We research which agency traits drive the financial worth of machine studying portfolios. Three outcomes stand out. First, in-sample variable significance overfits and gives little dependable steerage, highlighting the necessity for out-of-sample analysis utilizing financial standards. Second, standard fashions are dominated by microcaps, which inflate returns and focus good points in costly-to-trade shares; excluding microcaps is crucial for significant inference. Third, some predictors carry unfavourable significance and persistently degrade efficiency; eradicating them improves risk-adjusted returns and clarifies which traits matter. These findings present that solely with financial restrictions can machine studying ship sturdy asset pricing insights.