{"bp":[0,10,25,50,100],"meta":{"built_at":"2026-09-28T19:20:49Z","exhibit":"Figure 3 and Table IV of the September 2026 working paper","note":"The sample contains 179 monthly formation decisions from January 2011 through November 2025, with returns realized from February 2011 through December 2025. SR-weighted denotes the training-Sharpe-weighted ridge adaptation; LOO ridge is leave-one-out-selected ridge; UPSA is Universal Portfolio Shrinkage. Each panel varies one-way costs per traded dollar for the original representation, theme balancing and fivefold value replication. The vertical axis is annual arithmetic mean excess return in percent. Each rate has a separate self-financing cash and return-drift account; target-weight rules remain fixed. The stock gross cap is two and primary missing outcomes receive zero vendor excess return. The curves do not include optimized trade scheduling, borrow fees or market impact.","pipeline_version":"1.0.0","source_files":["summary.csv"],"source_release":"Characteristic Libraries and Portfolio Decisions, results package r3 (2026-09-16)"},"methods":["Blocked ridge","SR-weighted","LOO ridge","UPSA"],"reps":["Original","Balanced","Value copies"],"series":[{"mean":[2.773,1.413,-0.63,-4.044,-10.907],"method":"Blocked ridge","rep":"Original","turnover":1.131},{"mean":[2.626,1.195,-0.955,-4.547,-11.77],"method":"Blocked ridge","rep":"Balanced","turnover":1.19},{"mean":[1.996,0.687,-1.28,-4.567,-11.175],"method":"Blocked ridge","rep":"Value copies","turnover":1.089},{"mean":[3.664,2.203,0.007,-3.662,-11.043],"method":"SR-weighted","rep":"Original","turnover":1.215},{"mean":[3.069,1.577,-0.666,-4.414,-11.952],"method":"SR-weighted","rep":"Balanced","turnover":1.241},{"mean":[2.907,1.422,-0.811,-4.542,-12.049],"method":"SR-weighted","rep":"Value copies","turnover":1.236},{"mean":[4.535,2.996,0.684,-3.18,-10.95],"method":"LOO ridge","rep":"Original","turnover":1.28},{"mean":[4.777,3.196,0.82,-3.151,-11.135],"method":"LOO ridge","rep":"Balanced","turnover":1.315},{"mean":[4.796,3.302,1.058,-2.692,-10.231],"method":"LOO ridge","rep":"Value copies","turnover":1.242},{"mean":[4.792,3.317,1.102,-2.601,-10.044],"method":"UPSA","rep":"Original","turnover":1.227},{"mean":[4.754,3.22,0.915,-2.936,-10.681],"method":"UPSA","rep":"Balanced","turnover":1.276},{"mean":[5.066,3.629,1.471,-2.135,-9.383],"method":"UPSA","rep":"Value copies","turnover":1.195}]}