Portfolio Optimization on S&P 500 Minimum Variance Portfolios benchmark leaderboard · SOTA2 Research

Portfolio Optimization on S&P 500 Minimum Variance Portfolios

10,694.3VAMIDRO-ACC

Evaluation Results

Method	Links
DRO-ACC2022.12		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-ACC2022.12		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-medoids2022.12		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-OMP2022.12		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-ENSC2022.12		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
MFC2022.12		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
LRR2022.12		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
SSC2022.12		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
ACC2022.12		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
SPY2022.12		3,376.29	55.19	869	0.36	0.56	0.12	18.63	11.81	1	1	6.63	2,626	2,148