Can Claude as a leading representative of large language models, easily beat the Simple Asset Class ETF Momentum Strategy (SACEMS)? To investigate, we pose the following prompt to Claude:
Please take the month-end dividend-adjusted prices in the attached Excel file [the SACEMS universe] and construct the best strategy you can find that:
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- Holds one or more of the assets listed in combinations and at times of your choosing.
- Considers both simplicity and avoidance of overfitting.
Initiate your portfolio at the end of February 2007. Focus on compound annual growth rate (CAGR), annual Sharpe ratio and maximum drawdown (MaxDD) as key performance metrics.
Using the SACEMS dividend-adjusted asset class ETF price dataset and Claude's response to this prompt, we find that:
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