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Portfolio Optimization on FF100MEINV T=60 (Sharpe ratio)

0.2234Sharpe Ratio

mSSRM-PGA

Updated 4d ago

Evaluation Results

Method	Links
mSSRM-PGA 2024.10		0.2234
mSSRM-PGA 2024.10		0.2232
PLCT 2024.10		0.222
mSSRM-PGA 2024.10		0.2217
1/N 2024.10		0.2151
IPSRM-D 2024.10		0.1662
SSMP 2024.10		0.1448
S3 2024.10		0.11
S2 2024.10		0.1034
SPOLC 2024.10		0.1009
S1 2024.10		0.0879
SSPO 2024.10		0.0872