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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 monthly log-returns h=1
CRPS Skill Score17
18
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
Time-series forecastingS&P 500 monthly log-returns (h=6)
CRPS Skill Score4.26
12
Time-series forecastingS&P 500 monthly log-returns (h=3)
CRPS Skill Score16.7
12
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
Algorithmic TradingS&P 500 (P1)
Sharpe Ratio1.59
10
Alpha MiningS&P 500 2022-01-01 to 2025-12-26 (test)
IC0.041
10
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
Alpha Mining EvaluationS&P 500 US Market AlphaEval framework
Predictive Power0.025
8
Signature FidelityS&P 500 2023–2025 (out-of-sample)
Relative MSE0.01
7
Signature FidelityS&P 500 2009–2022 (in-sample)
Relative MSE0.01
7
Stylized-fact diagnosticsS&P 500 2023–2025 (Out-of-sample)
Volatility (MAE)0.02
7
Stylized-fact diagnosticsS&P 500 2009–2022 (In-sample)
Volatility MAE0.02
7
Portfolio Optimization (z = 1.10)S&P 500 daily return data 2010-2019
Mean Return1.1759
7
Time-series forecastingS&P 500 monthly log-returns h=12
CRPS Skill Score-36.6
6
Financial Risk EstimationS&P 500 1984-06-01 to 2025-08-20 (test)
VaR-ES Score3.922
6
Showing 25 of 74 rows