---
title: Sharpening Sharpe Analysis with Machine Learning
url: https://www.ml-quant.com/papers/ssrn/4650859/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4650859
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4650859
featured: 2023-12-06
citations: unknown
topic: ML & AI Methods
---


# Sharpening Sharpe Analysis with Machine Learning

The research shows that over 95% of mutual funds have multidimensional investment styles, and those that change their styles often outperform their new style benchmarks.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4650859
- Identifier: SSRN 4650859
- Released: 2023-10-27
- First featured: Quant Letter No. 28 (2023-12-06): https://www.ml-quant.com/issues/2023-12-06/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: ML & AI Methods

## Related

- [Quantifying A Firm's AI Engagement: Constructing Objective, Data-Driven, AI Stock Indices Using 10-K Filings](https://www.ml-quant.com/papers/doi/10-1016-j-techfore-2024-123965/): A new method using natural language processing (NLP) has been suggested for classifying AI stocks, providing a cost-effective alternative that outperforms existing AI-themed ETFs.
- [Boosting Fund Performance](https://www.ml-quant.com/papers/ssrn/4697785/): Mutual funds that match their investments with similar benchmark peers like the S&P 500 index yield higher returns and experience less volatility.
- [Machine Learning in Fund Classification](https://www.ml-quant.com/papers/ssrn/4794900/): The paper uses machine learning to categorize hedge funds, finding that those classified as systematic yield higher excess returns.
- [Predicting Fund Survival with Neural Networks](https://www.ml-quant.com/papers/repec/gam-jmathe-v-9-y-2021-i-6-p-695-d-522910/): Neural networks predict mutual fund survival with 87% accuracy.
- [Generalized Factor Neural Network Model for High-dimensional Regression](https://www.ml-quant.com/papers/arxiv/2502.11310/): A novel method combining non-parametric regression, factor models, and neural networks has been introduced, showing effectiveness in predicting equity ETF indices prices and macroeconomic data.
- [AI Impact on Investments](https://www.ml-quant.com/papers/ssrn/5224162/): AI technology adoption by mutual fund managers leads to superior returns and lower expenses, especially in discretionary funds.