The Sharpe ratios of long-short portfolios sorted by predictions. (IMAGE)

KeAi Communications Co., Ltd.

The Sharpe ratios of long-short portfolios sorted by predictions.

Caption

They depend on three dimensions: the horizon of returns (x-axis), the depth of samples (colours) and the holding period (rows).

Credit

Guillaume Coqueret.

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License

CC BY-NC-ND

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