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Portfolio Optimization on FF100MEINV T=120 (Sharpe ratio)

0.2293Sharpe Ratio

mSSRM-PGA

Updated 4d ago

Evaluation Results

Method	Links
mSSRM-PGA 2024.10		0.2293
mSSRM-PGA 2024.10		0.2292
PLCT 2024.10		0.2279
mSSRM-PGA 2024.10		0.2271
1/N 2024.10		0.2151
IPSRM-D 2024.10		0.1712
SSMP 2024.10		0.1495
MAXER 2024.10		0.1479
SPOLC 2024.10		0.1218
S3 2024.10		0.1215
S2 2024.10		0.1203
SSPO 2024.10		0.1109
S1 2024.10		0.0999