Machine learning models predicting the bioactivity of chemical compounds belong nowadays to the standard tools of cheminformaticians and computational medicinal chemists. Multi-task and federated learning are promising machine learning approaches that allow privacy-preserving usage of large amounts of data from diverse sources, which is crucial for achieving good generalization and high-performance results. Using large, real world data sets from six pharmaceutical companies, here we investigate different strategies for averaging weighted task loss functions to train multi-task bioactivity classification models. The weighting strategies shall be suitable for federated learning and ensure that learning efforts are well distributed even if data are diverse. Comparing several approaches using weights that depend on the number of sub-tasks per assay, task size, and class balance, respectively, we find that a simple sub-task weighting approach leads to robust model performance for all investigated data sets and is especially suited for federated learning.