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Portfolio Optimization on S&P 500 constituents (test)

-1.943Average Loss

PT

Updated 4d ago

Evaluation Results

Method	Links
PT 2026.01		-1.943	5.261	0.361	1.135	1.897
PT 2026.01		-1.234	5.36	0.345	1.075	1.818
PT 2026.01		-0.569	5.383	0.315	0.991	1.705
PT 2026.01		0.016	5.189	0.263	0.883	1.543
PT 2026.01		0.468	4.125	0.176	0.784	1.971
2-DRO-CMV 2026.01		0.618	1.253	0.074	1.113	2.33
1-DRO-CMV 2026.01		0.698	1.115	0.062	1.102	2.337
CMV 2026.01		0.752	1.141	0.052	1.081	2.265
1-DRO-CMV 2026.01		0.775	1.192	0.062	1.085	2.222
1-DRO-CMV 2026.01		0.8	1.353	0.074	1.06	2.127
2-DRO-CMV 2026.01		0.823	1.203	0.058	1.084	2.31
CMV 2026.01		0.836	1.293	0.063	1.045	2.132
2-DRO-CMV 2026.01		0.851	1.107	0.059	1.053	2.147
MV 2026.01		0.861	1.317	0.058	1.147	2.236
CMV 2026.01		0.865	1.367	0.069	1.016	2.089
MV 2026.01		0.874	1.367	0.061	1.111	2.176
EW 2026.01		0.879	1.163	0.068	1.195	2.45
MV 2026.01		0.89	1.445	0.066	1.073	2.103
2-DRO-CMV 2026.01		0.895	1.26	0.065	1.022	2.058
CMV 2026.01		0.895	0.917	0.046	1.087	2.258
2-DRO-CMV 2026.01		0.925	1.559	0.081	0.978	1.965
1-DRO-CMV 2026.01		0.929	1.387	0.072	1.044	2.109
MV 2026.01		0.936	1.512	0.069	1.037	2.033
1-DRO-CMV 2026.01		0.95	1.352	0.067	0.985	2.004
CMV 2026.01		0.984	1.156	0.061	1.003	2.108
MV 2026.01		1.009	1.578	0.072	1.008	1.971
EW 2026.01		1.016	1.163	0.068	1.195	2.45
EW 2026.01		1.152	1.163	0.068	1.195	2.45
EW 2026.01		1.288	1.163	0.068	1.195	2.45
EW 2026.01		1.425	1.163	0.068	1.195	2.45