# Portfolio Optimization on S&P 500 constituents (test)

Source: [Portfolio Optimization on S&P 500 constituents (test)](<https://www.sota2.com/research/sota/portfolio-optimization-on-s-and-p-500-constituents-test>)

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

Data updated: 2026-02-26T05:35:30.025Z

Evaluation of Portfolio Optimization strategies applied to the test split of S&P 500 constituent stock data, assessed using financial performance metrics including Average Loss, Sharpe Ratio, Mean return, Standard Deviation, and Conditional Value at Risk (CVaR).

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) | S&P 500 constituents (test) |
| Metric | Average Loss |
| Unit | SCALAR |
| Direction | Lower is better |
| Results loaded | 30 of 30 |
| 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

- [Average Loss](<https://www.sota2.com/research/sota/portfolio-optimization-on-s-and-p-500-constituents-test.md?metric=Average%20Loss>): Lower is better; unit: SCALAR.

- [Sharpe Ratio](<https://www.sota2.com/research/sota/portfolio-optimization-on-s-and-p-500-constituents-test.md?metric=Sharpe%20Ratio>): Higher is better; unit: SCALAR.

- [Mean Return](<https://www.sota2.com/research/sota/portfolio-optimization-on-s-and-p-500-constituents-test.md?metric=Mean%20Return>): Higher is better; unit: SCALAR.

- [Standard Deviation](<https://www.sota2.com/research/sota/portfolio-optimization-on-s-and-p-500-constituents-test.md?metric=Standard%20Deviation>): Lower is better; unit: SCALAR.

- [CVaR](<https://www.sota2.com/research/sota/portfolio-optimization-on-s-and-p-500-constituents-test.md?metric=CVaR>): Lower is better; unit: SCALAR.

## Recorded results

| Method | Average Loss | Result date | Report paper |
| --- | --- | --- | --- |
| PT | -1.943 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| PT | -1.234 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| PT | -0.569 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| PT | 0.016 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| PT | 0.468 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| 2-DRO-CMV | 0.618 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| 1-DRO-CMV | 0.698 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| CMV | 0.752 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| 1-DRO-CMV | 0.775 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| 1-DRO-CMV | 0.8 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| 2-DRO-CMV | 0.823 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| CMV | 0.836 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| 2-DRO-CMV | 0.851 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| MV | 0.861 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| CMV | 0.865 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| MV | 0.874 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| EW | 0.879 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| MV | 0.89 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| 2-DRO-CMV | 0.895 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| CMV | 0.895 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| 2-DRO-CMV | 0.925 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| 1-DRO-CMV | 0.929 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| MV | 0.936 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| 1-DRO-CMV | 0.95 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| CMV | 0.984 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| MV | 1.009 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| EW | 1.016 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| EW | 1.152 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| EW | 1.288 | Not recorded | 696dba8be25ad2fa9d1ecd8b |
| EW | 1.425 | Not recorded | 696dba8be25ad2fa9d1ecd8b |

### PT

Average Loss: -1.943. Result ID: 699a321e5698665ec4b7f039.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"9"}. This record does not assert independent reproduction.

### PT

Average Loss: -1.234. Result ID: 699a321e5698665ec4b7f033.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"7"}. This record does not assert independent reproduction.

### PT

Average Loss: -0.569. Result ID: 699a321e5698665ec4b7f02d.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"5"}. This record does not assert independent reproduction.

### PT

Average Loss: 0.016. Result ID: 699a321e5698665ec4b7f027.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"3"}. This record does not assert independent reproduction.

### PT

Average Loss: 0.468. Result ID: 699a321e5698665ec4b7f021.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"1"}. This record does not assert independent reproduction.

### 2-DRO-CMV

Average Loss: 0.618. Result ID: 699a321e5698665ec4b7f03e.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

[Method origin paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"9"}. This record does not assert independent reproduction.

