Benchmark strategy comparison
| Strategy | Sharpe ratio | Approval rate | Portfolio return (%) | Portfolio volatility (%) |
|---|---|---|---|---|
| Oracle (perfect default prediction) | 0.9658 | 0.80 | 3.7543 | 2.4255 |
| Approve-all | −0.1536 | 1.00 | −0.3225 | 11.2890 |
| Reject-all | 0.0000 | 0.00 | 1.4117 | 0.6057 |
| Decile model (50-run mean) | 0.0919 | 0.27 | 1.7264 | 3.4381 |
| Strategy | Sharpe ratio | Approval rate | Portfolio return (%) | Portfolio volatility (%) |
|---|---|---|---|---|
| Oracle (perfect default prediction) | 0.9658 | 0.80 | 3.7543 | 2.4255 |
| Approve-all | −0.1536 | 1.00 | −0.3225 | 11.2890 |
| Reject-all | 0.0000 | 0.00 | 1.4117 | 0.6057 |
| Decile model (50-run mean) | 0.0919 | 0.27 | 1.7264 | 3.4381 |
Note(s): * Statistics for the decile model are averaged over 50 repetitions, The Oracle benchmark assumes perfect ex ante prediction of default status