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
|
ClusterSharpe Selection + MeanVar Weighting + Linear LS Submitted Mar 10, 2026 · Scored Mar 11, 2026 | Gareth Campbell | python | 15.01% | 10.00% | -20.71% | 2024 | ||
|
4
|
Bull/Bear Naive Submitted Feb 20, 2026 · Scored Feb 24, 2026 | Kavita Kar | python | 13.76% | 10.00% | -23.86% | 2024 | ||
|
5
|
Cross-Sectional Return Ensemble (CSRE) Submitted Feb 21, 2026 · Scored Feb 23, 2026 | Anna Siamionava | python | 12.59% | 10.00% | -29.00% | 2024 | ||
|
6
|
Rolling Factor Selection with RankSharpe Weighting Submitted Mar 9, 2026 · Scored Mar 10, 2026 | Gareth Campbell | python | 11.89% | 10.00% | -15.19% | 2024 | ||
|
7
|
Grid-Optimized Group Lasso (GOGL) Submitted Feb 19, 2026 · Scored Feb 20, 2026 | mbn | python | 11.03% | 10.00% | -29.37% | 2024 | ||
|
8
|
Adaptive Ensemble with Dynamic Risk Management Submitted Feb 22, 2026 · Scored Feb 25, 2026 | Angikar Ghosal | python | 10.46% | 10.00% | -28.06% | 2024 | ||
|
9
|
MVRLE Submitted Feb 19, 2026 · Scored Feb 20, 2026 | MVO | R | 10.14% | 10.00% | -30.10% | 2024 | ||
|
10
|
Dynamically Regularized MVP (test subset) Submitted Feb 5, 2026 · Scored Feb 6, 2026 | Mads Hebsgaard | python | 8.70% | 10.00% | -31.48% | 2024 | ||
|
11
|
Parsimonious Imputed Expanding Lasso Submitted Feb 16, 2026 · Scored Feb 17, 2026 | Lukas Jaeger | python | 8.69% | 10.00% | -28.63% | 2024 | ||
|
12
|
Cross-Sectional Ridge–Forest Ensemble First submitted Feb 19, 2026 · Resubmitted Feb 21, 2026 · Scored Feb 23, 2026 | Hassan Mir | R | 8.65% | 10.00% | -27.76% | 2024 | ||
|
13
|
Ridge & XGB Submitted Jan 9, 2026 · Scored Jan 9, 2026 | Thanh Tuan Le | python | 8.57% | 10.00% | -34.69% | 2024 | ||
|
14
|
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 | ||
|
15
|
Benchmark: Factor-ML Benchmark | — | R | 7.44% | 10.00% | -35.94% | 2024 | ||
|
16
|
Dynamically Regularized MVP Submitted Jan 31, 2026 · Scored Jan 31, 2026 | Mads Hebsgaard | python | 7.30% | 10.00% | -38.72% | 2024 | ||
|
17
|
Elastic Net (pooled) Submitted Nov 27, 2025 · Scored Nov 27, 2025 | Rob Capellini | python | 6.69% | 10.00% | -31.17% | 2024 | ||
|
18
|
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 | ||
|
19
|
Elastic Net (stockwise) Submitted Nov 16, 2025 · Scored Nov 16, 2025 | Rob Capellini | python | 6.44% | 10.00% | -32.14% | 2024 | ||
|
20
|
Ridge Tilt Portfolio Submitted Feb 16, 2026 · Scored Feb 17, 2026 | TM | python | 5.89% | 10.00% | -34.08% | 2024 | ||
|
21
|
ensemble model Submitted Jan 9, 2026 · Scored Jan 9, 2026 | Lu Li | python | 5.45% | 10.00% | -19.15% | 2024 | ||
|
22
|
Market Submitted Mar 6, 2026 · Scored Mar 7, 2026 | GC TC | python | 5.44% | 10.00% | -37.42% | 2024 | ||
|
23
|
Elasticnet XGBoost First submitted Feb 11, 2026 · Resubmitted Feb 17, 2026 · Scored Feb 18, 2026 | DU | python | 5.00% | 10.00% | -44.83% | 2024 | ||
|
24
|
Benchmark: Equal-weight portfolio Benchmark | — | python | 4.91% | 10.00% | -33.74% | 2024 | ||
|
25
|
Benchmark: Minimum Variance Benchmark | — | R | 4.73% | 10.00% | -34.19% | 2024 | ||
|
26
|
Benchmark: Kozak-Nagel-Santosh rank-weighted factors portfolio Benchmark | — | R | 2.20% | 10.00% | -54.31% | 2024 | ||
|
27
|
Ridge Regression Submitted Feb 19, 2026 · Scored Feb 20, 2026 | PB | R | 1.48% | 10.00% | -36.80% | 2024 |
| Rank | Model | Submitted By | Language | Sharpe Ratio | Year |
|---|---|---|---|---|---|
| XGBoost–Ledoit-Wolf Constrained MVP | RR | PYTHON | 2024 |
* Scores shown are preliminary and subject to change pending review completion.
Failed A failed status does not necessarily indicate a problem with your model — it may be due to an issue with the data pipeline. If there is a problem specific to your submission, a member of the CTF administration team will contact you directly.
| Model Name | Author | Language | Status | Progress | Submitted | Year |
|---|---|---|---|---|---|---|
| Neural Net with SR-Val | PK | R | Submitted |
|
2 weeks ago | 2025 |