,0.00011141],"study_design_candidate":"observational","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9393667,0.0007307348,0.001683849,0.0003202246,0.0004791027,0.0002173405,0.00004703864,0.000008554742,0.05714646],"genre_scores_gemma":[0.9981524,0.0005378231,0.0003499342,0.0001863306,0.0001188612,0.00002344626,0.000009097042,0.00001007373,0.0006120055],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.5372455,"threshold_uncertainty_score":0.5966814,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02424772309146296,"score_gpt":0.2533126183295319,"score_spread":0.2290648952380689,"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."}}