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S&P 500

Benchmarks

Task NameDataset NameSOTA ResultTrend
Portfolio OptimizationS&P 500 constituents (test)
Average Loss-1.943
30
Portfolio ManagementS&P 500
Annualized Return14
22
Time Series ForecastingS&P 500 four time intervals ahead
MAE0.37
18
Time Series ForecastingS&P 500 one time interval ahead
MAE0.3
17
Financial Question AnsweringS&P 500 benchmark
Forecast QA Score56.78
14
Univariate Probabilistic ForecastingS&P 500 Industrial
CRPS0.803
12
Algorithmic TradingS&P 500 Live Trading
Annualized Return9.26
12
Algorithmic TradingS&P 500 Backtesting
AR20.68
12
Stock RankingS&P 500 2022–2024 (test)
RankIC0.0141
11
Portfolio OptimizationS&P 500 stocks Minimum Variance Portfolios
VAMI10,694.3
10
Equity Return RecallS&P 500 monthly close-to-close
Perfect Score1
9
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
Price Scenario PredictionS&P 500 2017 (held-out)
Top-1 Scenario Accuracy27.3
5
Price Directional PredictionS&P 500 (held-out 2017)
Directional Accuracy57.9
5
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
Likelihood estimationS&P 500 (d=98)
Neg Log-Likelihood (-ℓ̄)-46.6
4
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
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