ResearchBenchmarksPortfolio Optimization on FF49 T=120 (Sharpe ratio)Follow0.2057Sharpe Ratio1/N0.0542760.0935880.13290.172212Oct 28, 2024Evaluation ResultsMethodMethodLinksSharpe Ratio1/N2024.100.2057mSSRM-PGAm=10m=102024.100.2041mSSRM-PGAm=20m=202024.100.2041mSSRM-PGAm=15m=152024.100.204PLCT2024.100.2025SSMP2024.100.1581MAXER2024.100.1433IPSRM-D2024.100.141SPOLC2024.100.1291S12024.100.0648S32024.100.0617S22024.100.0605SSPO2024.100.0601