Open-Source versus Proprietary LLMs for Sentiment-Based Equity Portfolios
“Proprietary models produced the highest risk-adjusted returns, with Claude 3 Haiku reaching a Sharpe Ratio of 0.94; its successor Claude 4.5 Haiku ranked second, so the result does not rest on one now-deprecated model.”
AssetEquitiesindices
StrategyNews sentiment
TechniqueLarge language model
GeographyUS
Also stated: 2021–2025, Sharpe ratio, Alpha, Excess return, Text and news, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodNews sentiment and text signals by year
FamilyNews sentiment and text signals148Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 854
AssetEquities97
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