Rankings of models submitted to the Common Task Framework
| Rank | Model Name | Author | Language | Sharpe Ratio | Annual Return | Volatility | Max Drawdown | Year |
|---|---|---|---|---|---|---|---|---|
|
1
|
Benchmark: Instrumented PCA factor portfolio Benchmark | — | python | 7.57% | 5.30% | -18.38% | 2024 | |
|
2
|
Elastic Net (pooled) | rob | python | 9.07% | 17.54% | -45.27% | 2024 | |
|
3
|
Neural Net | rob | python | 9.83% | 19.00% | -46.48% | 2024 | |
|
4
|
Elastic Net (stockwise) | rob | python | 7.88% | 17.43% | -45.44% | 2024 | |
|
5
|
Benchmark: Equal-weight portfolio Benchmark | — | python | 7.20% | 19.25% | -46.55% | 2024 | |
|
6
|
Benchmark: Kozak-Nagel-Santosh rank-weighted factors portfolio Benchmark | — | R | 0.97% | 5.06% | -13.55% | 2024 |
| Model Name | Author | Language | Status | Progress | Submitted | Year |
|---|---|---|---|---|---|---|
| MAXSER | Yingying Li | R |
Failed
Model execution failed Error: only 0's may be mixe... |
Pipeline failed at validation run |
40 minutes ago | 2025 |
| Ridge & XGB | Thanh Tuan Le | Python | Scoring |
Apptainer image ready for download |
4 hours ago | 2025 |
| ensemble model | Lu Li | Python | Scoring |
Apptainer image ready for download |
6 hours ago | 2025 |