Portfolio Performance Evaluation on Value-weighted decile portfolios (out-of-sample)
0.938Return (P1)EInformer
Evaluation results
| Method | Links | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| EInformerModel Category=Temporal Models, Metric=Avg2026.06 | 0.938 | 0.758 | 0.815 | 0.801 | 0.643 | 0.632 | 0.605 | 0.434 | -0.146 | -0.911 | 1.85 | 1.501 | — | |
| LANNModel Category=Temporal Models, Metric=Avg2026.06 | 0.934 | 0.809 | 0.825 | 0.821 | 0.657 | 0.646 | 0.575 | 0.427 | -0.174 | -1.039 | 1.973 | 1.625 | — | |
| LinearModel Category=Point-wise Models, Metric=Avg2026.06 | 0.931 | 0.804 | 0.761 | 0.83 | 0.534 | 0.587 | 0.469 | 0.461 | -0.193 | -0.887 | 1.818 | 1.477 | — | |
| DLinearModel Category=Temporal Models, Metric=Avg2026.06 | 0.928 | 0.767 | 0.785 | 0.827 | 0.646 | 0.643 | 0.591 | 0.503 | -0.234 | -0.947 | 1.876 | 1.516 | — | |
| NNModel Category=Point-wise Models, Metric=Avg2026.06 | 0.926 | 0.764 | 0.741 | 0.82 | 0.535 | 0.538 | 0.651 | 0.314 | -0.223 | -0.901 | 1.827 | 1.51 | — | |
| LSTMModel Category=Temporal Models, Metric=Avg2026.06 | 0.926 | 0.83 | 0.807 | 0.843 | 0.623 | 0.645 | 0.64 | 0.38 | -0.146 | -1.108 | 2.034 | 1.72 | — | |
| SGAModel Category=Spatial-temporal Models, Metric=Avg2026.06 | 0.918 | 0.8 | 0.83 | 0.797 | 0.693 | 0.679 | 0.554 | 0.346 | -0.049 | -1.251 | 2.169 | 1.812 | — | |
| GASModel Category=Econometric Models, Metric=Avg2026.06 | 0.917 | 0.831 | 0.767 | 0.785 | 0.678 | 0.636 | 0.693 | 0.513 | 0.097 | -0.705 | 1.621 | 1.217 | — | |
| GRUModel Category=Temporal Models, Metric=Avg2026.06 | 0.916 | 0.855 | 0.836 | 0.831 | 0.679 | 0.656 | 0.586 | 0.447 | -0.212 | -0.944 | 1.86 | 1.536 | — | |
| DInformerModel Category=Temporal Models, Metric=Avg2026.06 | 0.913 | 0.807 | 0.776 | 0.841 | 0.625 | 0.646 | 0.548 | 0.512 | -0.149 | -0.949 | 1.862 | 1.519 | — | |
| InformerModel Category=Temporal Models, Metric=Avg2026.06 | 0.908 | 0.816 | 0.796 | 0.835 | 0.609 | 0.632 | 0.615 | 0.464 | -0.133 | -1.095 | 2.002 | 1.68 | — | |
| ReSGAModel Category=Spatial-temporal Models, Metric=Avg2026.06 | 0.905 | 0.806 | 0.868 | 0.819 | 0.697 | 0.702 | 0.552 | 0.336 | -0.069 | -1.308 | 2.213 | 1.842 | — | |
| GARCHModel Category=Econometric Models, Metric=Avg2026.06 | 0.899 | 0.809 | 0.837 | 0.806 | 0.714 | 0.712 | 0.556 | 0.539 | 0.037 | -0.496 | 1.395 | 1.012 | — | |
| EInformerModel Category=Temporal Models, Metric=SR2026.06 | 0.737 | 0.582 | 0.555 | 0.494 | 0.373 | 0.35 | 0.321 | 0.199 | -0.055 | -0.279 | 0.678 | — | 0.029 | |
| LinearModel Category=Point-wise Models, Metric=SR2026.06 | 0.732 | 0.597 | 0.5 | 0.51 | 0.306 | 0.328 | 0.264 | 0.217 | -0.076 | -0.274 | 0.673 | — | 0.03 | |
| LANNModel Category=Temporal Models, Metric=SR2026.06 | 0.731 | 0.612 | 0.551 | 0.5 | 0.38 | 0.356 | 0.307 | 0.196 | -0.066 | -0.317 | 0.723 | — | 0.019 | |
| DLinearModel Category=Temporal Models, Metric=SR2026.06 | 0.725 | 0.59 | 0.527 | 0.513 | 0.372 | 0.355 | 0.314 | 0.231 | -0.088 | -0.292 | 0.691 | — | 0.032 | |
| LSTMModel Category=Temporal Models, Metric=SR2026.06 | 0.722 | 0.643 | 0.552 | 0.525 | 0.362 | 0.354 | 0.343 | 0.175 | -0.055 | -0.338 | 0.744 | — | 0.01 | |
| NNModel Category=Point-wise Models, Metric=SR2026.06 | 0.72 | 0.582 | 0.491 | 0.494 | 0.307 | 0.307 | 0.357 | 0.148 | -0.087 | -0.272 | 0.659 | — | 0.035 | |
| SGAModel Category=Spatial-temporal Models, Metric=SR2026.06 | 0.719 | 0.612 | 0.566 | 0.5 | 0.403 | 0.38 | 0.29 | 0.16 | -0.018 | -0.378 | 0.78 | — | 0.013 | |
| DInformerModel Category=Temporal Models, Metric=SR2026.06 | 0.714 | 0.604 | 0.509 | 0.508 | 0.363 | 0.356 | 0.292 | 0.236 | -0.056 | -0.294 | 0.689 | — | 0.023 | |
| GRUModel Category=Temporal Models, Metric=SR2026.06 | 0.713 | 0.658 | 0.575 | 0.519 | 0.393 | 0.362 | 0.312 | 0.205 | -0.082 | -0.286 | 0.671 | — | 0.03 | |
| ReSGAModel Category=Spatial-temporal Models, Metric=SR2026.06 | 0.71 | 0.613 | 0.585 | 0.51 | 0.401 | 0.391 | 0.291 | 0.153 | -0.026 | -0.392 | 0.787 | — | 0.013 | |
| InformerModel Category=Temporal Models, Metric=SR2026.06 | 0.709 | 0.623 | 0.531 | 0.51 | 0.355 | 0.349 | 0.328 | 0.212 | -0.05 | -0.329 | 0.719 | — | 0.013 | |
| GASModel Category=Econometric Models, Metric=SR2026.06 | 0.703 | 0.655 | 0.587 | 0.519 | 0.394 | 0.348 | 0.357 | 0.238 | 0.038 | -0.237 | 0.672 | — | 0.051 | |
| GARCHModel Category=Econometric Models, Metric=SR2026.06 | 0.695 | 0.63 | 0.629 | 0.546 | 0.418 | 0.387 | 0.285 | 0.252 | 0.015 | -0.161 | 0.562 | — | 0.128 |