Before revision:  Using a diverse group of econometric and portfolio models across multiple datasets, we show that a majority of models achieve significantly higher Sharpe ratios and lower portfolio volatility  relative to the na\"{\i rule, even after controlling for turnover costs.
After revision:  Using a diverse group of econometric and portfolio models across multiple datasets, we show that a majority of models achieve significantly higher Sharpe ratios and lower portfolio volatility relative to the naive rule, even after controlling for turnover costs.