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Portfolio Optimization on FF25 T=120 (Sharpe ratio)

0.2474Sharpe Ratio

mSSRM-PGA

Updated 1mo ago

Evaluation Results

Method	Links
mSSRM-PGA 2024.10		0.2474
mSSRM-PGA 2024.10		0.2474
mSSRM-PGA 2024.10		0.2472
PLCT 2024.10		0.2468
IPSRM-D 2024.10		0.2439
1/N 2024.10		0.2276
MAXER 2024.10		0.1921
SSMP 2024.10		0.192
SSPO 2024.10		0.1789
S1 2024.10		0.1789
S3 2024.10		0.1609
S2 2024.10		0.1578
SPOLC 2024.10		0.1545