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Portfolio Optimization on S&P 500 Minimum Variance Portfolios

10,694.3VAMI

DRO-ACC

Updated 8d ago

Evaluation Results

Method	Links
DRO-ACC 2022.12		10,694.3	27.72	194	1.05	1.73	0.48	12.73	7.71	0.78	0.53	13.32	2,608	2,166
lasso-ACC 2022.12		8,757.96	29.8	216	0.96	1.57	0.41	12.62	7.72	0.77	0.52	12.14	2,608	2,166
k-medoids 2022.12		7,701.07	31.87	250	0.9	1.46	0.36	12.69	7.81	0.8	0.55	11.38	2,595	2,179
SSC-OMP 2022.12		7,622.97	31.6	384	0.89	1.45	0.36	12.67	7.8	0.78	0.53	11.32	2,617	2,157
SSC-ENSC 2022.12		7,617.9	32.48	379	0.89	1.45	0.35	12.69	7.79	0.78	0.53	11.31	2,607	2,167
MFC 2022.12		6,935.13	34.22	262	0.85	1.38	0.31	12.6	7.78	0.8	0.54	10.76	2,595	2,179
LRR 2022.12		6,680.2	36.02	472	0.8	1.3	0.29	13.2	8.13	0.78	0.55	10.54	2,597	2,177
SSC 2022.12		5,958.39	34.91	540	0.79	1.28	0.28	12.55	7.7	0.8	0.54	9.88	2,595	2,179
ACC 2022.12		5,830.69	36.24	446	0.77	1.25	0.27	12.59	7.77	0.8	0.54	9.75	2,611	2,163
SPY 2022.12		3,376.29	55.19	869	0.36	0.56	0.12	18.63	11.81	1	1	6.63	2,626	2,148