{"id":"W4393965506","doi":"10.1016/j.jfineco.2024.103837","title":"In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models","year":2024,"lang":"en","type":"article","venue":"Journal of Financial Economics","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":28,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Toronto","funders":"","keywords":"Sharpe ratio; Capital asset pricing model; Sample (material); Econometrics; Economics; Asset (computer security); Financial economics; Actuarial science; Computer science; Portfolio; Physics","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":[0.01972057,0.001384785,0.002054624,0.001134893,0.0006248221,0.002968611,0.002638077,0.001695274,0.004093657],"category_scores_gemma":[0.08279263,0.0009902564,0.00155214,0.0005874394,0.001370976,0.00522568,0.001315235,0.003486069,0.0005653261],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0008232186,"about_ca_system_score_gemma":0.0007927759,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00318134,"about_ca_topic_score_gemma":0.003335959,"domain_scores_codex":[0.9967991,0.002121606,0.0001633515,0.0004316975,0.0002138858,0.0002702834],"domain_scores_gemma":[0.8805482,0.1056263,0.003691847,0.005548703,0.003066179,0.00151873],"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":[0.005792418,0.002120762,0.097672,0.0008114071,0.00344959,0.001905679,0.001240166,0.7138869,0.00408346,0.07198469,0.01468466,0.08236837],"study_design_scores_gemma":[0.0001453218,0.0002913401,0.01339585,0.00003041252,0.0003413147,0.0001607517,0.0001827431,0.963801,0.001392057,0.01949056,0.0006839271,0.0000847274],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.8902041,0.002045862,0.1014526,0.001146629,0.0002444136,0.00008071613,0.0007009763,0.0005551452,0.003569688],"genre_scores_gemma":[0.9902686,0.0004616936,0.006212201,0.0001350084,0.000186586,0.00002850608,0.0008465301,0.0001326144,0.001728175],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.01972057,"threshold_uncertainty_score":0.1042936,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06585734863599116,"score_gpt":0.2542702507508807,"score_spread":0.1884129021148896,"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."}}