We thank Andrew Chen (discussant), Ingrid Tierens, Stefan Nagel, and conference and seminar participants at The Future of AI in Asset Management Conference at Chicago Booth, the ABFR Seminar, Baruch College, Columbia University, and the University of Utah for helpful feedback and suggestions. For financial support, Koijen thanks the Center for Research in Security Prices at the University of Chicago and the Fama Research Fund at the University of Chicago Booth School of Business. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.