Before revision:  Empirically, our approach outperforms out-of-sample all other benchmark approaches: Our optimal portfolio has an annual Sharpe Ratio of 2.1 , we explain 8\% of the variation in individual stock returns and explain over 90\% of average returns for all anomaly sorted portfolios.
After revision:  Empirically, our approach outperforms out-of-sample all other benchmark approaches: Our optimal portfolio has an annual Sharpe Ratio of 2.6 , we explain 8\% of the variation in individual stock returns and explain over 90\% of average returns for all anomaly sorted portfolios.