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S&P 500

Benchmarks

Task NameDataset NameSOTA ResultTrend
Portfolio OptimizationS&P 500 constituents (test)
Average Loss-1.943
30
Directional Accuracy PredictionS&P 500 (test)
Directional Accuracy (DA)65
9
Financial Risk EstimationS&P 500 1984-06-01 to 2025-08-20 (test)
VaR-ES Score3.922
6
Financial Risk EstimationS&P 500 1984-06-01 to 2025-08-20 (val)
VaR-ES Score-3.95
6
Financial Risk EstimationS&P 500 1984-06-01 to 2025-08-20 (train)
VaR-ES Score-3.932
6
Financial Time Series ForecastingS&P 500
MAE (H1)0.5772
6
Pair TradingS&P 500 (test)
Sharpe Ratio1.84
6
Portfolio ManagementS&P 500 constituent stocks (January 2020 to June 2022)
Daily Return (x10^-1)0.052
5
Daily Return ForecastingS&P 500 IntraDay
Mean Return (Long)0.0033
5
RegressionS&P 500
MAE0.0228
4
Financial TradingS&P 500 (test)
Average Daily Return0.143
4
Stock Movement ClassificationS&P 500 (test)
Accuracy53.2
4
Concentration MeasurementS&P 500 top-20 by market cap 2015–2024
Concentration Value43.2
3
Interval EstimationS&P 500 returns (rolling evaluation horizon)
Coverage97.5
3
One-step-ahead forecastingS&P 500 returns
Mean Absolute Error2.6031
3
Synthetic return generationS&P 500 900 samples (i.i.d. pool)
KS p-value0.622
2
Directional Accuracy PredictionS&P 500 (1992-2015)
Accuracy57.8
2
Daily Return ForecastingS&P 500 Next Day
Mean Return (Long)0.0026
2
Sequential return generationS&P 500 MALA warm-start 2766 days
Return Unpredictability Metric (99% CI)99
1
Directional Accuracy PredictionS&P 500 (2015-2020)
Directional Accuracy59.2
1
Directional Accuracy PredictionS&P 500 (2010-2020)
Accuracy58.1
1
Directional Accuracy PredictionS&P 500 (2007-2017)
Directional Accuracy57.3
1
Directional Accuracy PredictionS&P 500 (2020-2023)
Accuracy60.14
1
Agent-level state transition evaluationS&P 500 Financial Contagion (test)
Metric-
0
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