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Portfolio Performance Evaluation on Value-weighted decile portfolios (out-of-sample)

0.938Return (P1)

EInformer

Updated 1mo ago

Evaluation Results

Method
EInformer 2026.06	0.938	0.758	0.815	0.801	0.643	0.632	0.605	0.434	-0.146	-0.911	1.85	1.501	-
LANN 2026.06	0.934	0.809	0.825	0.821	0.657	0.646	0.575	0.427	-0.174	-1.039	1.973	1.625	-
Linear 2026.06	0.931	0.804	0.761	0.83	0.534	0.587	0.469	0.461	-0.193	-0.887	1.818	1.477	-
DLinear 2026.06	0.928	0.767	0.785	0.827	0.646	0.643	0.591	0.503	-0.234	-0.947	1.876	1.516	-
NN 2026.06	0.926	0.764	0.741	0.82	0.535	0.538	0.651	0.314	-0.223	-0.901	1.827	1.51	-
LSTM 2026.06	0.926	0.83	0.807	0.843	0.623	0.645	0.64	0.38	-0.146	-1.108	2.034	1.72	-
SGA 2026.06	0.918	0.8	0.83	0.797	0.693	0.679	0.554	0.346	-0.049	-1.251	2.169	1.812	-
GAS 2026.06	0.917	0.831	0.767	0.785	0.678	0.636	0.693	0.513	0.097	-0.705	1.621	1.217	-
GRU 2026.06	0.916	0.855	0.836	0.831	0.679	0.656	0.586	0.447	-0.212	-0.944	1.86	1.536	-
DInformer 2026.06	0.913	0.807	0.776	0.841	0.625	0.646	0.548	0.512	-0.149	-0.949	1.862	1.519	-
Informer 2026.06	0.908	0.816	0.796	0.835	0.609	0.632	0.615	0.464	-0.133	-1.095	2.002	1.68	-
ReSGA 2026.06	0.905	0.806	0.868	0.819	0.697	0.702	0.552	0.336	-0.069	-1.308	2.213	1.842	-
GARCH 2026.06	0.899	0.809	0.837	0.806	0.714	0.712	0.556	0.539	0.037	-0.496	1.395	1.012	-
EInformer 2026.06	0.737	0.582	0.555	0.494	0.373	0.35	0.321	0.199	-0.055	-0.279	0.678	-	0.029
Linear 2026.06	0.732	0.597	0.5	0.51	0.306	0.328	0.264	0.217	-0.076	-0.274	0.673	-	0.03
LANN 2026.06	0.731	0.612	0.551	0.5	0.38	0.356	0.307	0.196	-0.066	-0.317	0.723	-	0.019
DLinear 2026.06	0.725	0.59	0.527	0.513	0.372	0.355	0.314	0.231	-0.088	-0.292	0.691	-	0.032
LSTM 2026.06	0.722	0.643	0.552	0.525	0.362	0.354	0.343	0.175	-0.055	-0.338	0.744	-	0.01
NN 2026.06	0.72	0.582	0.491	0.494	0.307	0.307	0.357	0.148	-0.087	-0.272	0.659	-	0.035
SGA 2026.06	0.719	0.612	0.566	0.5	0.403	0.38	0.29	0.16	-0.018	-0.378	0.78	-	0.013
DInformer 2026.06	0.714	0.604	0.509	0.508	0.363	0.356	0.292	0.236	-0.056	-0.294	0.689	-	0.023
GRU 2026.06	0.713	0.658	0.575	0.519	0.393	0.362	0.312	0.205	-0.082	-0.286	0.671	-	0.03
ReSGA 2026.06	0.71	0.613	0.585	0.51	0.401	0.391	0.291	0.153	-0.026	-0.392	0.787	-	0.013
Informer 2026.06	0.709	0.623	0.531	0.51	0.355	0.349	0.328	0.212	-0.05	-0.329	0.719	-	0.013
GAS 2026.06	0.703	0.655	0.587	0.519	0.394	0.348	0.357	0.238	0.038	-0.237	0.672	-	0.051
GARCH 2026.06	0.695	0.63	0.629	0.546	0.418	0.387	0.285	0.252	0.015	-0.161	0.562	-	0.128