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Papers Benchmarks Datasets Tasks

Portfolio Optimization research benchmarks – Page 4 · SOTA2 Research

Portfolio Optimization

Benchmarks

Dataset NameSOTA MethodSort

Dataset NameSOTA methodMetricTrendResultsLast Updated

24 ETFs (US sector equities, international equities, US fixed income, and commodities) plus SPY benchmark January 2023 – March 2025 (test)

8.08Annualized Return

5

May 26, 2026

Financial dataset top-100 stocks

25.02Returns

5

Apr 7, 2026

Yahoo Finance NASDAQ-100 2019-2023 (test)

243.574Cumulative Return (%)

4

May 11, 2026

Ten global equity indices Post-COVID

DRL (PPO) Optimized

0.131Return

3

Jul 9, 2026

Ten global equity indices (COVID)

NSGA-II Optimized

0.296Return

3

Jul 9, 2026

Ten global equity indices (Pre-COVID)

NSGA-II Optimized

19.63Return

3

Jul 9, 2026

Market Data (Post-COVID)

NSGA-II Optimized

13.88Return

3

Jul 9, 2026

Market Data COVID

DRL (PPO) Optimized

0.333Return

3

Jul 9, 2026

Market Data (Post-COVID regime)

NSGA-II Optimized

14.42Return

3

Jul 9, 2026

Market Data COVID regime

NSGA-II Optimized

33.55Return

3

Jul 9, 2026

Financial dataset p = 1452 (full data)

8.96Returns

3

Apr 7, 2026

Semi-real portfolio-CVaR (test)

0.006Mean Regret

2

Jun 16, 2026

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