Rankings of models submitted to the Common Task Framework
| Rank | Model Name | Author | Language | Files | Sharpe Ratio | Annual Return | Volatility | Max Drawdown | Year |
|---|---|---|---|---|---|---|---|---|---|
|
1
|
MAXSER Submitted Jan 13, 2026 · Scored Jan 13, 2026 | Yingying Li | R | 20.26% | 10.00% | -13.23% | 2024 | ||
|
2
|
Benchmark: Instrumented PCA factor portfolio Benchmark | — | python | 19.48% | 10.00% | -9.92% | 2024 | ||
|
3
|
Dynamically Regularized MVP (test subset) Submitted Feb 5, 2026 · Scored Feb 6, 2026 | Mads Hebsgaard | python | 8.70% | 10.00% | -31.48% | 2024 | ||
|
4
|
Parsimonious Imputed Expanding Lasso Submitted Feb 16, 2026 · Scored Feb 17, 2026 | Lukas Jaeger | python | 8.69% | 10.00% | -28.63% | 2024 | ||
|
5
|
Ridge & XGB Submitted Jan 9, 2026 · Scored Jan 9, 2026 | Thanh Tuan Le | python | 8.57% | 10.00% | -34.69% | 2024 | ||
|
6
|
Elastic Net with Inverse-Variance Weights Submitted Feb 19, 2026 · Scored Feb 19, 2026 | Jakob Jorsal Rasmussen | python | 7.59% | 10.00% | -28.66% | 2024 | ||
|
7
|
Benchmark: Factor-ML Benchmark | — | R | 7.44% | 10.00% | -35.94% | 2024 | ||
|
8
|
Dynamically Regularized MVP Submitted Jan 31, 2026 · Scored Jan 31, 2026 | Mads Hebsgaard | python | 7.30% | 10.00% | -38.72% | 2024 | ||
|
9
|
Elastic Net (pooled) Submitted Nov 27, 2025 · Scored Nov 27, 2025 | Rob Capellini | python | 6.69% | 10.00% | -31.17% | 2024 | ||
|
10
|
Neural Net First submitted Nov 18, 2025 · Resubmitted Nov 18, 2025 · Scored Nov 18, 2025 | Rob Capellini | python | 6.47% | 10.00% | -30.92% | 2024 | ||
|
11
|
Elastic Net (stockwise) Submitted Nov 16, 2025 · Scored Nov 16, 2025 | Rob Capellini | python | 6.44% | 10.00% | -32.14% | 2024 | ||
|
12
|
Ridge Tilt Portfolio Submitted Feb 16, 2026 · Scored Feb 17, 2026 | TM | python | 5.89% | 10.00% | -34.08% | 2024 | ||
|
13
|
ensemble model Submitted Jan 9, 2026 · Scored Jan 9, 2026 | Lu Li | python | 5.45% | 10.00% | -19.15% | 2024 | ||
|
14
|
Elasticnet XGBoost First submitted Feb 11, 2026 · Resubmitted Feb 17, 2026 · Scored Feb 18, 2026 | DU | python | 5.00% | 10.00% | -44.83% | 2024 | ||
|
15
|
Benchmark: Equal-weight portfolio Benchmark | — | python | 4.91% | 10.00% | -33.74% | 2024 | ||
|
16
|
Benchmark: Minimum Variance Benchmark | — | R | 4.73% | 10.00% | -34.19% | 2024 | ||
|
17
|
Benchmark: Kozak-Nagel-Santosh rank-weighted factors portfolio Benchmark | — | R | 2.20% | 10.00% | -54.31% | 2024 |
| Model Name | Author | Language | Status | Progress | Submitted | Year |
|---|---|---|---|---|---|---|
| MVRLE | MVO | R | Submitted |
|
8 minutes ago | 2024 |
| Neural Net with SR-Val | PK | R | Submitted |
|
33 minutes ago | 2025 |
| Cross-Sectional Ridge–Forest Ensemble | Hassan Mir | R | Submitted |
|
4 hours ago | 2025 |
| XGBoost–Ledoit-Wolf Constrained MVP | RR | Python | Scoring |
Apptainer image ready for download |
5 hours ago | 2024 |
| Ridge Regression | PB | R | Scoring |
Apptainer image ready for download |
6 hours ago | 2024 |
| Grid-Optimized Group Lasso (GOGL) | mbn | Python | Scoring |
Apptainer image ready for download |
6 hours ago | 2024 |