Portfolio statistical estimation on Financial Returns Out-of-sample (test)
0.0135Mean ReturnTest Real Data
Evaluation Results
| Method | Links | ||||
|---|---|---|---|---|---|
| Test Real DataPortfolio=Risk Parity2026.02 | 0.0135 | 0.026 | -0.0363 | -0.0155 | |
| Test Real DataPortfolio=Equal Weight2026.02 | 0.0133 | 0.0322 | -0.0385 | -0.0256 | |
| Test Real DataPortfolio=Min Variance2026.02 | 0.0131 | 0.024 | -0.0247 | -0.0165 | |
| CDG-MCLPortfolio=Min Variance, eta=2.002026.02 | 0.0051 | 0.0245 | -0.0348 | -0.0291 | |
| CDG-MLPortfolio=Min Variance, eta=1502026.02 | 0.0049 | 0.0246 | -0.0349 | -0.0298 | |
| CDG-MCLPortfolio=Risk Parity, eta=2.002026.02 | 0.0037 | 0.0237 | -0.0374 | -0.0261 | |
| CDG-MLPortfolio=Risk Parity, eta=1502026.02 | 0.0034 | 0.0238 | -0.0376 | -0.0266 | |
| CDG-MCLPortfolio=Equal Weight, eta=2.002026.02 | 0.0027 | 0.0277 | -0.0393 | -0.0367 | |
| CDG-MLPortfolio=Equal Weight, eta=1502026.02 | 0.0022 | 0.0278 | -0.0397 | -0.0373 |