*5.1. Dataset*

In the experiments, we use well-known academic benchmarks called Fama and French (FF) datasets [39] to ensure the reproducibility of the experiment. This FF dataset is public and is readily available to anyone (https://mba.tuck.dartmouth.edu/pages/faculty/ken. french/data\_library.html). The FF datasets have been recognized as standard datasets and are heavily adopted in finance research because of their extensive coverage of asset classes and very long historical data series. We use FF25, FF48 and FF100 dataset. For

example, the FF25 and FF100 dataset include 25 and 100 portfolios formed based on size and book-to-market ratio, while the FF48 dataset contains monthly returns of 48 portfolios representing different industrial sectors. We use all datasets as monthly data from January 1989 to June 2020.
