# Portfolio Optimization on FF100MEINV (T=120)

Source: [Portfolio Optimization on FF100MEINV (T=120)](<https://www.sota2.com/research/sota/portfolio-optimization-on-ff100meinv-t-120>)

Collection index: [llms.txt](<https://www.sota2.com/research/llms.txt>)

Data updated: 2026-02-26T05:40:08.467Z

Evaluation of models for Portfolio Optimization using the FF100MEINV dataset configuration with time horizon T=120, typically measured by Cumulative Wealth.

A research result applies to its stated dataset, split, metric and evaluation configuration. Compare like-for-like settings, preserve the metric's unit and direction, and distinguish paper-reported results from independent reproduction. The best result recorded here is not a claim of exhaustive, current global coverage.

| Scope | Recorded value |
| --- | --- |
| Task | Portfolio Optimization |
| Dataset (including any stated split) | FF100MEINV (T=120) |
| Metric | Cumulative Wealth |
| Unit | SCALAR |
| Direction | Higher is better |
| Results loaded | 13 of 13 |
| Coverage | All results currently returned for this benchmark |

Evaluation settings may differ between results. The original papers and recorded configurations are needed to establish comparability. A shared metric name alone does not establish an identical protocol.

## Metrics

- [Cumulative Wealth](<https://www.sota2.com/research/sota/portfolio-optimization-on-ff100meinv-t-120.md?metric=Cumulative%20Wealth>): Higher is better; unit: SCALAR.

## Recorded results

| Method | Cumulative Wealth | Result date | Report paper |
| --- | --- | --- | --- |
| mSSRM-PGA | 435.01 | Not recorded | 68fa5c851e209131ce9d1c43 |
| mSSRM-PGA | 433.15 | Not recorded | 68fa5c851e209131ce9d1c43 |
| 1/N | 428.7 | Not recorded | 68fa5c851e209131ce9d1c43 |
| mSSRM-PGA | 421.97 | Not recorded | 68fa5c851e209131ce9d1c43 |
| PLCT | 399.48 | Not recorded | 68fa5c851e209131ce9d1c43 |
| SSMP | 222.35 | Not recorded | 68fa5c851e209131ce9d1c43 |
| MAXER | 188.54 | Not recorded | 68fa5c851e209131ce9d1c43 |
| IPSRM-D | 188.34 | Not recorded | 68fa5c851e209131ce9d1c43 |
| S2 | 43.66 | Not recorded | 68fa5c851e209131ce9d1c43 |
| S3 | 38.7 | Not recorded | 68fa5c851e209131ce9d1c43 |
| SPOLC | 36.2 | Not recorded | 68fa5c851e209131ce9d1c43 |
| SSPO | 25.62 | Not recorded | 68fa5c851e209131ce9d1c43 |
| S1 | 15.57 | Not recorded | 68fa5c851e209131ce9d1c43 |

### mSSRM-PGA

Cumulative Wealth: 435.01. Result ID: 698bb6577a967eddb770cb56.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

[Method origin paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

[Implementation](<https://github.com/linyizun2024/mSSRM/tree/main/Codes_for_Experiments_in_Paper>)

Recorded evaluation configuration: {"m":"15"}. This record does not assert independent reproduction.

### mSSRM-PGA

Cumulative Wealth: 433.15. Result ID: 698bb6577a967eddb770cb57.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

[Method origin paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

[Implementation](<https://github.com/linyizun2024/mSSRM/tree/main/Codes_for_Experiments_in_Paper>)

Recorded evaluation configuration: {"m":"20"}. This record does not assert independent reproduction.

### 1/N

Cumulative Wealth: 428.7. Result ID: 698bb6577a967eddb770cb4b.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

Recorded evaluation configuration: Not recorded. This record does not assert independent reproduction.

### mSSRM-PGA

Cumulative Wealth: 421.97. Result ID: 698bb6577a967eddb770cb55.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

[Method origin paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

[Implementation](<https://github.com/linyizun2024/mSSRM/tree/main/Codes_for_Experiments_in_Paper>)

Recorded evaluation configuration: {"m":"10"}. This record does not assert independent reproduction.

### PLCT

Cumulative Wealth: 399.48. Result ID: 698bb6577a967eddb770cb54.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

Recorded evaluation configuration: Not recorded. This record does not assert independent reproduction.

### SSMP

Cumulative Wealth: 222.35. Result ID: 698bb6577a967eddb770cb51.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

[Method origin paper](<https://www.sota2.com/research/paper/68fa50081e209131ce968233.md>)

Recorded evaluation configuration: Not recorded. This record does not assert independent reproduction.

### MAXER

Cumulative Wealth: 188.54. Result ID: 698bb6577a967eddb770cb52.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

Recorded evaluation configuration: Not recorded. This record does not assert independent reproduction.

### IPSRM-D

Cumulative Wealth: 188.34. Result ID: 698bb6577a967eddb770cb53.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

Recorded evaluation configuration: Not recorded. This record does not assert independent reproduction.

### S2

Cumulative Wealth: 43.66. Result ID: 698bb6577a967eddb770cb4f.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

Recorded evaluation configuration: Not recorded. This record does not assert independent reproduction.

### S3

Cumulative Wealth: 38.7. Result ID: 698bb6577a967eddb770cb50.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

Recorded evaluation configuration: Not recorded. This record does not assert independent reproduction.

### SPOLC

Cumulative Wealth: 36.2. Result ID: 698bb6577a967eddb770cb4c.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

Recorded evaluation configuration: Not recorded. This record does not assert independent reproduction.

### SSPO

Cumulative Wealth: 25.62. Result ID: 698bb6577a967eddb770cb4d.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

Recorded evaluation configuration: Not recorded. This record does not assert independent reproduction.

### S1

Cumulative Wealth: 15.57. Result ID: 698bb6577a967eddb770cb4e.

[Reporting paper](<https://www.sota2.com/research/paper/68fa5c851e209131ce9d1c43.md>)

Recorded evaluation configuration: Not recorded. This record does not assert independent reproduction.

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