### 1-DRO-CMV

Average Loss: 0.698. Result ID: 699a321e5698665ec4b7f03d.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

[Method origin paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"9"}. This record does not assert independent reproduction.

### CMV

Average Loss: 0.752. Result ID: 699a321e5698665ec4b7f03c.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"9"}. This record does not assert independent reproduction.

### 1-DRO-CMV

Average Loss: 0.775. Result ID: 699a321e5698665ec4b7f037.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

[Method origin paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"7"}. This record does not assert independent reproduction.

### 1-DRO-CMV

Average Loss: 0.8. Result ID: 699a321e5698665ec4b7f031.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

[Method origin paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"5"}. This record does not assert independent reproduction.

### 2-DRO-CMV

Average Loss: 0.823. Result ID: 699a321e5698665ec4b7f038.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

[Method origin paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"7"}. This record does not assert independent reproduction.

### CMV

Average Loss: 0.836. Result ID: 699a321e5698665ec4b7f030.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"5"}. This record does not assert independent reproduction.

### 2-DRO-CMV

Average Loss: 0.851. Result ID: 699a321e5698665ec4b7f032.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

[Method origin paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"5"}. This record does not assert independent reproduction.

### MV

Average Loss: 0.861. Result ID: 699a321e5698665ec4b7f03b.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"9"}. This record does not assert independent reproduction.

### CMV

Average Loss: 0.865. Result ID: 699a321e5698665ec4b7f02a.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"3"}. This record does not assert independent reproduction.

### MV

Average Loss: 0.874. Result ID: 699a321e5698665ec4b7f035.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"7"}. This record does not assert independent reproduction.

### EW

Average Loss: 0.879. Result ID: 699a321e5698665ec4b7f03a.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"9"}. This record does not assert independent reproduction.

### MV

Average Loss: 0.89. Result ID: 699a321e5698665ec4b7f02f.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"5"}. This record does not assert independent reproduction.

### 2-DRO-CMV

Average Loss: 0.895. Result ID: 699a321e5698665ec4b7f02c.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

[Method origin paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"3"}. This record does not assert independent reproduction.

### CMV

Average Loss: 0.895. Result ID: 699a321e5698665ec4b7f036.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"7"}. This record does not assert independent reproduction.

### 2-DRO-CMV

Average Loss: 0.925. Result ID: 699a321e5698665ec4b7f026.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

[Method origin paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"1"}. This record does not assert independent reproduction.

### 1-DRO-CMV

Average Loss: 0.929. Result ID: 699a321e5698665ec4b7f02b.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

[Method origin paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"3"}. This record does not assert independent reproduction.

### MV

Average Loss: 0.936. Result ID: 699a321e5698665ec4b7f029.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"3"}. This record does not assert independent reproduction.

### 1-DRO-CMV

Average Loss: 0.95. Result ID: 699a321e5698665ec4b7f025.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

[Method origin paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"1"}. This record does not assert independent reproduction.

### CMV

Average Loss: 0.984. Result ID: 699a321e5698665ec4b7f024.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"1"}. This record does not assert independent reproduction.

### MV

Average Loss: 1.009. Result ID: 699a321e5698665ec4b7f023.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"1"}. This record does not assert independent reproduction.

### EW

Average Loss: 1.016. Result ID: 699a321e5698665ec4b7f034.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"7"}. This record does not assert independent reproduction.

### EW

Average Loss: 1.152. Result ID: 699a321e5698665ec4b7f02e.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"5"}. This record does not assert independent reproduction.

### EW

Average Loss: 1.288. Result ID: 699a321e5698665ec4b7f028.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"3"}. This record does not assert independent reproduction.

### EW

Average Loss: 1.425. Result ID: 699a321e5698665ec4b7f022.

[Reporting paper](<https://www.sota2.com/research/paper/696dba8be25ad2fa9d1ecd8b.md>)

Recorded evaluation configuration: {"ω":"1"}. This record does not assert independent reproduction.

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