Thank for the article, Great piece, especially the point about portfolio construction being the real edge.
For readers looking for a hands-on example, I also find out on the Internet, Articles that shows Deep Learning models with rigorous training methodology that demostrated alpha vs the benchmark.
It also documents how it behaved vs SPY and a 60/40 during 2018–2022 stress periods: https://alphaweb-93f02.web.app/en/kb/deep-learning-and-asset-allocation… withi this technical video: https://www.youtube.com/watch?v=8VLgtKfG21s

I really would like to get your point of view and feedback on it